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- All HBS Web
(880)
- News (99)
- Research (677)
- Events (1)
- Multimedia (2)
- Faculty Publications (336)
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- January 2015
- Article
X-CAPM: An Extrapolative Capital Asset Pricing Model
By: Nicholas Barberis, Robin Greenwood, Lawrence Jin and Andrei Shleifer
Survey evidence suggests that many investors form beliefs about future stock market returns by extrapolating past returns. Such beliefs are hard to reconcile with existing models of the aggregate stock market. We study a consumption-based asset pricing model in which... View Details
Barberis, Nicholas, Robin Greenwood, Lawrence Jin, and Andrei Shleifer. "X-CAPM: An Extrapolative Capital Asset Pricing Model." Journal of Financial Economics 115, no. 1 (January 2015): 1–24.
- 2018
- Working Paper
OTC Intermediaries
By: Andrea L. Eisfeldt, Bernard Herskovic, Sriram Rajan and Emil Siriwardane
Over-the-counter (OTC) markets for financial assets are dominated by a relatively small number of core intermediaries and a large number of peripheral customers. In this paper, we develop a model of trade in a core-periphery network and estimate its key structural... View Details
Keywords: OTC Markets; Intermediaries; Dealers; Credit Default Swaps; Risk Sharing; Networks; Price; Risk and Uncertainty
Eisfeldt, Andrea L., Bernard Herskovic, Sriram Rajan, and Emil Siriwardane. "OTC Intermediaries." Working Paper, August 2018.
- February 2023
- Article
OTC Intermediaries
By: Andrea L. Eisfeldt, Bernard Herskovic, Sriram Rajan and Emil Siriwardane
We study the effect of dealer exit on prices and quantities in a model of an over-the-counter (OTC) market featuring a core-periphery network with bilateral trading costs. The model is calibrated using regulatory data on the entire U.S. credit default swap (CDS) market... View Details
Keywords: OTC Markets; Intermediaries; Dealers; Credit Default Swaps; Risk Sharing; Financial Markets; Networks; Price; Risk and Uncertainty
Eisfeldt, Andrea L., Bernard Herskovic, Sriram Rajan, and Emil Siriwardane. "OTC Intermediaries." Review of Financial Studies 36, no. 2 (February 2023): 615–677.
- 2014
- Working Paper
Price Coherence and Adverse Intermediation
By: Benjamin Edelman and Julian Wright
Suppose an intermediary provides a benefit to buyers when they purchase from sellers using the intermediary's technology. We develop a model to show that the intermediary will want to restrict sellers from charging buyers more for transactions it intermediates. We show... View Details
Keywords: Intermediaries; Platforms; Two-Sided Markets; Price Coherence; Price; Two-Sided Platforms; Distribution Channels
Edelman, Benjamin, and Julian Wright. "Price Coherence and Adverse Intermediation." Harvard Business School Working Paper, No. 14-052, December 2013. (Revised March 2014. Supplemental appendix.)
- September 2018
- Article
Asset Price Dynamics in Partially Segmented Markets
By: Robin Greenwood, Samuel G. Hanson and Gordon Y. Liao
We develop a model in which capital moves quickly within an asset class but slowly between asset classes. While most investors specialize in a single asset class, a handful of generalists can gradually reallocate capital across markets. Upon the arrival... View Details
Greenwood, Robin, Samuel G. Hanson, and Gordon Y. Liao. "Asset Price Dynamics in Partially Segmented Markets." Review of Financial Studies 31, no. 9 (September 2018): 3307–3343. (Internet Appendix Here.)
- Research Summary
Output and asset price fluctuations
What are the sources of business cycles? How are these shocks propagated in the economy? Why are their effects so persistent? How can we explain asset price fluctuations? How are shocks transmitted internationally?To study these questions, I have developed a series... View Details
- 2013
- Working Paper
Asset Price Dynamics with Limited Attention
By: Mark Seasholes, Terrence Hendershott, Sunny X. Li and Albert J. Menkveld
This paper studies the role that limited attention and inefficient risk sharing play in stock price deviations from the efficient prices at horizons from one day to one month. We expand the Due (2010) slow-moving capital model to analyze multiple groups of investors... View Details
Keywords: Transitory Volatility; Limited Attention; Individuals; Market Makers; Asset Pricing; Financial Markets; Volatility
Seasholes, Mark, Terrence Hendershott, Sunny X. Li, and Albert J. Menkveld. "Asset Price Dynamics with Limited Attention." Working Paper, November 2013. (2nd round at the Journal of Finance.)
- April 2023
- Article
Are Intermediary Constraints Priced?
By: Wenxin Du, Benjamin Hebert and Amy Wang Huber
Violations of no-arbitrage conditions measure the shadow cost of intermediary constraints. Intermediary asset pricing and intertemporal hedging together imply that the risk of these constraints tightening is priced. We describe a “forward CIP trading strategy” that... View Details
Du, Wenxin, Benjamin Hebert, and Amy Wang Huber. "Are Intermediary Constraints Priced?" Review of Financial Studies 36, no. 4 (April 2023): 1464–1507.
- Article
The Capital Asset Pricing Model
By: André Perold
Perold, André. "The Capital Asset Pricing Model." Journal of Economic Perspectives 18, no. 3 (Summer 2004): 3–24.
- 2025
- Working Paper
Street Earnings: Implications for Asset Pricing
By: Sebastian Hillenbrand and Odhrain McCarthy
To address the excess volatility puzzle – the excessive movements in stock prices – researchers often study movements in valuation ratios. However, we demonstrate that movements in valuation ratios based on fundamental measures with high transitory volatility, such as... View Details
Hillenbrand, Sebastian, and Odhrain McCarthy. "Street Earnings: Implications for Asset Pricing." Working Paper, June 2025.
- 2015
- Working Paper
Markets with Price Coherence
By: Benjamin Edelman and Julian Wright
In markets with price coherence, the purchase of a given good via an intermediary is constrained to occur at the same price as a purchase of that same good directly from the seller (or through another competing intermediary). We examine ten markets with price... View Details
Keywords: Intermediaries; Platforms; Two-Sided Markets; Vertical Restraints; Price; Distribution Channels; Business History; Financial Services Industry; Travel Industry; Insurance Industry; Real Estate Industry; Advertising Industry
Edelman, Benjamin, and Julian Wright. "Markets with Price Coherence." Harvard Business School Working Paper, No. 15-061, January 2015. (Revised March 2015.)
- spring 1989
- Article
Asset Price Expectations: A Summary
By: K. A. Froot
Froot, K. A. "Asset Price Expectations: A Summary." NBER Reporter (spring 1989).
- Research Summary
Overcoming Large-N, Small-T Issues in Asset Pricing Tests
The large-N, small-T (i.e. large cross-section, short time series) nature of our asset data presents serious estimation problems for empirical asset pricing. In response, the literature tests asset pricing models against 10-25 test assets or portfolios. A... View Details
- 04 Sep 2007
- Working Paper Summaries
Why Do Intermediaries Divert Search?
Keywords: by Andrei Hagiu & Bruno Jullien
- Fall 2014
- Article
Price Restrictions in Multi-sided Platforms: Practices and Responses
By: Benjamin Edelman and Julian Wright
In connecting buyers to sellers, some two-sided platforms require that sellers offer their lowest prices through the platform, disallowing lower prices for direct sales or sales through competing platforms. In this article, we explore the various contexts where such... View Details
Edelman, Benjamin, and Julian Wright. "Price Restrictions in Multi-sided Platforms: Practices and Responses." Competition Policy International 10, no. 2 (Fall 2014).
- 1998
- Article
Alternative Models of Uncertain Commodity Prices for Use with Modern Asset Pricing Methods
By: Malcolm Baker, E. S. Mayfield and John Parsons
This paper provides an introduction to alternative models of uncertain commodity prices. A model of commodity price movements is the engine around which any valuation methodology for commodity production projects is built, whether discounted cash flow (DCF) models or... View Details
Keywords: Asset Pricing; Goods and Commodities; Price; Risk and Uncertainty; Valuation; Production; Projects; Cash Flow
Baker, Malcolm, E. S. Mayfield, and John Parsons. "Alternative Models of Uncertain Commodity Prices for Use with Modern Asset Pricing Methods." Energy Journal 19, no. 1 (1998): 115–148.
- September 1973
- Article
An Intertemporal Capital Asset Pricing Model
By: Robert C. Merton
Merton, Robert C. "An Intertemporal Capital Asset Pricing Model." Econometrica 41, no. 5 (September 1973): 867–887. (Chapter 15 in Continuous-Time Finance.)
- 29 Aug 2013
- Working Paper Summaries
X-CAPM: An Extrapolative Capital Asset Pricing Model
- August 2015
- Article
Price Coherence and Excessive Intermediation
By: Benjamin Edelman and Julian Wright
Suppose an intermediary provides a benefit to buyers when they purchase from sellers using the intermediary's technology. We develop a model to show that the intermediary would want to restrict sellers from charging buyers more for transactions it intermediates. With... View Details
Edelman, Benjamin, and Julian Wright. "Price Coherence and Excessive Intermediation." Quarterly Journal of Economics 130, no. 3 (August 2015): 1283–1328. (First circulated as Price Coherence and Adverse Intermediation in December 2013.)
- 2022
- Working Paper
On the Estimation of Demand-Based Asset Pricing Models
A growing literature uses portfolio holdings data to quantify the impact of investor demand on equilibrium prices via counterfactual experiments. The key parameter in relating demand and equilibrium prices is investors’ elasticity of demand with respect to the price.... View Details
van der Beck, Philippe. "On the Estimation of Demand-Based Asset Pricing Models." Swiss Finance Institute Research Paper Series, No. 22-67, May 2022.