Hedging - Publications - Faculty & Research - Harvard Business School

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2007
Other Unpublished Work

Hedge Fund Investor Activism and Takeovers

By: Robin Greenwood and Michael Schor

We examine long-horizon stock returns around hedge fund activism in a comprehensive sample of 13D filings by portfolio investors between 1993 and 2006. Abnormal returns surrounding investor activism are high for the subset of targets that are acquired ex-post, but not... View Details

Keywords: Mergers and Acquisitions; Private Equity; Investment Return; Investment Activism; Investment Portfolio; Corporate Governance

20 Aug 2007
Working Paper Summaries

Hedge Fund Investor Activism and Takeovers

Keywords: by Robin Greenwood & Michael Schor; Banking

2008
Mimeo

Do Hedge Funds Profit from Mutual-Fund Distress?

By: Joseph Chen, Samuel G. Hanson, Harrison Hong and Jeremy C. Stein

This paper explores the question of whether hedge funds engage in frontrunning strategies that exploit the predictable trades of others. One potential opportunity for front-running arises when distressed mutual funds—those suffering large outflows of assets under... View Details

Keywords: Investment Funds; Profit; Strategy; Forecasting and Prediction; Investment Return; Opportunities; Asset Management; Sales

October 1994 (Revised November 1994)
Case

Hedging with FCOJ Futures

By: Ray A. Goldberg, Phil Herndon and Katherine L. Morris

Keywords: Futures and Commodity Futures; Investment Funds

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October 1995 (Revised July 1996)
Case

Aspen Technology, Inc.: Currency Hedging Review

By: Peter Tufano

The chief financial officer of a rapidly growing U.S.-based software firm that sells its process-control software to industrial users around the globe must review the goals, strategies, and policies of the firm's currency hedging program. This review is prompted by... View Details

Keywords: Currency Exchange Rate; Applications and Software; Investment; Business Startups; Business Strategy; Information Technology Industry; United Kingdom; United States

June 2011
Case

Shelley Capital and the Hedge Fund Secondary Market

By: Luis Viceira, Elena Corsi and Ruth Dittrich

An advisory company has to decide how to sell their client's hedge fund holdings in the secondary market, and thinks about their future. Shelley Capital was a a European advisory company operating in the hedge fund secondary market, a market that boosted in 2008 with... View Details

Keywords: Insolvency and Bankruptcy; Investment Funds; Marketing Strategy; Financial Crisis; Sales; Leadership Development; Financial Markets; Crisis Management; Business Processes; Risk and Uncertainty; Globalized Economies and Regions; Financial Services Industry; Service Industry; Europe

April 2015
Case

Domeyard: Starting a High-Frequency Trading (HFT) Hedge Fund

By: Lauren Cohen, Christopher Malloy and Matthew Foreman

The principals at Domeyard, a start-up high frequency trading (HFT) hedge fund based in Cambridge, faced a myriad of important decisions: which markets to trade on, how to raise capital, and from whom to raise capital. Many of these decisions were standard for... View Details

February 1984 (Revised January 1994)
Teaching Note

Hedging Exercises, Teaching Note

By: David E. Bell

Keywords: Investment Funds

06 Apr 2021
Working Paper Summaries

Currency Hedging in Emerging Markets: Managing Cash Flow Exposure

Keywords: by Laura Alfaro, Mauricio Calani, and Liliana Varela; Financial Services

September 2004 (Revised September 2008)
Supplement

Hedging Currency Risks at AIFS (CW)

By: Mihir A. Desai

March 2005 (Revised March 2006)
Case

Foreign Exchange Hedging Strategies at General Motors: Competitive Exposures

By: Mihir A. Desai and Mark Veblen

How can a multinational firm analyze and manage currency risks that arise from competitive exposures? General Motors has a substantial competitive exposure to the Japanese yen. Although the risks GM faces from the depreciating yen are widely acknowledged, the company's... View Details

Keywords: Multinational Firms and Management; Currency Exchange Rate; Competition; Credit Derivatives and Swaps; International Finance; Financial Management; Investment Funds; Risk and Uncertainty; Auto Industry

fall 1994
Article

Commentaries on Banc One's Hedging Strategy

By: B. C. Esty and P. Tufano

Keywords: Strategy; Banks and Banking; Banking Industry

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March 2013
Supplement

FX Risk Hedging at EADS

By: W. Carl Kester

Keywords: Derivatives; Foreign Exchange; Options; Forward Contract; Aerospace; Europe; Risk Management; Futures and Commodity Futures; Europe

March 2005 (Revised January 2006)
Case

Foreign Exchange Hedging Strategies at General Motors: Transactional and Translational Exposures

By: Mihir A. Desai and Mark Veblen

How should a multinational firm manage foreign exchange exposures? Examines transactional and translational exposures and alternative responses to these exposures by analyzing two specific hedging decisions by General Motors. Describes General Motors' corporate hedging... View Details

Keywords: Multinational Firms and Management; Currency Exchange Rate; Expansion; Credit Derivatives and Swaps; Financial Management; Investment Funds; Risk and Uncertainty; International Finance; Auto Industry

Research Summary

Hedging Asian Options: Closed-Form Solutions Using the Malliavin Calculus

Hedging path-dependent options requires non-standard tools because the price processes no longer have smooth stochastic differentials. I show how the Malliavin calculus can be used to overcome the specific difficulties introduced by the averaging behavior of... View Details

April 22, 2012
Article

U.S. Hedge Funds Rules Relaxed by Accident

By: Robert C. Pozen

September – October 2011
Article

The Return Experience of Hedge Fund Investors

By: Ilia Dichev and Gwen Yu

Keywords: Investment

May 2011
Article

Higher Risk, Lower Returns: What Hedge Fund Investors Really Earn

By: Ilia Dichev and Gwen Yu

The returns of hedge fund investors depend not only on the returns of the hedge funds they hold but also on the timing and magnitude of their capital flows in and out of the funds. We use dollar-weighted returns (a form of IRR) to assess the properties of actual... View Details

Keywords: Investment Funds; Investment Return; Capital Markets; Market Timing; Currency

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January 2024
Technical Note

Hedging Currency Risk of Foreign Investments

By: Wenxin Du and Luis M. Viceira

July 1998
Article

New Derivative and Hedging Accounting Standard

By: David F. Hawkins

Keywords: Credit Derivatives and Swaps; Accounting; Standards

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