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  • 18 Sep 2017
  • News

Private Equity for Cheapskates Like You

  • 23 Jan 2018
  • First Look

First Look at New Research and Ideas, January 23, 2018

https://www.hbs.edu/faculty/Pages/item.aspx?num=53811 Do Banks Have an Edge? By: Begenau, Juliane, and Erik Stafford Abstract—We decompose bank activities into passive View Details
Keywords: Sean Silverthorne
  • 2016
  • Working Paper

Capital Requirements, Risk Choice, and Liquidity Provision in a Business Cycle Model

By: Juliane Begenau
This paper develops a quantitative dynamic general equilibrium model in which households' preferences for safe and liquid assets constitute a violation of Modigliani and Miller. I show that the scarcity of these coveted assets created by increased bank capital... View Details
Keywords: Capital Requirement; Bank Regulation; Demand For Safe Assets; Business Cycles; Bank Lending; Risk Management; Financial Liquidity; Financing and Loans; Capital; Banks and Banking
Related
  • 2019
  • Working Paper

Do Banks Have an Edge?

By: Juliane Begenau and Erik Stafford
Overall, no! We show that the level and time series variation in cash flows for most bank activities are well matched by capital market portfolios with similar interest rate and credit risk to what banks report to hold. Ignoring operating expenses, bank loans earn high... View Details
Keywords: Banks; Market Efficiency; Bank Capital; Bank Debt; CAPM; Banking; Bank Deposits; Bank Funding Advantage; Leverage; Maturity Transformation; Replicating Portfolio; Efficiency; Banks and Banking; Capital Markets; Performance Evaluation; Performance Efficiency; Banking Industry; United States
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  • October 2000 (Revised April 2001)
  • Case

Cost of Capital at Ameritrade

By: Mark L. Mitchell and Erik Stafford
Ameritrade Holding Corp. is planning large marketing and technology investments to improve the company's competitive position in deep-discount brokerage by taking advantage of emerging economies of scale. In order to evaluate whether the strategy would generate... View Details
Keywords: Developing Countries and Economies; Asset Pricing; Cash Flow; Cost of Capital; Investment; Marketing; Mathematical Methods; Competition; Information Technology; Internet and the Web; Financial Services Industry
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  • Web

Behavioral Finance & Financial Stability

clients. See Marco’s other research here , Francesco’s other research here , and Amir’s other research here . More Info Do Banks have an Edge? By: Juliane Begenau & View Details
  • March 2008
  • Course Overview Note

Dynamic Markets

By: Joshua D. Coval and Erik Stafford
The Dynamic Markets course at Harvard Business School is organized around the hands-on application of financial decision making in a wide variety of capital market settings. The course relies heavily on in-class simulations of a range of market settings where students... View Details
Keywords: Value Creation; Decision Making; Capital Markets; Competitive Strategy; Profit; Applications and Software; Information; Strategy; Price; Outcome or Result; Curriculum and Courses; Theory
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  • April 2008 (Revised December 2008)
  • Case

Leveraged Loans 2007

By: Andre F. Perold and Erik Stafford
The leveraged loan market was in a crisis during the summer of 2007, following many years of low realized volatility (less than 4% per annum), an index of leveraged loans had fallen over 5% in the month of July. A sudden drop in capital market prices for an asset class... View Details
Keywords: History; Financial Liquidity; Investment; Financial Crisis; Market Transactions; Disruption; Decision Choices and Conditions; Competitive Strategy; Capital Markets; Crisis Management; Commercial Banking; Banking Industry; Financial Services Industry
Related
  • 2021
  • Working Paper

Limits to Bank Deposit Market Power

By: Juliane Begenau and Erik Stafford
Claims about the market power of bank deposits in the banking literature are numerous and far reaching. Recently, a causal narrative has emerged in the banking literature: market power in bank deposits, measured as imperfect pass-through of short-term market rates on... View Details
Keywords: Bank Deposits; Market Power; Net Interest Margin (NIM); Banks and Banking; Interest Rates; Risk and Uncertainty
Related
  • Web

Named Fellowship Funds - Alumni

Rogers, and will support students experiencing hardship before or during their time at HBS. Julian's early years were significantly impacted by the loss of his father in 1918, when View Details
  • Web

Research - Behavioral Finance & Financial Stability

Juliane Begenau & Erik Stafford NOV 2019 By decomposing bank activities into passive View Details
  • 15 May 2007
  • First Look

First Look: May 15, 2007

case: http://www.hbsp.harvard.edu/b01/en/common/item_detail.jhtml?id=301094   PublicationsThe Price of Immediacy Authors:George Chacko, Jakub W. Jurek, and Erik Stafford... View Details
Keywords: Martha Lagace
  • 2016
  • Working Paper

Financial Regulation in a Quantitative Model of the Modern Banking System

By: Juliane Begenau and Tim Landvoigt
How does the shadow banking system respond to changes in the capital regulation of commercial banks? This paper builds a quantitative general equilibrium model with commercial banks and shadow banks to study the unintended consequences of capital requirements. A key... View Details
Keywords: Capital; Commercial Banking
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  • 2011
  • Working Paper

The Cost of Capital for Alternative Investments

By: Jakub W. Jurek and Erik Stafford
This paper studies the cost of capital for alternative investments. We document that the risk profile of the aggregate hedge fund universe can be accurately matched by a simple index put option writing strategy that offers monthly liquidity and complete transparency... View Details
Keywords: Cost of Capital; Financial Liquidity; Investment; Investment Return; Mathematical Methods; Risk and Uncertainty
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  • Article

The Economics of Structured Finance

By: Joshua D. Coval, Jakub W. Jurek and Erik Stafford
This paper investigates the spectacular rise and fall of structured finance. The essence of structured finance activities is the pooling of economic assets like loans, bonds, and mortgages, and the subsequent issuance of a prioritized capital structure of claims, known... View Details
Keywords: Financial Crisis; Asset Management; Debt Securities; Investment; Risk Management; Behavior
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  • January 2008
  • Background Note

Index Options

By: Joshua Coval and Erik Stafford
The goal of this simulation is to understand the patterns in index option prices that are not predicted by the Black-Scholes model. In particular, the simulation focuses on two properties of options prices. First, at-the-money implied volatilities from index options... View Details
Keywords: Volatility; Stock Options; Investment; Price; Profit; Risk Management; Mathematical Methods
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  • Article

The Cost of Capital for Alternative Investments

By: Jakub W. Jurek and Erik Stafford
Traditional risk factor models indicate that hedge funds capture pre-fee alphas of 6% to 10% per annum over the period from 1996 to 2012. At the same time, the hedge fund return series is not reliably distinguishable from the returns of mechanical S&P 500 put-writing... View Details
Keywords: Hedge Funds; Required Returns; Downside Risk; Index Options; Investment Funds; Cost of Capital; Investment Return; Risk and Uncertainty; Financial Services Industry
Related
  • Forthcoming
  • Article

Reducing Prejudice with Counter-stereotypical AI

By: Erik Hermann, Julian De Freitas and Stefano Puntoni
Based on a review of relevant literature, we propose that the proliferation of AI with human-like and social features presents an unprecedented opportunity to address the underlying cognitive and affective drivers of prejudice. An approach informed by the psychology of... View Details
Keywords: Prejudice and Bias; AI and Machine Learning; Interpersonal Communication; Social and Collaborative Networks
Related
  • Web

Finance Awards & Honors - Faculty & Research

Outstanding Teaching. Erik Stafford : Winner of the 2016 Case Centre Award in the Finance, Accounting and Control category for "Valuation of AirThread Connections" (with Joel... View Details
  • 20 Sep 2011
  • First Look

First Look: September 20

Authors:Jakub W. Jurek and Erik Stafford Abstract This paper studies the cost of capital for alternative investments. We document that the risk profile of the aggregate hedge... View Details
Keywords: Sean Silverthorne