Capital Asset Pricing - Publications - Faculty & Research - Harvard Business School

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May 2020 (Revised November 2021)
Supplement

Valuing Peloton

By: E. Scott Mayfield

Peloton Interactive, a well-known unicorn in the connected fitness space, had gone public with a market capitalization of over $8.0 billion. In the weeks following its public debut, Peloton’s stock price fell by over 25%. Taylor Knox, a stock analyst and enthusiastic... View Details

Keywords: Business Model; Disruptive Innovation; Risk and Uncertainty; Stocks; Price; Valuation; Entertainment and Recreation Industry

September 2002 (Revised March 2003)
Technical Note

Technical Note on Equity-Linked Consideration, Part 2: Announcement Effects

By: Carliss Y. Baldwin

The announcement of merger or acquisition conveys new information to the capital markets. Shareholders and portfolio managers assess the news and trade on the basis of their new appraisals of value. Thus, from the actual Pstks of the two companies one can infer from... View Details

Keywords: Announcements; Price; Acquisition; Business and Shareholder Relations

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June 2007 (Revised March 2008)
Case

Zoots - Financing Growth (A)

By: Michael J. Roberts, William A. Sahlman and Todd Krasnow

Traces the genesis and founding of Zoots, the largest chain of dry cleaning establishments in the U.S. Founded by some of the founders of the very successful Staples chain, the company raises a very large amount of capital without fully proving its business model, and... View Details

Keywords: Business Startups; Decision Choices and Conditions; Venture Capital; Financial Strategy; Investment Return; Growth and Development Strategy; Valuation; United States

September 2010 (Revised March 2012)
Case

AQR's Momentum Funds (A)

By: Daniel Baird Bergstresser, Lauren H. Cohen, Randolph B. Cohen and Christopher J. Malloy

AQR is a hedge fund based in Greenwich, Connecticut, that is considering offering a wholly new line of product to retail investors, namely the ability to invest in the price phenomenon known as momentum. There is a large body of empirical evidence supporting momentum... View Details

Keywords: Financial Strategy; Investment Funds; Investment Portfolio; Governing Rules, Regulations, and Reforms; Product Development; Financial Services Industry; Greenwich

November 2016
Article

Corporate Sustainability: First Evidence on Materiality

By: Mozaffar Khan, George Serafeim and Aaron Yoon

Using newly available materiality classifications of sustainability topics, we develop a novel dataset by hand-mapping sustainability investments classified as material for each industry into firm-specific sustainability ratings. This allows us to present new evidence... View Details

Keywords: Sustainability; Investments; Corporate Social Responsibility; Accounting; Corporate Reporting; Regulation; Corporate Social Responsibility and Impact; Integrated Corporate Reporting; Investment; Corporate Governance

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March 2012
Article

The Incentive Bubble

By: Mihir Desai

The past three decades have seen American capitalism quietly transformed by a single, powerful idea—that financial markets are a suitable tool for measuring performance and structuring compensation. Stock instruments for managers, high-powered incentive contracts for... View Details

Keywords: Economic Systems; Financial Markets; Executive Compensation; Motivation and Incentives; Corporate Governance; Equality and Inequality; Human Capital; United States

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

September 2015 (Revised September 2017)
Case

Pershing Square 2.0

By: Robin Greenwood, Samuel Hanson and David Biery

In June 2015 William A. Ackman, the CEO and founder of New York hedge fund Pershing Square Capital, reflects on the success of the fund he has spent over a decade building. Since its inception in 2004, Pershing Square's assets under management had grown from $500... View Details

Keywords: Activism; Value Investing; Portfolio Management; Management; Investment Portfolio; Investment Activism

24 Jun 2015
Working Paper Summaries

Accounting Data, Market Values, and the Cross Section of Expected Returns World

Keywords: by Charles C.Y. Wang; Accounting

How Is Foreign Aid Spent?

We use oil price fluctuations to test the impact of transfers from wealthy OPEC nations to their poorer Muslim allies. The instrument identifies plausibly exogenous variation in foreign aid. We investigate how aid is spent by tracking its short-run effect on... View Details

July 2009
Article

How Is Foreign Aid Spent? Evidence from a Natural Experiment

By: Eric D. Werker, Faisal Z. Ahmed and Charles Cohen

We use oil price fluctuations to test the impact of transfers from wealthy OPEC nations to their poorer Muslim allies. The instrument identifies plausibly exogenous variation in foreign aid. We investigate how aid is spent by tracking its short-run effect on aggregate... View Details

Keywords: Foreign Aid; Money

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March 2007 (Revised March 2008)
Case

The Nikkei 225 Reconstitution

By: Robin Greenwood

Taka Haneda, a proprietary trader at the Tokyo office of Goldman Sachs, has just learned that the Nikkei 225 will undergo a significant redefinition over the coming week. He faces several billion dollars of customer orders, as well as the opportunity to commit the... View Details

Keywords: Financial Liquidity; Stocks; Investment Return; Price; Market Transactions; Financial Services Industry; Tokyo

September 2012 (Revised March 2013)
Case

Entrepreneurial Finance in Finland?

By: William R. Kerr, Ramana Nanda and Alexis Brownell

This case describes a new venture attempting to bring early-stage entrepreneurial financing to Finland and other Nordic countries. Entrepreneurship is taking off in Finland, an area that historically has had little venture capital or high-growth start-up activity, but... View Details

Keywords: Angels; Angel Investors; VC; Micro-VC; Accelerator; Incubator; Entrepreneurial Finance; Entrepreneurship; Venture Capital; Private Equity; Business Startups; Financial Services Industry; Finland; Scandinavia; Europe

30 Jun 2020
News

Disruption Amidst Disruption: Fintech in the Age of Coronavirus

William C. Vrattos

Bill Vrattos is a Senior Lecturer at the Harvard Business School, where he teaches Investment Strategies, a course on public market investing in the elective curriculum. He also co-teaches Private Equity Projects and Ecosystems, where he mentors student groups on... View Details

2024
Working Paper

Finance Without Exotic Risk

By: Pedro Bordalo, Nicola Gennaioli, Rafael La Porta and Andrei Shleifer

We address the joint hypothesis problem in cross-sectional asset pricing by using measured analyst expectations of earnings growth. We construct a firm-level measure of Expectations Based Returns (EBRs) that uses analyst forecast errors and revisions and shuts down any... View Details

Keywords: Investment Return; Financial Markets; Behavioral Finance; Risk and Uncertainty

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Research Summary

Implications of Limits of Arbitrage (with James Choi)

In this project we investigate the relationship between limits to arbitrage facing mutual fund managers and asset pricing anomalies. We measure changes in the limits to arbitrage by computing the average of slopes on current and past returns in quarterly... View Details

June 2021
Case

Modern Endowment Management: Paula Volent and the Bowdoin Endowment

By: Luis M. Viceira, Emily R. McComb and Dean Xu

This case examines modern endowment investment management through the lens of a leadership transition between Chief Investment Officers (CIOs). In March 2021, Paula Volent is about to step down as the CIO of the endowment of Bowdoin College after twenty-one years, and... View Details

Keywords: Investment Portfolio; Investment Banking; Growth Management; Investment Return; Capital Markets; Interest Rates; Competition; Cost Management; Risk Management; Financial Liquidity; Performance Evaluation

February 2003 (Revised January 2006)
Case

AIT Group Plc

By: G. Felda Hardymon, Josh Lerner and Ann Leamon

A U.S. venture capital firm has just learned that the deal structure for purchasing an illiquid U.K. software firm is unacceptable to institutional investors. The group must decide if it still wants to go through with the deal. This decision hinges on whether the... View Details

Keywords: Price; Business and Stakeholder Relations; Mergers and Acquisitions; Venture Capital; Financial Condition; Risk and Uncertainty; Decision Making; Financial Services Industry; United States; United Kingdom

November 2016 (Revised February 2017)
Case

Square, Inc. IPO

By: Ramana Nanda, Robert White and Lauren G. Pickle

In November 2015, Square, Inc. launched its initial public offering (IPO). The IPO had an offering price of $9 per share, lower than the $11 to $13 estimate that had been outlined in the preliminary prospectus and 42% below the $15.50 share price in its most recent... View Details

Keywords: Business Finance; Initial Public Offering; Equity; Capital Markets; Public Equity; Stocks; Venture Capital; Financial Services Industry; United States

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