Publications

Forthcoming
Article

The Imperfect Intermediation of Money-Like Assets

By: Jeremy C. Stein and Jonathan Wallen

We study supply-and-demand effects in the U.S. Treasury bill market by comparing the returns on T-bills to the administered policy rate on the Federal Reserve’s reverse repurchase (RRP) facility. In spite of the arguably more money-like properties of an investment in... View Details

Keywords: Debt Securities; Demand and Consumers; Price

February 2018
Article

Financial Disclosure and Market Transparency with Costly Information Processing

By: Marco Di Maggio and Marco Pagano

We study a model where some investors (“hedgers”) are bad at information processing, while others (“speculators”) have superior information-processing ability and trade purely to exploit it. The disclosure of financial information induces a trade externality: if... View Details

Keywords: Financial Disclosure; Information Processing; Liquidity; Market Transparency; Rational Inattention; Information; Financial Liquidity; Knowledge Use and Leverage; Corporate Disclosure; Financial Markets; Investment

August 2020 (Revised December 2020)
Case

Satrix: Competing in the Passive Asset Management Industry in South Africa

By: Mark Egan, Pippa Tubman Armerding and Dilyana Karadzhova Botha

In late 2017, Satrix, one of the largest passive asset management firms in South Africa and a pioneer in the industry since 2000, had to decide its strategy going forward in a market where passive asset management had become increasingly commoditized and... View Details

Keywords: Asset Management; Investment Funds; Competition; Competitive Strategy; Financial Services Industry; South Africa; Africa

November 2009 (Revised November 2010)
Case

SIPEF: Biological Assets at Fair Value under IAS 41

This case examines fair value accounting under lAS 41 for a European-listed agricultural firm. Students identify the firm's core operations, distinguishing the IFRS treatment for three distinct assets: land, agricultural assets that reside on the land, and inventory... View Details

Keywords: Business Earnings; Fair Value Accounting; Financial Reporting; International Accounting; Standards; Valuation; Agriculture and Agribusiness Industry; Europe

2020
Working Paper

Capital Regulation and Product Market Outcomes

By: Ishita Sen and David Humphry

We present evidence of product market adjustments and asset reorganizations from the largest ever shift in risk regulation in a developed insurance market. Using proprietary data on insurance risk exposures from the Bank of England, we develop a measure of regulatory... View Details

Keywords: Non-traditional-non-insurance; Risk Regulation; Product Market Concentration; Small Vs. Large Insurers; Insurance Risk Exposure; Insurance; Risk and Uncertainty; Governing Rules, Regulations, and Reforms

SSRN

June 2008
Article

'Thar' She Blows: Can Bubbles Be Rekindled with Experienced Subjects?

By: Reshmaan Hussam, David Porter and Vernon Smith

We report 28 new experiment sessions consisting of up to three experience levels to examine the robustness of learning and “error” elimination among participants in a laboratory asset market and its effect on price bubbles. Our answer to the title question is: “yes.”... View Details

Keywords: Experimental Economics; Asset Markets; Bubbles; Price Bubble; Financial Markets

29 Aug 2013
Working Paper Summaries

X-CAPM: An Extrapolative Capital Asset Pricing Model

Keywords: by Nicholas Barberis, Robin Greenwood, Lawrence Jin & Andrei Shleifer

November 2019
Article

The Relevance of Broker Networks for Information Diffusion in the Stock Market

By: Marco Di Maggio, Francesco Franzoni, Amir Kermani and Carlo Sommavilla

This paper shows that the network of relationships between brokers and institutional investors shapes information diffusion in the stock market. We exploit trade-level data to show that central brokers gather information by executing informed trades, which is then... View Details

Keywords: Broker Networks; Institutional Investors; Asset Prices; Business and Shareholder Relations; Institutional Investing; Information; Knowledge Dissemination; Financial Markets; Asset Pricing

February 1994 (Revised July 2008)
Case

Banc One Corporation: Asset and Liability Management

By: Benjamin C. Esty, Peter Tufano and Jon Headley

Banc One's share price has been falling recently due to analyst and investor concern over the bank's heavy use of interest rate derivatives. Dick Lodge, chief investment officer in charge of the bank's investment and derivative portfolio, must recommend to the CEO a... View Details

Keywords: Credit Derivatives and Swaps; Financial Management; Interest Rates; Investment Portfolio; Governance Controls; Risk Management; Banking Industry

2022
Working Paper

Markups to Financial Intermediation in Foreign Exchange Markets

By: Jonathan Wallen

On average from 2013 to 2020, foreign asset managers in net sold forward 1.1 trillion U.S. dollars. This forward sale of dollars hedges the currency mismatch of foreign investment in U.S. dollar assets. By accommodating this demand, U.S. and European banks earn an... View Details

Keywords: Foreign Exchange; Financial Intermediation; Arbitrage; Market Power; Regulations; Currency; Assets; Interest Rates; Banking Industry

summer 1995
Article

The Emerging Asset Class: Insurance Risk

By: K. A. Froot, B. Murphy, A. Stern and S. Usher

Keywords: Financial Markets; Insurance; Policy; Risk Management; Natural Disasters; Insurance Industry

July 2021
Article

Augmenting Markets with Mechanisms

By: Samuel Antill and Darrell Duffie

We explain how the common practice of size-discovery trade detracts from overall financial market efficiency. At each of a series of size-discovery sessions, traders report their desired trades, generating allocations of the asset and cash that rely on the most recent... View Details

Keywords: Mechanism Design; Price Impact; Size Discovery; Allocative Efficiency; Workup; Dark Pool; Financial Markets; Market Design; Performance Efficiency

February 2007 (Revised June 2007)
Background Note

Brazilian Real Estate Market

By: Nicolas P. Retsinas and Luke Ingles

From the late 1990s to 2004, Brazil had a reputation as a burgeoning market for foreign investment across many asset classes. Classified as one of the top emerging markets by Goldman Sachs' BRIC (Brazil, Russia, India, and China) Reports, the country has exhibited... View Details

Keywords: Markets; Property; Brazil

October 1995
Article

New Trading Practices and Short-Run Market Efficiency

By: Kenneth A. Froot and André Perold

Keywords: Institutional Investing; Market Efficiency; Behavioral Finance; Equities; Stock Market; Indexing; Financial Markets; Asset Pricing

12 PM – 1 PM EDT, 07 May 2015
Webinars: Trending@HBS

The Low Risk Anomaly: Implications for Investment, Asset Allocation, and Corporate Finance

One of the basic principles of finance is that, in competitive and efficient markets, investors earn higher average returns only by taking greater risks. Asset classes follow this pattern: Stocks have returned more than bonds, and bonds have returned more than cash.... View Details

August 2008 (Revised June 2012)
Case

Martingale Asset Management LP in 2008, 130/30 Funds, and a Low-Volatility Strategy

By: Luis M. Viceira and Helen Tung

In early July of 2008, William (Bill) Jacques, Chief Investment Officer at Martingale Asset Management, a quantitative value-oriented investment manager in Boston, Massachusetts, was busy preparing for an upcoming meeting with the group that made new product decisions... View Details

Keywords: Volatility; Asset Management; Stocks; Financial Strategy; Investment Funds; Product Development

March 1995
Article

Tests of Conditional Mean-Variance Efficiency of the U.S. Stock Market

By: C. Engel, J. Frankel, Kenneth A. Froot and T. Rodrigues

Keywords: Risk Aversion; Risk; International Investing; CAPM; Capital Asset Pricing; International Finance; Risk and Uncertainty; Asset Pricing; Financial Markets; Foreign Direct Investment; Behavioral Finance; United States

2016
Working Paper

Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds

By: Sergey Chernenko and Adi Sunderam

We study liquidity transformation in mutual funds using a novel dataset on their cash holdings. To provide investors with claims that are more liquid than the underlying assets, funds engage in substantial liquidity management. Specifically, they hold substantial... View Details

Keywords: Financial Liquidity; Cash; Investment Funds

September 2023
Supplement

Super Quantum: Using Artificial Intelligence to Transform Asset Management (B)

By: Feng Zhu and Kerry Herman

Dr. Zhang, CEO of Super Quantum, an AI-driven hedge fund, is considering an investor’s request to withdraw their funds as the markets experience volatility. Should he pull the investor’s funds? View Details

Keywords: Hedge Fund; Volatility; Decision Choices and Conditions; Asset Management; Investment Funds; Financial Services Industry