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- All HBS Web (294)
- Faculty Publications (80)
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- 2020
- Working Paper
Corporate Leadership and Creditor Recovery Rates: Evidence from Executive Gender
By: Clarissa Hauptmann, Syrena Shirley and Anywhere Sikochi
We examine the relationship between the gender of executives and corporate creditor recovery rates. Using 2,288 defaulted debt instruments, we find that female executives are associated with higher creditor recovery rates. Our findings are robust to tests that correct... View Details
Keywords: Executive Gender; Default; Recovery Rates; Debt; Corporate Bonds; Conservatism; Leadership; Gender; Borrowing and Debt; Bonds; Risk Management
Hauptmann, Clarissa, Syrena Shirley, and Anywhere Sikochi. "Corporate Leadership and Creditor Recovery Rates: Evidence from Executive Gender." Harvard Business School Working Paper, No. 20-087, February 2020.
- Research Summary
Time Varying Expected Returns, Stochastic Dividend Yields, and Default Probabilities: Linking the Credit Risk and Equity Literature (with George Chacko and Jens Hilscher)
In standard structural bond pricing models, the firm defaults once the market value of assets has fallen below a threshold. Expected returns, or at least dividend yields, are assumed to be constant, which implies that any asset value movement is permanent and has the... View Details
- 2016
- Working Paper
Credit Migration and Covered Interest Rate Parity
By: Gordon Y Liao
I document economically large and persistent discrepancies in the pricing of credit risk between corporate bonds denominated in different currencies. The discrepancies amount to 50-100 basis points on trillions of dollars of debt notional. I relate this violation of... View Details
Keywords: Market Segmentation; Debt Issuance; Covered Interest Rate Parity; Cross-currency Basis; Credit Risk; Financial Markets; Credit
Liao, Gordon Y. "Credit Migration and Covered Interest Rate Parity." Working Paper, October 2016.
- August 2014
- Article
Mortgage Convexity
By: Samuel G. Hanson
Most home mortgages in the United States are fixed-rate loans with an embedded prepayment option. When long-term rates decline, the effective duration of mortgage-backed securities (MBS) falls due to heightened refinancing expectations. I show that these changes in MBS... View Details
Hanson, Samuel G. "Mortgage Convexity." Journal of Financial Economics 113, no. 2 (August 2014): 270–299. (Internet Appendix Here.)
- 2024
- Article
Supply and Demand and the Term Structure of Interest Rates
By: Robin Greenwood, Samuel Hanson and Dimitri Vayanos
We survey the growing literature emphasizing the role that supply-and-demand forces play in shaping the term structure of interest rates. Our starting point is the Vayanos and Vila (2009, 2021) model of the term structure of default-free bond yields, which we present... View Details
Greenwood, Robin, Samuel Hanson, and Dimitri Vayanos. "Supply and Demand and the Term Structure of Interest Rates." Annual Review of Financial Economics 16 (2024): 115–151.
- May 2005 (Revised December 2005)
- Case
Nexgen: Structuring Collateralized Debt Obligations (CDOs)
A client asks Luc Giraud, CEO of the structured finance solutions provider Nexgen Financial Solutions, to put together a solution that allows the client to add AAA-rated bonds to its portfolio. The client cannot find suitably priced top-rated bonds in the market and... View Details
Keywords: Credit Derivatives and Swaps; Risk and Uncertainty; Debt Securities; Bonds; Financial Services Industry
Chacko, George C., Peter A. Hecht, Marti Subrahmanyam, Vincent Dessain, and Anders Sjoman. "Nexgen: Structuring Collateralized Debt Obligations (CDOs)." Harvard Business School Case 205-121, May 2005. (Revised December 2005.)
- 30 Jun 2015
- First Look
First Look: June 30, 2015
social auditors and for auditing firms. Publisher's link: https://www.hbs.edu/faculty/Pages/item.aspx?num=49303 Working Papers Monetary Policy Drivers of Bond and Equity Risks By: Campbell, John Y., Carolin... View Details
Keywords: Carmen Nobel
- January 2008
- Background Note
Convertible Arbitrage
By: Joshua Coval and Erik Stafford
The goal of this simulation is to understand how convertible bonds can be viewed as a portfolio of simpler securities and to introduce an over-the-counter market. The convertible bonds that are available during the simulation are at-the-money and in-the-money so that... View Details
Coval, Joshua, and Erik Stafford. "Convertible Arbitrage." Harvard Business School Background Note 208-116, January 2008.
- 2018
- Working Paper
Global Portfolio Diversification for Long-Horizon Investors
By: Luis M. Viceira and Zixuan (Kevin) Wang
This paper conducts a theoretical and empirical investigation of global portfolio diversification for long-horizon investors in the presence of permanent cash flow shocks and transitory discount rate shocks to asset prices and returns. An increase in the cross-country... View Details
Keywords: Investment Portfolio; Risk and Uncertainty; Diversification; Capital Markets; Global Range
Viceira, Luis M., and Zixuan (Kevin) Wang. "Global Portfolio Diversification for Long-Horizon Investors." Harvard Business School Working Paper, No. 17-085, March 2017. (Revised July 2018.)
- March 2021
- Supplement
Making Impact Investing Markets: IFC (B)
By: Shawn A. Cole, John Masko and T. Robert Zochowski
In 2018, Thailand’s Bank of Ayudhya (known as Krungsri), was considering whether to participate in the first issue of a new financial instrument from the International Finance Corporation (IFC), known as a gender bond. Building on the success of the Green Bond program... View Details
Keywords: Impact Investment; Development Economics; Developing Countries and Economies; Borrowing and Debt; Credit; Equity; Bonds; Financing and Loans; Growth and Development; Emerging Markets; Non-Governmental Organizations; Corporate Social Responsibility and Impact; Financial Instruments; Gender; Financial Services Industry; Thailand
Cole, Shawn A., John Masko, and T. Robert Zochowski. "Making Impact Investing Markets: IFC (B)." Harvard Business School Supplement 221-081, March 2021.
- 05 Sep 2007
- Working Paper Summaries
Global Currency Hedging
- February 2003 (Revised May 2003)
- Case
Mobile Energy Services Company
By: Benjamin C. Esty and Aldo Sesia
When Al "Chainsaw" Dunlap became CEO of the Scott Paper Co., the company owned a large, vertically integrated production facility in Mobile, Alabama. Dunlap sold part of the production facility, a cogeneration power plant (later known as Mobile Energy Services Co.), to... View Details
Keywords: Mergers and Acquisitions; Risk and Uncertainty; Contracts; Agreements and Arrangements; Investment; Projects; Vertical Integration; Energy Sources; Bonds; Ownership; Restructuring; Energy Industry; Alabama
Esty, Benjamin C., and Aldo Sesia. "Mobile Energy Services Company." Harvard Business School Case 203-061, February 2003. (Revised May 2003.)
- 2025
- Working Paper
Performance Capital Flows in DC Pensions
By: Bryan Gutierrez Cortez, Victoria Ivashina and Juliana Salomao
Are defined contribution (DC) pension funds' capital flows sensitive to performance? We examine pressures from individual account holders who can switch their pension managers. Using novel data on retirement accounts for nearly 10 million individuals, we analyze... View Details
Keywords: Investment Funds; Retirement; Risk and Uncertainty; Financial Management; Investment Portfolio; Financial Services Industry
Gutierrez Cortez, Bryan, Victoria Ivashina, and Juliana Salomao. "Performance Capital Flows in DC Pensions." NBER Working Paper Series, No. 33693, April 2025.
- July 2009 (Revised July 2009)
- Case
Delphi Corp. and the Credit Derivatives Market (A)
By: Stuart C. Gilson, Victoria Ivashina and Sarah Abbott
In 2005, Jane Bauer-Martin, a hedge fund manager, is considering what she should do with the fund's large investment in the publicly traded bonds of Delphi Corp., a financially troubled auto parts supplier. Delphi is General Motor's key auto parts supplier, and, like... View Details
Keywords: Borrowing and Debt; Insolvency and Bankruptcy; Credit Derivatives and Swaps; Bonds; Financial Management; Risk Management
Gilson, Stuart C., Victoria Ivashina, and Sarah Abbott. "Delphi Corp. and the Credit Derivatives Market (A)." Harvard Business School Case 210-002, July 2009. (Revised July 2009.)
- 2010
- Chapter
The Euro as a Reserve Currency for Global Investors
By: Luis M. Viceira and Ricardo Gimeno
This article explores the demand for the euro for risk management purposes and the evidence of stock market integration in the euro area. We define a reserve currency as one that investors demand either because it helps them hedge real interest risk and inflation risk,... View Details
Keywords: Volatility; Inflation and Deflation; Capital Markets; Currency; Stocks; Financial Markets; Financing and Loans; Investment Return; Investment Portfolio; Risk Management
Viceira, Luis M., and Ricardo Gimeno. "The Euro as a Reserve Currency for Global Investors." Chap. 4 in Spain and the Euro. The First Ten Years, 149–178. Madrid, Spain: Banco de España, 2010.
- April 2010
- Article
Endowments, Fiscal Federalism, and the Cost of Capital for States: Evidence from Brazil, 1891-1930
By: Andre C. Martinez Fritscher and Aldo Musacchio
There is a large literature looking at the determinants of country risk (defined as the difference between the yield of a sovereign's bonds and the risk-free rate). In this paper, we contribute to the discussion by arguing that an important explanatory factor is the... View Details
Keywords: Bonds; Performance Capacity; Taxation; Revenue; Governance; Geographic Location; Trade; Price; Cost of Capital; Risk and Uncertainty; Public Administration Industry; Brazil
Martinez Fritscher, Andre C., and Aldo Musacchio. "Endowments, Fiscal Federalism, and the Cost of Capital for States: Evidence from Brazil, 1891-1930." Financial History Review 17, no. 1 (April 2010). (Winner of the Gerry Feldman Young Scholar Prize for the best paper of (a) young scholar(s) of the European Association of Banking and Financial History, 2010-2011.)
- 2009
- Working Paper
Endowments, Fiscal Federalism, and the Cost of Capital for States: Evidence from Brazil, 1891-1930
By: Andre C. Martinez Fritscher and Aldo Musacchio
There is a large amount of literature that aims to explain what determines country risk (defined as the difference between the yield of a sovereign's bonds and the risk free rate). In this paper, we contribute to the discussion by arguing that an important explanatory... View Details
Keywords: Trade; Cost of Capital; Revenue; Sovereign Finance; Goods and Commodities; Taxation; Business History; Risk and Uncertainty; Brazil
Martinez Fritscher, Andre C., and Aldo Musacchio. "Endowments, Fiscal Federalism, and the Cost of Capital for States: Evidence from Brazil, 1891-1930." Harvard Business School Working Paper, No. 10-027, October 2009. (Revised December 2009.)
- July 1997
- Case
Treasury Inflation-Protection Securities (TIPS)
Explores the development of a new product offering based on the first issuance of "real" bonds in the United States. Looks at a specific organization's efforts to position itself to profit from this market development. Follows naturally from a case on nominal bonds. View Details
Das, Sanjiv R., and Jeffrey T. Slovin. "Treasury Inflation-Protection Securities (TIPS)." Harvard Business School Case 298-017, July 1997.
- March 2016 (Revised October 2023)
- Case
Central European Distribution Corporation: Hostile Takeover, Bankruptcy Makeover
By: Stuart C. Gilson and Sarah L. Abbott
In early 2013, Central European Distribution Corporation (CEDC), a large publicly traded producer and distributer of vodka and spirits in Eastern and Central Europe, has suffered significant declines in its financial performance, is at risk of defaulting on its debt,... View Details
Keywords: Hostile Takeover; Accounting Restatement; Activist Shareholder; Restructuring; Mergers and Acquisitions; Financial Statements; Corporate Governance; Investment Activism; Distribution Industry; Food and Beverage Industry; United States; Russia; Europe
Gilson, Stuart C., and Sarah L. Abbott. "Central European Distribution Corporation: Hostile Takeover, Bankruptcy Makeover." Harvard Business School Case 216-059, March 2016. (Revised October 2023.)
- 2015
- Working Paper
Customers and Investors: A Framework for Understanding Financial Institutions
By: Robert C. Merton and Robert T. Thakor
Financial institutions have both investors and customers. Investors, such as those who invest in stocks and bonds or private/public-sector guarantors of institutions, expect an appropriate risk-adjusted return in exchange for the financing and risk-bearing that they... View Details
Keywords: Financial Institutions
Merton, Robert C., and Robert T. Thakor. "Customers and Investors: A Framework for Understanding Financial Institutions." NBER Working Paper Series, No. 21258, June 2015.