Publications

1 Mar 2011
Conference Presentation

From Counting Risk to Making Risk Count: Boundary-Work in Risk Management.

By: Anette Mikes

Keywords: Risk Management

July 1997 (Revised September 1997)
Case

USAA: Catastrophe Risk Financing

By: Kenneth A. Froot and Mark Seasholes

Describes the first major risk financing using catastrophe bonds. Provides a basis for discussing the securitization of insurance risks. View Details

Keywords: Financial Management; Insurance; Capital Markets; Natural Disasters; Risk Management; Bonds; Insurance Industry; Financial Services Industry; United States

Educators

04 Mar 2020

Incorporating Climate Risk into Financial Models: Bob Litterman on Transition Risk

December 2007 (Revised January 2008)
Background Note

Evaluating M&A Deals-Announcement Effects, Risk Arbitrage and Event Risk

By: Carliss Y. Baldwin

The announcement of merger or acquisition conveys new information to the capital markets. This note describes how the stock prices of a Buyer and Target behave after the announcement of a deal. First, for an all-stock deal that is certain to go through, the note... View Details

Keywords: Mergers and Acquisitions; Announcements; Capital Markets; Stocks; Price; Risk and Uncertainty

Educators

1995
Book

Risk Management

By: D. E. Bell and A. Schleifer Jr.

Article

Risk Attitudes and Personality Traits of Entrepreneurs and Venture Team Members

By: Sari Pekkala Kerr, William R. Kerr and Margaret Dalton

Personality distinctions between entrepreneurs, nonfounder CEOs/leaders, and inventor employees have received limited attention, especially in innovative settings where they are working together. We surveyed these groups, along with other employees of innovative firms,... View Details

Keywords: Entrepreneurs; Inventors; Innovation; Risk; Personal Characteristics; Innovation and Invention; Risk and Uncertainty; Attitudes

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Article

Business, Governments and Political Risk in South Asia and Latin America since 1970

By: G. Jones and Rachael Comunale

This article contributes to the literature on political risk in business and economic history by examining both new perspectives (risk encountered by companies domestically, rather than risk for foreign investors) and new settings (emerging markets economies in Latin... View Details

Keywords: Political Risk; Emerging Market; Bribery; Business ＆ Government Relations; Turbulence; Violence; Risk and Uncertainty; Emerging Markets; Crime and Corruption; Business and Government Relations; Business History; India; Latin America

2016
Working Paper

The Effect of Shareholder Litigation Risk on the Information Environment: The Case of Cross-Listed Firms

By: Anywhere Sikochi

I document the causal link between shareholder litigation risk and cross-listed firms’ information environment by exploiting a quasi-natural experiment in the form of a reduction in litigation risk resulting from the 2010 Supreme Court ruling in Morrison v. National... View Details

Keywords: Cross-listing; Information Environment; Shareholder Litigation Risk; D＆O Insurance; Risk and Uncertainty; Lawsuits and Litigation; Business and Shareholder Relations

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April 2001 (Revised August 2001)
Case

Risk Management at Apache

After initiating a hedging strategy, Apache Corp. is interested in revisiting its decision to determine if hedging is value-adding. This case investigates how the company initially decided to hedge against commodity price risk and how it implemented its hedging... View Details

Keywords: Risk Management; Investment; Corporate Finance

Educators

2006
Dissertation

Enterprise Risk Management in Action

By: Anette Mikes

The new Basel regulatory initiatives and a burgeoning risk management literature signify the rise of enterprise risk management (ERM) in the financial services sector. However, very little is known of the roles that risk management plays in organizations and how it... View Details

Keywords: Banks and Banking; Risk Management; Practice; Governance Controls; Value; Strategy; Financial Services Industry

Research Summary

Time-Varying Volatility Risk Premia

This paper provides evidence for the existence of time-varying volatility risk premia. In doing so, it examines the evolution of the implied volatility bias in the S&P 100 from 1986-2006. Additionally, the paper proves three new results regarding the limiting... 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