Publications

Purchase

November 2007
Background Note

Bayesian Estimation & Black-Litterman

By: Joshua D. Coval and Erik Stafford

Describes a practical method for asset allocation that is more robust to estimation errors than the traditional implementation of mean-variance optimization with sample means and covariances. The Bayesian inspired Black-Litterman model is described after introducing... View Details

Keywords: Asset Management; Investment Portfolio; Mathematical Methods

Educators

Purchase

November 2007
Article

Asset Fire Sales (and Purchases) in Equity Markets

By: Joshua Coval and Erik Stafford

October 2007
Background Note

Price Formation

By: Joshua D. Coval and Erik Stafford

Investigates how prices are formed in competitive capital markets. Focuses on a single security called AOE. Students compete with computer traders and each other for market making and informed trading profits. Participants receive a variety of public news in the form... View Details

Keywords: Capital Markets; Price; Profit; Corporate Disclosure; Newsletters; Industry Structures; Business Processes; Competitive Strategy

Educators

2007
Case

Deriving by Doing: A New Approach to Teaching Finance

By: Joshua Coval, Jonathan Gadzik and Erik Stafford

Keywords: Finance; Teaching; Business Education

SSRN

2007
Working Paper

Economic Catastrophe Bonds

By: Joshua D. Coval, Jakub W. Jurek and Erik Stafford

SSRN

October 2006 (Revised March 2008)
Case

2006 Hurricane Risk

By: Andre F. Perold and Erik Stafford

In May 2006, a resident of Key West, Florida had to decide whether to renew his policy to insure against hurricane damage. The policy would cost $13,000 for one year, $5,000 more than what he paid in 2005. At the same time, a wealthy California resident was... View Details

Keywords: Capital Markets; Cost; Insurance; Price; Risk Management; California; Key West

Educators

Purchase

2006
Working Paper

Pricing Liquidity: The Quantity Structure of Immediacy Prices

By: George Chacko, Jakub W. Jurek and Erik Stafford

SSRN

June 2005 (Revised October 2007)
Teaching Note

Market Efficiency (TN)

By: Joshua D. Coval and Erik Stafford

Teaching Note to (2-205-081). View Details

June 2005 (Revised October 2007)
Teaching Note

Price Formation (TN)

By: Joshua D. Coval and Erik Stafford

Teaching Note to (2-205-076) and (2-205-077). View Details

Keywords: Price

June 2005 (Revised October 2007)
Teaching Note

The Law of One Price (TN)

By: Joshua D. Coval and Erik Stafford

Teaching Note to (2-205-079). View Details

Keywords: Price

2005
Working Paper

Asset Fire Sales (and Purchases) in Equity Markets

By: Joshua Coval and Erik Stafford

February 2004
Article

Price Pressure Around Mergers

By: Mark Mitchell, T. Pulvino and Erik Stafford

Keywords: Price; Mergers and Acquisitions

January 2004
Article

Investigating the Economic Role of Mergers

By: Gregor Andrade and Erik Stafford

September 2003 (Revised January 2004)
Case

Giant Cinema

By: Malcolm P. Baker, Richard S. Ruback, Erik Stafford and Kathleen Luchs

The owner of Giant Cinema must decide whether to invest in a digital projector, a new technology for screening films, or purchase a traditional projector. The impact of the new technology is uncertain, and the case describes probabilities for different outcomes that... View Details

Keywords: Entrepreneurship; Film Entertainment; Technology Adoption; Financial Strategy; Investment; Outcome or Result; Risk and Uncertainty; Technology; Entertainment and Recreation Industry