Publications

2023
Working Paper

Contagious Anomalies

By: Angela Ma and Miles Zheng

This paper shows that anomaly strategy contagion contributes a key component of risks induced by arbitrageur trading. We present three main findings: (1) Contagion deteriorates the market liquidity of the contaminated strategy. (2) Increased contagion risk predicts... View Details

Keywords: Contagion; Anomalies; Non-bank Intermediaries; Arbitrage; Intermediary Asset Pricing

SSRN

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

Find at Harvard

1990
Chapter

Capital Market Theory and the Pricing of Financial Securities

By: Robert C. Merton

Keywords: Capital Markets; Financial Instruments; Asset Pricing; Mathematical Methods

February 2017 (Revised June 2017)
Supplement

ExxonMobil: Business as Usual? (B)

By: George Serafeim, Shiva Rajgopal and David Freiberg

The case presents ExxonMobil's response to growing pressure to disclose how climate change will impact their business. This includes multiple asset impairments and losing a proxy vote to shareholders to increase climate change related reporting. Supplements the (B)... View Details

Keywords: Oil ＆ Gas; Oil Prices; Oil Companies; Asset Impairment; Predictive Analytics; Sustainability; Environmental Impact; Innovation; Disclosure; Accounting; Valuation; Energy Sources; Ethics; Corporate Disclosure; Governance Compliance; Climate Change; Financial Reporting; Energy Industry; United States

Fourth Quarter 2017
Article

Optimal Tilts: Combining Persistent Characteristic Portfolios

By: Malcolm Baker, Ryan Taliaferro and Terry Burnham

We examine the optimal weighting of four tilts in U.S. equity markets from 1968 through 2014. We define a “tilt” as a characteristic-based portfolio strategy that requires relatively low annual turnover. This is a continuum, with small size (a very persistent... View Details

Keywords: Risk Anomaly; Beta; Capital Asset Pricing Model; Factor Investing

2017
Working Paper

Optimal Tilts: Combining Persistent Characteristic Portfolios

By: Malcolm Baker, Ryan Taliaferro and Terry Burnham

We examine the optimal weighting of four tilts in US equity markets from 1968 through 2014. We define a “tilt” as a characteristic-based portfolio strategy that requires relatively low annual turnover. This is a continuum, with small size, a very persistent... View Details

Keywords: Risk Anomaly; Beta; Capital Asset Pricing Model; Factor Investing

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August 2017 (Revised November 2017)
Case

Accounting for Political Risk at AES

By: Gerardo Pérez Cavazos and Suraj Srinivasan

As a global energy generating company, AES frequently faces challenges from political changes and instability. This is exacerbated by the fact that in many instances AES' primary customer is the government, which is also in charge of law-making. For example, AES'... View Details

Keywords: Political Risk; Asset Impairment; Risk Factors; Fair Value; Fair Value Accounting; Financial Reporting; Financial Statements; Energy Industry; Bulgaria; Dominican Republic; United States; Venezuela

February 2017 (Revised June 2017)
Case

ExxonMobil: Business as Usual? (A)

By: George Serafeim, Shiva Rajgopal and David Freiberg

Climate change was becoming an important societal and business issue as more governments were introducing climate change related regulations and investors became increasibly worried about stranded assets within oil and gas firms. In September 2016, the U.S. Securities... View Details

Keywords: Oil ＆ Gas; Oil Prices; Oil Companies; Asset Impairment; Predictive Analytics; Sustainability; Environmental Impact; Innovation; Disclosure; Accounting; Valuation; Climate Change; Renewable Energy; Environmental Sustainability; Financial Reporting; Energy Industry

March–April 2014
Article

The Low-Risk Anomaly: A Decomposition into Micro and Macro Effects

By: Malcolm Baker, Brendan Bradley and Ryan Taliaferro

Low beta stocks have offered a combination of low risk and high returns. We decompose the anomaly into micro and macro components. The micro component comes from the selection of low beta stocks. The macro component comes from the selection of low beta countries or... View Details

Keywords: Low Volatility; Beta; Portfolio Construction; Market Efficiency; Capital Asset Pricing Model; Asset Management

January 2008
Article

On the Pricing of Intermediated Risks: Theory and Application to Catastrophe Reinsurance

By: K. A. Froot and P. O'Connell

Keywords: Catastrophe Risk; Corporate Finance; Banking And Insurance; Hedging; Banking; Financial Markets; Insurance; Policy; Risk Management; Natural Disasters; Cost of Capital; Asset Pricing; Insurance Industry

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1971
Chapter

Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios

By: Michael Jensen

Keywords: Investment Portfolio; Risk and Uncertainty; Capital; Asset Pricing; Performance Evaluation

April 2019 (Revised October 2020)
Case

Kraft Heinz: The $8 Billion Brand Write-Down

By: Jill Avery

On Friday, February 22, 2019, following an unexpected and disappointing earnings report, The Kraft Heinz Company’s stock price fell 27%, wiping out $16 billion in market value. CEO Bernardo Hees had announced that the company had taken a $15.4 billion asset write-down,... View Details

06 Aug 2018
Research & Ideas

Supersmart Manufacturing Tools are Lowering Prices on TVs, Bulbs, and Solar Panels

commoditized. As consumers, we see this in the ever-decreasing retail selling price of flat panel TVs. The screen sizes get bigger, the resolution moves from HD to Ultra HD to 4K, and the prices keep... View Details

Keywords: by Sean Silverthorne; Manufacturing; Electronics

August 2012 (Revised July 2017)
Case

Netflix: Valuing a New Business Model

By: Francois Brochet, Suraj Srinivasan and Michael Norris

In autumn 2011, Netflix was working to right the ship after publicly stumbling through a price hike and strategic shift and then retreat. The company was changing its business model to focus on streaming video service rather than the DVDs by mail that had brought the... View Details

Keywords: Performance Measurement; Online Business; Asset Recognition; Accounting; Performance Evaluation; Online Technology; Motion Pictures and Video Industry; United States; Canada; Latin America; West Indies

October 2018
Case

Fairview Capital

By: Steven Rogers and Derrick Collins

JoAnn Price and Dr. Larry Morse were the first African-Americans to launch a fund of funds in the private equity industry. Their fund, Fairview capital, was created in response to the dearth of capital invested in private equity funds managed by black and other... View Details

Keywords: Alternative Assets; Fund Of Funds; Private Equity; Venture Capital; Decision Making; Strategy; United States

1999
Chapter

The Limited Financing of Catastrophe Risk: An Overview

By: K. Froot

Keywords: Catastrophe Risk; Corporate Finance; Cost Of Capital; Banking And Insurance; Asset Pricing; Hedging; Banking; Natural Disasters; Insurance; Risk Management; Financial Markets; Policy; Insurance Industry