Publications

2022
Working Paper

The Stock Market Value of Human Capital Creation

By: Matthias Regier and Ethan Rouen

We develop a measure of firm-year-specific human capital investment from publicly disclosed personnel expenses (PE) and examine the stock market valuation of this investment. Measuring the future value of PE (PEFV) based on the relation between lagged... View Details

Keywords: Intangibles; Market Valuation; Human Capital; Stocks; Financial Markets; Valuation

SSRN

April 2023
Article

The Stock Market Valuation of Human Capital Creation

By: Ethan Rouen and Matthias Regier

We develop a measure of firm-year-specific human capital investment from publicly disclosed personnel expenses (PE) and examine the stock market valuation of this investment. Measuring the future value of PE (PEFV) based on the relation between... View Details

Keywords: Intangibles; Valuation; Human Capital; Investment Return

29 Oct 2018
Working Paper Summaries

Public Sentiment and the Price of Corporate Sustainability

Keywords: by George Serafeim

Summer 2013
Article

Real Estate Prices During the Roaring Twenties and the Great Depression

By: Tom Nicholas and Anna Scherbina

Using new data on market-based transactions we construct real estate price indexes for Manhattan between 1920 and 1939. During the 1920s prices reached their highest level in the third quarter of 1929 before falling by 67% at the end of 1932 and hovering around that... View Details

Keywords: Property; Market Transactions; Price; Value; Financial Crisis; Investment; Real Estate Industry; New York (state, US)

October 2012
Article

The Effect of Reference Point Prices on Mergers and Acquisitions

By: Malcolm Baker, Xin Pan and Jeffrey Wurgler

Prior stock price peaks of targets affect several aspects of merger and acquisition activity. Offer prices are biased toward recent peak prices although they are economically unremarkable. An offer's probability of acceptance jumps discontinuously when it exceeds a... View Details

Keywords: Mergers and Acquisitions; Stocks; Price; Valuation; Negotiation

May – June 1981
Article

Is Your Stock Worth Its Market Price?

By: W. E. Fruhan Jr. and Thomas R. Piper

Keywords: Stocks; Price; Value

01 Apr 2024
In Practice

Navigating the Mood of Customers Weary of Price Hikes

Inflation remains front and center for consumers and businesses, which continue to reel from the double-digit rise in prices during the COVID-19 pandemic and the interest rate hikes designed to cool them. While View Details

Keywords: by Rachel Layne; Retail; Consumer Products

26 Jul 2010
Research & Ideas

Yes, You Can Raise Prices in a Downturn

product can and usually does have different value depending on the context, thereby supporting different prices for the specific piece of business. For example, the paper stock purchased by a magazine... View Details

Keywords: by Sean Silverthorne; Retail; Consumer Products

2022
Article

Which Corporate ESG News Does the Market React To?

By: George Serafeim and Aaron Yoon

Using a dataset that classifies firm-level ESG news as positive and negative, we examine how stock prices react to different types of ESG news. We analyze 111,020 firm-day observations for 3,126 companies and find that prices react only to issues identified as... View Details

Keywords: ESG; ESG (Environmental, Social, Governance) Performance; ESG Ratings; Social Capital; Environment; Sustainability; CSR; Stock Price; Stock Market Expectations; Materiality; Market Reaction; Environmental Sustainability; Governance; Social Issues; Performance; News

SSRN

November 1984
Background Note

Black-Scholes Option Pricing Program for the HP 12C Calculator

By: Andre F. Perold

Contains a program that can be used on the HP12C pocket calculator to compute the Black-Scholes option price and the associated hedge ratio. The program must be given the following parameters: the exercise price, the risk-free rate, the time to expiration, and the... View Details

Keywords: Stock Options; Investment Funds; Price; Management; Software

January 2017
Article

Being Surprised by the Unsurprising: Earnings Seasonality and Stock Returns

By: Tom Y. Chang, Samuel M. Hartzmark, David H. Solomon and Eugene F. Soltes

We present evidence consistent with markets failing to properly price information in seasonal earnings patterns. Firms with historically larger earnings in one quarter of the year (“positive seasonality quarters”) have higher returns when those earnings are usually... View Details

Keywords: Business Earnings; Investment

Research Summary

Portfolio Betas Do Not Make for Better Asset Pricing Tests

Many papers claim that because using portfolios instead of individual stocks as test assets minimizes idiosyncratic volatility, their use also yields more precise estimates of risk premia. I show that while portfolio formation does lead to more efficient beta... View Details

06 Dec 2021
Research & Ideas

The Popular Stock Metric That Can Lead Investors Astray

the company were liquidated. Market value reflects the total value of a public company’s outstanding shares based on the market price for a share. A stock with higher book-to-market ratio, such as when it is... View Details

Keywords: by Rachel Layne

02 Jul 2009
Working Paper Summaries

Technology Innovation and Diffusion as Sources of Output and Asset Price Fluctuations

Keywords: by Diego A. Comin, Mark Gertler & Ana Maria Santacreu; Technology

2009
Working Paper

Technology Innovation and Diffusion as Sources of Output and Asset Price Fluctuations

By: Diego A. Comin, Mark Gertler and Ana Maria Santacreu

We develop a model in which innovations in an economy's growth potential are an important driving force of the business cycle. The framework shares the emphasis of the recent "new shock" literature on revisions of beliefs about the future as a source of fluctuations,... View Details

Keywords: Business Cycles; Economic Growth; Asset Pricing; Technological Innovation; Mathematical Methods; System Shocks; Technology Adoption

17 Jul 2017
Working Paper Summaries

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

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

August 2024
Article

Not a One-Trick Pony: Price Impact of Rating Agency Information

By: Michael Machokoto and Anywhere Sikochi

Prior literature on the informational role of credit rating agencies has largely focused on announcements by the rating agencies regarding rating actions. We take a tangent in this paper and examine the relevance of rating agencies' other information disclosures beyond... View Details

Keywords: Credit; Investment Return; Financial Reporting

September 1997 (Revised February 2000)
Exercise

Exercises in Option Pricing and Real Option Analysis

By: Benjamin C. Esty

Contains five problems, one each on basic option pricing, abandonment value, the value of waiting to invest, contingent claims analysis (equity as a call option), and strategic decision making in an option framework. The goal is for students to recognize option value... View Details

Keywords: Stock Options; Price

October 1984 (Revised July 2003)
Case

At the T. Rowe Price Trading Desk (A)

By: Andre F. Perold

Describes the events surrounding the sale of a particular large block of a thinly traded stock. Brings the situation to the point at which the seller has received an offer, and must now decide what to do. View Details

Keywords: Asset Management; Stocks; Financial Services Industry