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      • Faculty Publications  (216)

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      • January – March 2012
      • Article

      Bond Risk, Bond Return Volatility, and the Term Structure of Interest Rates

      By: Luis M. Viceira
      This paper explores time variation in bond risk, as measured by the covariation of bond returns with stock returns and with consumption growth, and in the volatility of bond returns. A robust stylized fact in empirical finance is that the spread between the yield on... View Details
      Keywords: Bonds; Volatility; Forecasting and Prediction; Interest Rates; Inflation and Deflation; Investment Return; Risk and Uncertainty; Currency Exchange Rate; Cash Flow; Stocks
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      Viceira, Luis M. "Bond Risk, Bond Return Volatility, and the Term Structure of Interest Rates." International Journal of Forecasting 28, no. 1 (January–March 2012): 97–117.
      • Article

      Inflation-Indexed Bonds and the Expectations Hypothesis

      By: Carolin E. Pflueger and Luis M. Viceira
      This paper empirically analyzes the Expectations Hypothesis (EH) in inflation-indexed (or real) bonds and in nominal bonds in the U.S. and in the U.K. We strongly reject the EH in inflation-indexed bonds and also confirm and update the existing evidence rejecting the... View Details
      Keywords: TIPS; Breakeven Inflation; Return Predictability; Bond Risk Premia; Risk Management; Bonds; Financial Liquidity; Inflation and Deflation; United Kingdom; United States
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      Pflueger, Carolin E., and Luis M. Viceira. "Inflation-Indexed Bonds and the Expectations Hypothesis." Annual Review of Financial Economics 3 (2011): 139–158.
      • 2013
      • Working Paper

      Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity

      By: Carolin E. Pflueger and Luis M. Viceira
      Estimating the liquidity differential between inflation-indexed and nominal bond yields, we separately test for time-varying real rate risk premia, inflation risk premia, and liquidity premia in U.S. and U.K. bond markets. We find strong, model independent evidence... View Details
      Keywords: Expectations Hypothesis; Term Structure; Real Interest Rate Risk; Inflation Risk; Inflation-Indexed Bonds; Financial Crisis; Inflation and Deflation; Financial Liquidity; Bonds; Investment Return; Risk and Uncertainty; United Kingdom; United States
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      Pflueger, Carolin E., and Luis M. Viceira. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity." Harvard Business School Working Paper, No. 11-094, March 2011. (Revised September 2013.)
      • March 2011 (Revised January 2015)
      • Case

      H Partners and Six Flags

      By: Robin Greenwood and Michael Gorzynski
      Rehan Jaffer, the founder of hedge fund H Partners, is considering what to do with his investment in Six Flags. H Partners had invested a significant amount of the firm's capital in the senior bonds of U.S.-based Six Flags, following that company's bankruptcy filing. View Details
      Keywords: Behavioral Finance; Private Equity; Insolvency and Bankruptcy; Debt Securities; Bonds; Investment; Entertainment and Recreation Industry; Financial Services Industry; United States
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      Greenwood, Robin, and Michael Gorzynski. "H Partners and Six Flags." Harvard Business School Case 211-090, March 2011. (Revised January 2015.)
      • March 2011
      • Supplement

      H Partners and Six Flags (B)

      By: Robin Greenwood and Michael Gorzynski
      Rehan Jaffer, the founder of hedge fund H Partners, is considering what to do with his investment in Six Flags. H Partners had invested a significant amount of the firm's capital in the senior bonds of U.S.-based Six Flags, following that company's bankruptcy filing. View Details
      Keywords: Equity; Insolvency and Bankruptcy; Business and Shareholder Relations; Price; Acquisition; Decisions; Borrowing and Debt; Investment Funds; Opportunities; Bonds; Investment Activism; Financial Services Industry; United States
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      Greenwood, Robin, and Michael Gorzynski. "H Partners and Six Flags (B)." Harvard Business School Supplement 211-096, March 2011.
      • 2011
      • Chapter

      How Does Simplified Disclosure Affect Individuals' Mutual Fund Choices?

      By: John Beshears, James J. Choi, David Laibson and Brigitte C. Madrian
      We use an experiment to estimate the effect of the SEC's Summary Prospectus, which simplifies mutual fund disclosure. Our subjects chose an equity portfolio and a bond portfolio. Subjects received either statutory prospectuses or Summary Prospectuses. We find no... View Details
      Keywords: Information; Corporate Disclosure; Decision Choices and Conditions; Consumer Behavior; Retirement; Personal Finance; Investment Funds; Microeconomics
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      Beshears, John, James J. Choi, David Laibson, and Brigitte C. Madrian. "How Does Simplified Disclosure Affect Individuals' Mutual Fund Choices?" In Explorations in the Economics of Aging, edited by David A. Wise, 75–96. Chicago: University of Chicago Press, 2011.
      • 2012
      • Working Paper

      Issuer Quality and Corporate Bond Returns

      By: Robin Greenwood and Samuel G. Hanson
      We show that the credit quality of corporate debt issuers deteriorates during credit booms, and that this deterioration forecasts low excess returns to corporate bondholders. The key insight is that changes in the pricing of credit risk disproportionately affect the... View Details
      Keywords: Price; Credit; Risk and Uncertainty; Investment Return; Forecasting and Prediction; Bonds; Market Design; Cost of Capital; Mathematical Methods; System Shocks
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      Greenwood, Robin, and Samuel G. Hanson. "Issuer Quality and Corporate Bond Returns." Harvard Business School Working Paper, No. 11-065, January 2011. (Revised September 2012, Internet Appendix Here.)
      • Article

      Optimal Value and Growth Tilts in Long-Horizon Portfolios

      By: Jakub W. Jurek and Luis M. Viceira
      We develop an analytical solution to the dynamic portfolio choice problem of an investor with power utility defined over wealth at a finite horizon, who faces a time-varying investment opportunity set, parameterized using a flexible vector autoregression. We apply this... View Details
      Keywords: Decision Choices and Conditions; Private Equity; Investment; Investment Portfolio; Asset Pricing; Value
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      Jurek, Jakub W., and Luis M. Viceira. "Optimal Value and Growth Tilts in Long-Horizon Portfolios." Review of Finance 15, no. 1 (January 2011): 29–74.
      • 2011
      • Working Paper

      Cyclicality of Credit Supply: Firm Level Evidence

      By: Bo Becker and Victoria Ivashina
      Theory predicts that there is a close link between bank credit supply and the evolution of the business cycle. Yet fluctuations in bank-loan supply have been hard to quantify in the time-series. While loan issuance falls in recessions, it is not clear if this is due to... View Details
      Keywords: Business Cycles; Borrowing and Debt; Credit; Banks and Banking; Bonds; Financial Markets; Financing and Loans; Banking Industry
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      Becker, Bo, and Victoria Ivashina. "Cyclicality of Credit Supply: Firm Level Evidence." Harvard Business School Working Paper, No. 10-107, June 2010. (Revised August 2011.)
      • 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
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      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.
      • May 2010
      • Article

      Price Pressure in the Government Bond Market

      By: Robin Greenwood and Dimitri Vayanos
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      Greenwood, Robin, and Dimitri Vayanos. "Price Pressure in the Government Bond Market." American Economic Review: Papers and Proceedings 100, no. 2 (May 2010).
      • February 2010
      • Article

      Global Currency Hedging

      By: John Y. Campbell, Karine Serfaty-de Medeiros and Luis M. Viceira
      Over the period 1975 to 2005, the US dollar (particularly in relation to the Canadian dollar) and the euro and Swiss franc (particularly in the second half of the period) have moved against world equity markets. Thus these currencies should be attractive to... View Details
      Keywords: Currency; Equity; Financial Markets; International Finance; Investment Return; Globalized Markets and Industries; Risk Management
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      Campbell, John Y., Karine Serfaty-de Medeiros, and Luis M. Viceira. "Global Currency Hedging." Journal of Finance 65, no. 1 (February 2010): 87–121.
      • 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
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      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.)
      • June 2009
      • Article

      Economic Catastrophe Bonds

      By: Joshua D. Coval, Jakub W. Jurek and Erik Stafford
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      Coval, Joshua D., Jakub W. Jurek, and Erik Stafford. "Economic Catastrophe Bonds." American Economic Review 99, no. 3 (June 2009).
      • March 2009 (Revised October 2009)
      • Teaching Note

      Washington Mutual's Covered Bonds (TN)

      By: Daniel Baird Bergstresser and Robin Greenwood
      Teaching Note for [209093]. View Details
      Keywords: Banks and Banking; Bonds; Banking Industry
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      Bergstresser, Daniel Baird, and Robin Greenwood. "Washington Mutual's Covered Bonds (TN)." Harvard Business School Teaching Note 209-130, March 2009. (Revised October 2009.)
      • March 2009 (Revised November 2016)
      • Case

      Washington Mutual's Covered Bonds

      By: Daniel Baird Bergstresser, Robin Greenwood and James Quinn
      Washington Mutual issued 6 billion euro of covered bonds in 2006. The objective of the case is to ask whether these bonds are mispriced in late 2008. The case is set in September 2008, and Washington Mutual is facing considerable distress due to mounting losses in its... View Details
      Keywords: Capital Markets; Financial Liquidity; Bonds; Mortgages; Price; Banking Industry; United States
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      Bergstresser, Daniel Baird, Robin Greenwood, and James Quinn. "Washington Mutual's Covered Bonds." Harvard Business School Case 209-093, March 2009. (Revised November 2016.)
      • Article

      Understanding Inflation-Indexed Bond Markets

      By: John Y. Campbell, Robert J. Shiller and Luis M. Viceira
      Keywords: Bonds; Markets; Inflation and Deflation; Financial Crisis
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      Campbell, John Y., Robert J. Shiller, and Luis M. Viceira. "Understanding Inflation-Indexed Bond Markets." Brookings Papers on Economic Activity (Spring 2009): 79–120.
      • March 2009 (Revised November 2009)
      • Supplement

      Washington Mutual's Covered Bonds Courseware

      By: Daniel Baird Bergstresser, Robin Greenwood and James Quinn
      Washington Mutual issues 6 billion Euro of covered bonds in 2006. The objective of the case is to ask whether these bonds are mispriced in late 2008. The case is set in September 20008, and Washington Mutual is facing considerable distress due to mounting losses on its... View Details
      Keywords: Banks and Banking; Bonds; Education; Information; Banking Industry
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      Bergstresser, Daniel Baird, Robin Greenwood, and James Quinn. "Washington Mutual's Covered Bonds Courseware." Harvard Business School Spreadsheet Supplement 209-724, March 2009. (Revised November 2009.)
      • 2009
      • Working Paper

      Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds

      By: John Y. Campbell, Adi Sunderam and Luis M. Viceira
      Citation
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      Campbell, John Y., Adi Sunderam, and Luis M. Viceira. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds." NBER Working Paper Series, No. 14701, February 2009.
      • January 2009 (Revised April 2009)
      • Case

      Disaster in April: The Obligations of Kelly Construction

      By: John D. Macomber, Christopher M. Gordon and Ben Creo
      A construction company experiences a crane accident with multiple fatalities. The CEO, a client, and an employee must make choices to meet the company's obligations. Set in 2006, the case looks at the choices faced by board members of a museum that is an important... View Details
      Keywords: Business Exit or Shutdown; Family Business; Insolvency and Bankruptcy; Governing and Advisory Boards; Compensation and Benefits; Contracts; Crisis Management; Construction Industry
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      Macomber, John D., Christopher M. Gordon, and Ben Creo. "Disaster in April: The Obligations of Kelly Construction." Harvard Business School Case 209-099, January 2009. (Revised April 2009.)
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