Publications

Educators

August 1996 (Revised October 1996)
Case

Howard, Shea & Chan Asset Management (D): Sales Presentation

By: Benson P. Shapiro

Provides the context and hard copy material to accompany a video sales presentation. Participants are asked to develop criteria for evaluating a sales presentation and then to apply the criteria to the video presentation. View Details

Keywords: Sales; Presentations; Performance Evaluation

Educators

1977
Chapter

A Reexamination of the Capital Asset Pricing Model

By: Robert C. Merton

Keywords: Capital; Asset Pricing; Mathematical Methods

October 2004
Article

Strategic Asset Allocation in a Continuous-time VAR Model

By: John Y. Campbell, George Chacko, Jorge Rodriguez and Luis M. Viceira

Keywords: Assets; Resource Allocation; Strategy

December 2018
Supplement

Asset Allocation at the Cook County Pension Fund

By: Emil Nuwan Siriwardane

July 2014
Supplement

Thompson Asset Management, Spreadsheet for Students (Brief Case)

By: William Fruhan and John Banko

2005
Working Paper

Asset Fire Sales (and Purchases) in Equity Markets

By: Joshua Coval and Erik Stafford

May 2011
Background Note

Intangible Assets Other Than Goodwill: Accounting and Analysis

By: David F. Hawkins

To accompany cases dealing with accounting for intangible assets. View Details

Keywords: Goodwill Accounting; Assets; Accounting

Educators

December 2018 (Revised March 2020)
Teaching Note

Asset Allocation at the Cook County Pension Fund

By: Emil Nuwan Siriwardane

Teaching Note for HBS No. 218-030. View Details

2023
Working Paper

The Market for Sharing Interest Rate Risk: Quantities and Asset Prices

By: Ishita Sen, Umang Khetan, Jane Li and Ioana Neamtu

We study the extent of interest rate risk sharing across the financial system using granular positions and transactions data in interest rate swaps. We show that pension and insurance (PF&I) sector emerges as a natural counterparty to banks and corporations: overall,... View Details

Keywords: Interest Rates; Investment Funds; Banks and Banking; Insurance; Investment Banking; Risk and Uncertainty

SSRN

March 2008
Article

Are Accruals Mispriced? Evidence from Tests of an Intertemporal Capital Asset Pricing Model

By: Mozaffar N. Khan

This paper proposes a risk-based explanation for the accrual anomaly. Risk is measured using a four-factor model motivated by the Intertemporal Capital Asset Pricing Model. Tests of the model suggest that a considerable portion of the cross-sectional variation in... View Details

2002
Book

Strategic Asset Allocation: Portfolio Choice for Long-Term Investors

By: John Y. Campbell and Luis M. Viceira

Keywords: Investment Portfolio

February 23, 2012
Blog Post

How to Turn an Obstacle into an Asset

By: Leonard A. Schlesinger, Charles F. Kiefer and Paul B. Brown

1998
Article

Alternative Models of Uncertain Commodity Prices for Use with Modern Asset Pricing Methods

By: Malcolm Baker, E. S. Mayfield and John Parsons

This paper provides an introduction to alternative models of uncertain commodity prices. A model of commodity price movements is the engine around which any valuation methodology for commodity production projects is built, whether discounted cash flow (DCF) models or... View Details

Keywords: Asset Pricing; Goods and Commodities; Price; Risk and Uncertainty; Valuation; Production; Projects; Cash Flow

2022
Working Paper

On the Estimation of Demand-Based Asset Pricing Models

By: Philippe van der Beck

A growing literature uses portfolio holdings data to quantify the impact of investor demand on equilibrium prices via counterfactual experiments. The key parameter in relating demand and equilibrium prices is investors’ elasticity of demand with respect to the price.... View Details

Keywords: Price; Investment Portfolio; Institutional Investing; Financial Instruments