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  • Research Summary

The Cross Section of Expected Firm (Not Equity) Returns

This paper provides the first comprehensive study of expected firm (unlevered equity) returns. After accounting for the debt component of the firm return, I find that many of the cross sectional determinants of expected equity returns, such as the book-to-market... View Details
  • 07 Jul 2020
  • Working Paper Summaries

Predictable Financial Crises

Keywords: by Robin Greenwood, Samuel G. Hanson, Andrei Shleifer, and Jakob Ahm Sørensen
  • Research Summary

Rare Consumption Disasters

By: Emil N. Siriwardane

Another defining feature of financial crises is consumption disasters, or large drops in aggregate consumption. Rather than taking the standard approach of seeking implications of such rare disasters for asset pricing in consumption data, Professor Siriwardane asks... View Details

  • Research Summary

Overview

By: Emil N. Siriwardane
In his research, Professor Siriwardane seeks to develop a quantitative understanding of how the financial sector affects asset prices and macroeconomic stability, particularly relevant in the wake of the financial crisis of the last decade. View Details
  • 15 Jul 2020
  • News

Predictable financial crises

  • September 2021
  • Article

Diagnostic Bubbles

By: Pedro Bordalo, Nicola Gennaioli, Spencer Yongwook Kwon and Andrei Shleifer
We introduce diagnostic expectations into a standard setting of price formation in which investors learn about the fundamental value of an asset and trade it. We study the interaction of diagnostic expectations with two well-known mechanisms: learning from prices and... View Details
Keywords: Bubble; Speculation; Diagnostic Expectations; Price Bubble; Mathematical Methods
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  • April 2005
  • Case

The University of Chicago Investment Office: Investing in Timber

In 2005, the University of Chicago Investment office was deciding how much capital to allocate toward timber investing. Explores the challenges associated with optimal portfolio construction when one of the invested assets is illiquid with limited historical price... View Details
Keywords: Investment Portfolio; Decision Choices and Conditions; Financial Services Industry; Education Industry
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  • 2018
  • Working Paper

Diagnostic Bubbles

By: Pedro Bordalo, Nicola Gennaioli, Spencer Yongwook Kwon and Andrei Shleifer
We introduce diagnostic expectations into a standard setting of price formation in which investors learn about the fundamental value of an asset and trade it. We study the interaction of diagnostic expectations with two well-known mechanisms: learning from prices and... View Details
Keywords: Bubbles; Price Bubble; Mathematical Methods
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    Samuel G. Hanson

    Samuel G. Hanson is the William L. White Professor of Business Administration at Harvard Business School, a Research Associate at the National Bureau of Economic Research, and a Faculty Affiliate of the Harvard Economics department. He teaches Finance 1... View Details

    Keywords: asset management; asset management; asset management; asset management; asset management; asset management
    • August 2018
    • Article

    Extrapolation and Bubbles

    By: Nicholas Barberis, Robin Greenwood, Lawrence Jin and Andrei Shleifer
    We present an extrapolative model of bubbles. In the model, many investors form their demand for a risky asset by weighing two signals: an average of the asset’s past price changes and the asset’s degree of overvaluation. The two signals are in conflict, and investors... View Details
    Keywords: Bubble; Extrapolation; Volume; Price Bubble; Mathematical Methods
    Related
    • March 1989 (Revised April 1998)
    • Case

    Marriott Corporation: The Cost of Capital (Abridged)

    By: Richard S. Ruback
    Gives students the opportunity to explore how a company uses the Capital Asset Pricing Model (CAPM) to compute the cost of capital for each of its divisions. The use of Weighted Average Cost of Capital (WACC) formula and the mechanics of applying it are stressed. View Details
    Keywords: Cost of Capital; Mathematical Methods
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      Ishita Sen

      Ishita Sen is an assistant professor of business administration in the Finance Unit. She teaches the Finance I course in the MBA required curriculum. Professor Sen’s research focuses on financial intermediation, asset pricing, and insurance markets. In her current... View Details

        Luis M. Viceira

        Luis M. Viceira is the George E. Bates Professor in the Finance Unit  and a Research Associate at the National Bureau of Economic Research. His research, course development, and teaching focus on the areas of investment management... View Details

        Keywords: banking; education industry; financial services; nonprofit industry; retail financial services

          Robin Greenwood

          Robin is the George Gund Professor of Finance and Banking at Harvard Business School. He serves as the Senior Associate Dean for Faculty Development and Research. He is past faculty director of the Behavioral Finance and Financial Stability project, chair of... View Details

          Keywords: banking; financial services
          • 06 Jun 2016
          • News

          Your Investment Tool Is Failing You

          • 16 Dec 2012
          • News

          Not all money market funds are equal

          • Article

          Market Integration in Developed and Emerging Markets: Evidence from the CAPM

          By: Robert Bruner, Wei Li, Mark Kritzman, Simon Myrgren and Sebastien Page
          Beta, as measured by the Capital Asset Pricing Model (CAPM), is widely used for pricing stocks, determining the cost of capital, and gauging the extent to which markets are integrated. The CAPM model assumes that equilibrium conditions prevail. The choice of which... View Details
          Related
          • 2009
          • Case

          Midland Energy Resources, Inc.: Cost of Capital (TN): Brief Case.

          By: Timothy A. Luehrman and Joel L. Heilprin
          Finance, Capital Asset Pricing Model (CAPM), Weighted Average Cost of Capital (WACC), Capital Structure, Risk Assessment, Corporate Finance, Cash Flow, Valuation, Beta, North America, Energy, Oil and Gas, Cost of Capital, Cost of Equity, Discount Rate, Risk Premium,... View Details
          Keywords: Capital Budgeting; Cost of Capital; Energy Industry
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          • 2020
          • Working Paper

          Internal Models, Make Believe Prices, and Bond Market Cornering

          By: Ishita Sen and Varun Sharma
          Exploiting position-level heterogeneity in regulatory incentives to misreport and novel data on regulators, we document that U.S. life insurers inflate the values of corporate bonds using internal models. We estimate an additional $9-$18 billion decline in regulatory... View Details
          Keywords: Life Insurers; Capital Regulation; Internal Models; Corporate Bonds; Regulatory Supervision; Concentrated Ownership; Bonds; Capital; Governing Rules, Regulations, and Reforms; Insurance; Investment Portfolio
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          • 2025
          • Working Paper

          Who Values Democracy?

          By: Max Miller
          This paper examines the conventional view that redistribution is central to the democratization process using data from stock markets. Consistent with this view, democratizations have a large, negative impact on asset valuations driven by a rise in redistribution risk.... View Details
          Keywords: Government and Politics; Risk and Uncertainty; Financial Crisis; Macroeconomics; Financial Markets; Valuation
          Related