Publications

1996
Working Paper

The Cost of International Equity Trading

By: André Perold and Erik R. Sirri

2019
Article

Time Series Experiments and Causal Estimands: Exact Randomization Tests and Trading

By: Iavor I Bojinov and Neil Shephard

We define causal estimands for experiments on single time series, extending the potential outcome framework to dealing with temporal data. Our approach allows the estimation of a broad class of these estimands and exact randomization based p-values for testing causal... View Details

Keywords: Causality; Nonparametric; Potential Outcomes; Trading Costs; Mathematical Methods

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July 2023 (Revised February 2024)
Case

Equity Restructuring at Dell Technologies: Buy Out, Buy Up, Buy In (A)

By: Stuart C. Gilson and Sarah L. Abbott

In November 2018, Dell Technologies was poised to re-enter the public markets by means of a complex recapitalization that would replace an entire class of publicly-traded “tracking stock,” with new shares that would trade publicly without the need of a formal IPO. The... View Details

Keywords: Technology; M＆A; Recapitalization; MBO; Equity Issues; Private Equity Buyouts; Public Ownership; Stock Shares; Mergers and Acquisitions; Equity; Technology Industry; United States

January 2008
Background Note

Equity Options

By: Joshua Coval and Erik Stafford

The goal of this simulation is to understand the reliance of option values on volatility. When an investor trades an option, they are essentially trading volatility. Therefore, much of the focus in this lesson is on forecasting volatility. Students are able to use two... View Details

Keywords: Volatility; Forecasting and Prediction; Stock Options; Investment Return; Price; Market Transactions; Mathematical Methods; Value

October 1995
Article

New Trading Practices and Short-Run Market Efficiency

By: Kenneth A. Froot and André Perold

Keywords: Institutional Investing; Market Efficiency; Behavioral Finance; Equities; Stock Market; Indexing; Financial Markets; Asset Pricing

Fast Answer

Insider trading

page. Hover over the Ownership tab and select Insider Report. You can view Strategic Entities, Insider Summary, and Insider Transactions. In Bloomberg For company holdings: Type the Ticker symbol of the equity you want, hit the... View Details

March 1996 (Revised April 2006)
Case

Global Equity Markets: The Case of Royal Dutch and Shell

By: Kenneth A. Froot and Andre F. Perold

Royal Dutch and Shell common stocks are securities with linked cash flow, so that the ratio of their stock prices should be fixed. In fact, the ratio is highly variable, moving with the markets where the securities are intensively traded. Royal Dutch trades more... View Details

Keywords: International Equity Markets; International Cost Of Capital; Cross-border Valuation; International Finance; Equity; Cost of Capital; Valuation; Cash Flow

March 2009
Article

Trading Restrictions and Stock Prices

By: Robin Greenwood

Firms can manipulate their stock price by limiting the ability of their investors to sell. I examine a series of corporate events in Japan in which firms actively reduced their float—the fraction of shares available to trade—for periods of one to three months, locking... View Details

Keywords: Equity; Stock Shares; Investment; Investment Return; Price; Market Transactions; Japan

14 Aug 2009
Working Paper Summaries

Insider Trading Preceding Goodwill Impairments

Keywords: by Karl A. Muller III, Monica Neamtiu & Edward J. Riedl

October 2012
Case

Winfield Refuse Management, Inc.: Raising Debt vs. Equity

By: W. Carl Kester and Sunru Yong

A small, publicly traded company specializing in non-hazardous waste management considers a major acquisition in the Midwestern U.S. The acquisition can provide entry into the region, help the firm compete in a competitive industry, and improve its cost position. The... View Details

Keywords: United States; Acquisitions; Capital Structure; Equity Capital; Debt Management; Expansion; Leveraged Buyouts; Financial Analysis; Administrative/Support/Waste Management/Remediation Services; Equity; Borrowing and Debt; Service Industry

summer 1992
Article

Shareholder Trading Practices and Corporate Investment Horizons

By: Kenneth A. Froot, André Perold and J. Stein

Keywords: Institutional Investing; Market Efficiency; Behavioral Finance; Equities; Stock Market; Indexing; Financial Markets; Asset Pricing

January 2010
Article

Does Public Ownership of Equity Improve Earnings Quality?

We compare the quality of accounting numbers produced by two types of public firms-those with publicly traded equity and those with privately held equity that are nonetheless considered public by virtue of having publicly traded debt. We develop and test two... View Details

Keywords: Private Equity; Business Earnings; Public Equity

Fast Answer

Exchange traded funds

target="new">Morningstar Direct Multi-currency research platform that provides performance and holdings analysis of investments. Includes data on closed-end funds, equity ownership, exchange traded funds,... View Details

February 2006 (Revised February 2007)
Case

Rico Auto Industries: Raising Private Equity in India

By: G. Felda Hardymon and Ann Leamon

The CEO of a publicly traded Indian auto components manufacturer must decide whether to accept an investment from a consortium of private equity firms. Describes the decision process for both the private equity investors and the entrepreneur and profiles the... View Details

Keywords: Private Equity; Auto Industry; India

June 7, 1990
Article

New Trading Practices and the Short-run Predictability of the S&P 500

By: André Perold, Kenneth A. Froot and James F. Gammill Jr.

Keywords: Institutional Investing; Market Efficiency; Equities; Stock Market; Indexing; Asset Pricing; Financial Markets; Investment; Behavioral Finance

Clubs

Venture Capital & Private Equity Club

Keywords: Investment Banking / Sales & Trading; Investment Banking / Sales & Trading

23 Apr 2009
Working Paper Summaries

Does Public Ownership of Equity Improve Earnings Quality?

Keywords: by Dan Givoly, Carla Hayn & Sharon P. Katz

2015
Working Paper

Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting

By: Erik Stafford

Private equity funds tend to select relatively small firms with low EBITDA multiples. Publicly traded equities with these characteristics have high risk-adjusted returns after controlling for common factors typically associated with value stocks. Hold-to-maturity... View Details

Keywords: Value Investing; Endowments; Investment Management; Asset Pricing; Private Equity; Investment; Management; United States