Publications

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September 2010 (Revised March 2012)
Case

AQR's Momentum Funds (A)

By: Daniel Baird Bergstresser, Lauren H. Cohen, Randolph B. Cohen and Christopher J. Malloy

AQR is a hedge fund based in Greenwich, Connecticut, that is considering offering a wholly new line of product to retail investors, namely the ability to invest in the price phenomenon known as momentum. There is a large body of empirical evidence supporting momentum... View Details

Keywords: Financial Strategy; Investment Funds; Investment Portfolio; Governing Rules, Regulations, and Reforms; Product Development; Financial Services Industry; Greenwich

Abstract
Using a large panel of U.S. brokerage accounts trades and positions, we show that a large fraction of retail investors trade as contrarians after large earnings surprises, especially for loser stocks, and that such contrarian trading... View Details

2020
Article

Public Sentiment and the Price of Corporate Sustainability

By: George Serafeim

Combining corporate sustainability performance scores based on environmental, social, and governance (ESG) data with big data measuring public sentiment about a company’s sustainability performance, I find that the valuation premium paid for companies with strong... View Details

Keywords: Sustainability; ESG; ESG (Environmental, Social, Governance) Performance; Investment Management; Investment Strategy; Big Data; Machine Learning; Environment; Environmental Sustainability; Corporate Governance; Performance; Asset Pricing; Investment; Management; Strategy; Human Capital; Public Opinion; Value; Analytics and Data Science

SSRN

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2023
Working Paper

Contagious Anomalies

By: Angela Ma and Miles Zheng

This paper shows that anomaly strategy contagion contributes a key component of risks induced by arbitrageur trading. We present three main findings: (1) Contagion deteriorates the market liquidity of the contaminated strategy. (2) Increased contagion risk predicts... View Details

Keywords: Contagion; Anomalies; Non-bank Intermediaries; Arbitrage; Intermediary Asset Pricing

SSRN

September 2003 (Revised May 2006)
Case

Eyeblaster: Enabling the Next Generation of Online Advertising

By: Elie Ofek

Eyeblaster management has to decide on the best course of action to sustain its momentum from enabling online rich media advertising. Pressure from competitors is forcing the company to re-evaluate its previous marketing strategy that focused primarily on getting... View Details

Keywords: Business Model; Marketing Strategy; Market Entry and Exit; Performance Evaluation; Digital Marketing; Growth and Development Strategy

2024
Working Paper

Finance Without Exotic Risk

By: Pedro Bordalo, Nicola Gennaioli, Rafael La Porta and Andrei Shleifer

We address the joint hypothesis problem in cross-sectional asset pricing by using measured analyst expectations of earnings growth. We construct a firm-level measure of Expectations Based Returns (EBRs) that uses analyst forecast errors and revisions and shuts down any... View Details

Keywords: Investment Return; Financial Markets; Behavioral Finance; Risk and Uncertainty

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October 2012
Case

Romney vs. Obama and U.S. Energy Policy

By: Rawi Abdelal and Kaitlyn Tuthill

In 2012, the energy sector in the United States was demanding major reform. Prices of oil and gas had continued to cripple the middle and lower class as the U.S. economy slowly recovered. At the same time, the U.S. lagged behind developed economies in production of... View Details

Keywords: Mitt Romney; Barack Obama; Energy; Election Outcomes; Climate Change; Renewable Energy; Political Elections; Policy; Business and Government Relations; Public Administration Industry; United States

May 2024
Article

Production Complementarity and Information Transmission Across Industries

By: Charles M.C. Lee, Terrence Tianshuo Shi, Stephen Teng Sun and Ran Zhang

Economic theory suggests that production complementarity is an important driver of sectoral co-movements and business cycle fluctuations. We operationalize this concept using a measure of production complementarity proximity (COMPL) between any two companies. We show... View Details

Keywords: Financial Markets; Networks; Investment Return; Business Cycles

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Research Summary

Systematic Risk in the Housing Markets

A one-factor pricing model is employed to investigate the internal consistency of single family home and professionally-managed property prices during 1986-2006. The risk fac-tor used here is the US real estate index, which has much stronger explanatory power than the... View Details

April 2025
Case

#FutureFresenius: Implementing a New Strategy to Transform the Company and Advance Patient Care

By: David J. Collis, Benjamin C. Esty and Haisley Wert

In February 2024, Fresenius CEO Michael Sen reflected on the company’s transformation journey from his office in Bad Homburg, Germany. With revenues of €22 billion and a mission to advance patient care, Fresenius had built a strong reputation through decades of... View Details

Keywords: Strategic Planning; Corporate Strategy; Transformation; Finance; Leading Change; Organizational Culture; Organizational Structure; Alignment; Health Industry; Germany; United States

November 2024
Teaching Note

Mercado Bitcoin: M&A, IPO, or Series B?

By: Raymond Kluender, Emanuele Colonnelli and Sabrina Howell

Teaching Note for HBS Case No. 825-047. In April 2021, Brazilian cryptocurrency platform Mercado Bitcoin, had to decide how to scale: go public, M&A with a bank, or take a VC big check. In a highly volatile market, Roberto Dagnoni, chairman of the board, viewed the... View Details

16 Feb 2016
First Look

February 16, 2016

https://www.hbs.edu/faculty/Pages/item.aspx?num=50588 forthcoming Marketing Science Minimum Advertised Pricing: Patterns of Violation in Competitive Retail Markets By: Israeli, Ayelet, Eric Anderson, and Anne Coughlan Abstract—Manufacturers in many industries frequently... View Details

Keywords: Sean Silverthorne

August 2024 (Revised November 2024)
Case

Mercado Bitcoin: M&A, IPO, or Series B?

By: Raymond Kluender, Emanuele Colonnelli, Sabrina T. Howell and Karina Souza

In April 2021, Brazilian cryptocurrency platform Mercado Bitcoin had to decide how to scale: go public, M&A with a bank, or take a VC big check. In a highly volatile market, Roberto Dagnoni, chairman of the board, viewed the unprecedent crypto momentum as a window of... View Details