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  • Research Summary

Corporate Bond Pricing and Different Sources of Asset Return Volatility (with George Chacko and Jens Hilscher)

This paper presents a pricing model for defaultable bonds. Default is defined by a cash flow, not value, covenant. The cash flow (total distributions) yield is stochastic. We find that different sources of volatility, cash flow versus discount rate news, affect... View Details
  • 2013
  • Working Paper

Asset Price Dynamics with Limited Attention

By: Mark Seasholes, Terrence Hendershott, Sunny X. Li and Albert J. Menkveld
This paper studies the role that limited attention and inefficient risk sharing play in stock price deviations from the efficient prices at horizons from one day to one month. We expand the Due (2010) slow-moving capital model to analyze multiple groups of investors... View Details
Keywords: Transitory Volatility; Limited Attention; Individuals; Market Makers; Asset Pricing; Financial Markets; Volatility
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  • 1987
  • Working Paper

Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets

By: K. A. Froot
Simple regression tests that have power against the alternatives that asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over... View Details
Keywords: Risk Aversion; Risk; International Investing; International Finance; Risk and Uncertainty; Asset Pricing; Financial Markets; Investment; Behavioral Finance; Volatility
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  • December 2011
  • Article

Stock Price Fragility

By: Robin Greenwood and David Thesmar
We investigate the relationship between ownership structure of financial assets and non-fundamental risk. We define an asset to be fragile if it is susceptible to non-fundamental trading shocks. An asset can be fragile because of concentrated ownership or because its... View Details
Keywords: Stocks; Price; Ownership; Risk and Uncertainty; Assets; System Shocks; Financial Liquidity; Forecasting and Prediction; Investment Return; Volatility; Relationships; United States
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  • 27 Oct 2009
  • Working Paper Summaries

Stock Price Fragility

Keywords: by Robin Greenwood & David Thesmar
  • Article

Waves in Ship Prices and Investment

By: Robin Greenwood and Samuel G. Hanson
We study the link between investment boom and bust cycles and returns on capital in the dry bulk shipping industry. We show that high current ship earnings are associated with high used ship prices and heightened industry investment in new ships, but forecast low... View Details
Keywords: Business Earnings; Price; Investment; Shipping Industry
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  • 1995
  • Chapter

The Informational Role of Asset Prices: The Case of Implied Volatility

By: Zvi Bodie and Robert C. Merton
Keywords: Asset Pricing; Price; Volatility; Information
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  • November 1984
  • Background Note

Black-Scholes Option Pricing Program for the HP 12C Calculator

By: Andre F. Perold
Contains a program that can be used on the HP12C pocket calculator to compute the Black-Scholes option price and the associated hedge ratio. The program must be given the following parameters: the exercise price, the risk-free rate, the time to expiration, and the... View Details
Keywords: Stock Options; Investment Funds; Price; Management; Software
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  • Research Summary

Output and asset price fluctuations

What are the sources of business cycles? How are these shocks propagated in the economy? Why are their effects so persistent? How can we explain asset price fluctuations? How are shocks transmitted internationally?To study these questions, I have developed a series... View Details

  • January 2013
  • Teaching Note

Domino's Pizza (TN)

By: David E. Bell and Mary Shelman
Teaching Note for Domino's Pizza View Details
Keywords: Risk Management; Commodity Prices; Price Volatility; Agribusiness; QSR; Franchise; Food; Supply Chain Management; Agriculture and Agribusiness Industry; Food and Beverage Industry; United States
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  • Fast Answer

Options: Historical Prices

How do I find historical option prices? Options Metrics via WRDS provides historical price and implied volatility data for the U.S. equity and index options markets, on an option by option basis. Once you... View Details
  • 23 Aug 2013
  • Working Paper Summaries

Waves in Ship Prices and Investment

Keywords: by Robin Greenwood & Samuel Hanson
  • 29 Aug 2013
  • Working Paper Summaries

X-CAPM: An Extrapolative Capital Asset Pricing Model

Keywords: by Nicholas Barberis, Robin Greenwood, Lawrence Jin & Andrei Shleifer
  • March 2022 (Revised March 2024)
  • Case

Hometown Foods: Changing Price amid Inflation

By: Julian De Freitas, Jeremy Yang and Das Narayandas
During the early part of the 2021 Covid-19 pandemic, Hometown Foods, a large seller of flour-based products, thrived as consumers hoarded baked goods and took up baking to pass the time and find comfort. Then, amid growing shortages in commodities, a vaccine arrived,... View Details
Keywords: COVID-19 Pandemic; Consumer Behavior; Supply Chain; Inflation and Deflation; Spending; Price Bubble; Price; Volatility; Food and Beverage Industry
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  • March–April 2014
  • Article

The Low-Risk Anomaly: A Decomposition into Micro and Macro Effects

By: Malcolm Baker, Brendan Bradley and Ryan Taliaferro
Low beta stocks have offered a combination of low risk and high returns. We decompose the anomaly into micro and macro components. The micro component comes from the selection of low beta stocks. The macro component comes from the selection of low beta countries or... View Details
Keywords: Low Volatility; Beta; Portfolio Construction; Market Efficiency; Capital Asset Pricing Model; Asset Management
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  • Research Summary

Concentrated Capital Losses and the Pricing of Corporate Credit Risk

By: Emil N. Siriwardane

In studying the U.S. credit default swap (CDS) market, Professor Siriwardane has discovered that the selling of CDS protection is extremely concentrated, with five sellers accounting for nearly half the market. Further, in contrast to what neoclassical theory... View Details

  • 2025
  • Working Paper

How Do Households Suppress the Price of Tail Risk?

By: Laurent Calvet, Claire Célérier, Gordon Liao and Boris Vallée
This paper investigates the effects of the issuance of retail products with non-linear payoffs on option prices. For a given underlying asset, when the outstanding volume of products embedding a short-put position increases, implied volatility at the corresponding... View Details
Keywords: Security Design; Dividend; Options; Structured Products; Market Segmentation; Financial Instruments; Design; Volatility; Markets; Segmentation
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  • September 2018
  • Case

ProdEng: Services for Oil & Gas Extraction

By: Frank V. Cespedes, Maria Fernanda Miguel and Mariana Cal
ProdEng is a venture created as part of a PE fund and provides oil field services in Argentina. In 2016, an industry-wide unforeseen oil and gas demand slump drove ProdEng’s average service rates down by more than 37%, with EBITDA margins falling from 50% to 24% in the... View Details
Keywords: Pricing; Entrepreneurship; Sales; Marketing; Price; Strategy; Latin America; Argentina
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  • March 2002 (Revised July 2004)
  • Case

Price of Light, The: Privatization, Regulation and Valuation in Brazil

Asks students to produce a valuation for Rio Light, a Brazilian power company that is state owned and to be sold in March 1996. If successful, the privatization would bring in over $2 billion to the Brazilian treasury. But success was far from assured. Members of the... View Details
Keywords: Valuation; Energy Generation; Privatization; Corporate Governance; Energy Industry; Brazil
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  • 24 Apr 2019
  • Research & Ideas

The 'Amazon Effect' Is Changing Online Price Competition—and the Fed Needs to Pay Attention

lead to more volatile inflation in the future. Prices also can react quicker to policy changes and demand-side shocks. In fact, policymakers at the Federal Reserve and elsewhere are the target audience for... View Details
Keywords: by Roberta Holland; Retail