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  • Research Summary

Firm and aggregate volatility

US publicly traded companies have become more volatile over the postwar period. This trend has been the result of increased competition in product markets through deregulation, through more intensive innovation activity, and through easier access to capital markets.... View Details

  • Research Summary

Time-Varying Volatility Risk Premia

This paper provides evidence for the existence of time-varying volatility risk premia.  In doing so, it examines the evolution of the implied volatility bias in the S&P 100 from 1986-2006. Additionally, the paper proves three new results regarding the limiting... View Details
  • Research Summary

The Connection Between Volatility and Leverage

By: Emil N. Siriwardane

Professor Siriwardane has co-developed a new econometric model that captures the link between equity volatility and financial leverage, driven by the desire to incorporate the record levels of both leverage and volatility that characterized the 2008 financial crisis... View Details

  • Article

Diverging Trends in Macro and Micro Volatility

By: Diego Comin and Sunil Mulani
This paper documents the diverging trends in volatility of the growth rate of sales at the aggregate and firm level. We establish that the upward trend in micro volatility is not simply driven by a compositional bias in the sample studied. We argue that this new fact... View Details
Keywords: Volatility; Mathematical Methods; Theory; Sales; Growth and Development
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  • 2023
  • Working Paper

Investor Preferences, Security Design and Volatility Prices

By: 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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  • 01 Dec 2001
  • News

Navigating Success in Volatile Times

The theme of this year's annual HBS African-American Alumni Association (HBSAAA) conference, "Navigating Success in Volatile Times," seemed particularly apropos after the incidents of September 11. "Like many organizations with events... View Details
Keywords: Mary Ellen Gardner; Finance
  • 09 Feb 2018
  • News

Will business class turn on POTUS if volatility continues?

  • June 2017 (Revised February 2019)
  • Case

Investing in Volatility at Evanston Capital Management

By: Adi Sunderam, Luis Viceira and Zhihan Ma
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  • 15 Mar 2020
  • News

Lenders scour financing documents amid market volatility

  • 01 Mar 2018
  • News

Leadership books for volatile and uncertain times

  • 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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  • 22 Sep 2020
  • News

Hedge Funds Reject Central Banker Criticism on Volatility

  • 14 Jul 2023
  • News

LinkedIn Co-Founder Reid Hoffman on Innovating Amid Volatility

  • November 2009
  • Journal Article

A Theory of Growth and Volatility at the Aggregate and Firm Level

By: Diego A. Comin and Sunil Mulani
This paper presents an endogenous growth model that explains the evolution of the first and second moments of productivity growth at the aggregate and firm level during the post-war period. Growth is driven by the development of both (i) idiosyncratic R&D innovations... View Details
Keywords: Volatility; Microeconomics; Innovation and Invention; Growth and Development Strategy; Resource Allocation; Performance Productivity; Mathematical Methods; Research and Development
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  • December 24, 2018
  • Editorial

Stock-Market Volatility Can Be Good for the Economy

By: Amar Bhidé
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  • October 2011 (Revised August 2017)
  • Case

Veracity Worldwide in Syria: Assessing Political Risk in a Volatile Environment

By: Aldo Musacchio and Sophus A. Reinert
Keywords: Risk and Uncertainty; Government and Politics; Business and Government Relations; Syria
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  • Article

Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

By: George Chacko and Luis M. Viceira
Keywords: Decision Choices and Conditions; Investment; Markets
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  • 1995
  • Working Paper

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

By: Zvi Bodie and Robert C. Merton
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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
  • April 12, 2023
  • Article

Using AI to Adjust Your Marketing and Sales in a Volatile World

By: Das Narayandas and Arijit Sengupta
Why are some firms better and faster than others at adapting their use of customer data to respond to changing or uncertain marketing conditions? A common thread across faster-acting firms is the use of AI models to predict outcomes at various stages of the customer... View Details
Keywords: Forecasting and Prediction; AI and Machine Learning; Consumer Behavior; Technology Adoption; Competitive Advantage
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