Samuel G. Hanson

Assistant Professor of Business Administration

Unit: Finance


(617) 495-6137

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Samuel G. Hanson is an Assistant Professor in the Finance Unit of Harvard Business School, and a Faculty Research Fellow at the National Bureau of Economic Research. He teaches the Finance I course in the MBA required curriculum and a PhD course in Empirical Methods.

Professor Hanson holds a Ph.D. in Business Economics from Harvard University and a B.A. in Quantitative Economics and Philosophy from Tufts University. Before beginning his doctoral studies, he worked as an investment banking analyst at Lehman Brothers and as an assistant economist at the Federal Reserve Bank of New York. During 2009 Hanson worked at the U.S. Treasury Department where he served as a Special Assistant and Liaison to the White House National Economic Council.

Professor Hanson's research interests lie in corporate finance, behavioral finance, and asset pricing. His recent research has focused on corporate supply responses to fluctuations in investor demand for different types of securities and on optimal financial regulation. Hanson's research has appeared in the Journal of Finance, the Journal of Financial Economics, the Review of Financial Studies, the Journal of Economic Perspectives, and the Review of Economics and Statistics.


Journal Articles

  1. Banks as Patient Fixed-Income Investors

    Samuel G. Hanson, Andrei Shleifer, Jeremy C. Stein and Robert W. Vishny

    We examine the business model of traditional commercial banks when they compete with shadow banks. While both types of intermediaries create safe "money-like" claims, they go about this in different ways. Traditional banks create money-like claims by holding illiquid fixed-income assets to maturity, and they rely on deposit insurance and costly equity capital to support this strategy. This strategy allows bank depositors to remain "sleepy": they do not have to pay attention to transient fluctuations in the market value of bank assets. In contrast, shadow banks create money-like claims by giving their investors an early exit option requiring the rapid liquidation of assets. Thus, traditional banks have a stable source of funding, while shadow banks are subject to runs and fire-sale losses. In equilibrium, traditional banks have a comparative advantage at holding fixed-income assets that have only modest fundamental risk but are illiquid and have substantial transitory price volatility, whereas shadow banks tend to hold relatively liquid assets.

    Keywords: Commercial Banking;


    Hanson, Samuel G., Andrei Shleifer, Jeremy C. Stein, and Robert W. Vishny. "Banks as Patient Fixed-Income Investors." Journal of Financial Economics (forthcoming). (Internet Appendix Here.) View Details
  2. Waves in Ship Prices and Investment

    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 future returns. We propose and estimate a behavioral model of industry cycles that can account for the evidence. In our model, firms over-extrapolate exogenous demand shocks and partially neglect the endogenous investment response of their competitors. As a result, firms overpay for ships and overinvest in booms and are disappointed by the subsequent low returns. Formal estimation of the model suggests that modest expectational errors can result in dramatic excess volatility in prices and investment.

    Keywords: Business Earnings; Price; Investment; Shipping Industry;


    Greenwood, Robin, and Samuel G. Hanson. "Waves in Ship Prices and Investment." Quarterly Journal of Economics 130, no. 1 (February 2015): 55–109. (Internet Appendix Here.) View Details
  3. Monetary Policy and Long-Term Real Rates

    Samuel G. Hanson and Jeremy C. Stein

    Changes in monetary policy have surprisingly strong effects on forward real rates in the distant future. A 100 basis point increase in the two-year nominal yield on a Federal Open Markets Committee announcement day is associated with a 42 basis point increase in the ten-year forward real rate. This finding is at odds with standard macro models based on sticky nominal prices, which imply that monetary policy cannot move real rates over a horizon longer than that over which all prices in the economy can readjust. Instead, the responsiveness of long-term real rates to monetary shocks appears to reflect changes in term premia. One mechanism that could generate such variation in term premia is based on demand effects due to the existence of what we call yield-oriented investors. We find some evidence supportive of this channel.

    Keywords: Policy; Interest Rates; Economics;


    Hanson, Samuel G., and Jeremy C. Stein. "Monetary Policy and Long-Term Real Rates." Journal of Financial Economics 115, no. 3 (March 2015): 429–448. View Details
  4. A Comparative-Advantage Approach to Government Debt Maturity

    Robin Greenwood, Samuel G. Hanson and Jeremy C. Stein

    We study optimal government debt maturity in a model where investors derive monetary services from holding riskless short-term securities. In a setting where the government is the only issuer of such riskless paper, it trades off the monetary premium associated with short-term debt against the refinancing risk implied by the need to roll over its debt more often. We then extend the model to allow private financial intermediaries to compete with the government in the provision of short-term, money-like claims. We argue that if there are negative externalities associated with private money creation, the government should tilt its issuance more towards short maturities. The idea is that the government may have a comparative advantage relative to the private sector in bearing refinancing risk and, hence, should aim to partially crowd out the private sector's use of short-term debt.

    Keywords: Sovereign Finance; Debt Securities;


    Greenwood, Robin, Samuel G. Hanson, and Jeremy C. Stein. "A Comparative-Advantage Approach to Government Debt Maturity." Journal of Finance (forthcoming). (Internet Appendix Here.) View Details
  5. Mortgage Convexity

    Samuel G. Hanson

    Most home mortgages in the United States are fixed-rate loans with an embedded prepayment option. When long-term rates decline, the effective duration of mortgage-backed securities (MBS) falls due to heightened refinancing expectations. I show that these changes in MBS duration function as large-scale shocks to the quantity of interest rate risk that must be borne by professional bond investors. I develop a simple model in which the risk tolerance of bond investors is limited in the short run, so these fluctuations in MBS duration generate significant variation in bond risk premia. Specifically, bond risk premia are high when aggregate MBS duration is high. The model offers an explanation for why long-term rates could appear to be excessively sensitive to movements in short rates and explains how changes in MBS duration act as a positive-feedback mechanism that amplifies interest rate volatility. I find strong support for these predictions in the time series of US government bond returns.

    Keywords: Mortgages; Interest Rates; Volatility;


    Hanson, Samuel G. "Mortgage Convexity." Journal of Financial Economics 113, no. 2 (August 2014): 270–299. (Internet Appendix Here.) View Details
  6. The Growth and Limits of Arbitrage: Evidence from Short Interest

    Samuel G. Hanson and Adi Sunderam

    We develop a novel methodology to infer the amount of capital allocated to quantitative equity arbitrage strategies. Using this methodology, which exploits time-variation in the cross section of short interest, we document that the amount of capital devoted to value and momentum strategies has grown significantly since the late 1980s. We provide evidence that this increase in capital has resulted in lower strategy returns. However, consistent with theories of limited arbitrage, we show that strategy-level capital flows are influenced by past strategy returns as well as strategy return volatility, and that arbitrage capital is most limited during times when strategies perform best. This suggests that the growth of arbitrage capital may not completely eliminate returns to these strategies.

    Keywords: Strategy; Financial Instruments; Capital Markets; Investment;


    Hanson, Samuel G., and Adi Sunderam. "The Growth and Limits of Arbitrage: Evidence from Short Interest." Review of Financial Studies 27, no. 4 (April 2014): 1238–1286. (Winner of the RFS Rising Scholar Prize 2014. Internet Appendix Here.) View Details
  7. Issuer Quality and Corporate Bond Returns

    Robin Greenwood and Samuel G. Hanson

    We show that the credit quality of corporate debt issuers deteriorates during credit booms, and that this deterioration forecasts low excess returns to corporate bondholders. The key insight is that changes in the pricing of credit risk disproportionately affect the financing costs faced by low quality firms, so the debt issuance of low quality firms is particularly useful for forecasting bond returns. We show that a significant decline in issuer quality is a more reliable signal of credit market overheating than rapid aggregate credit growth. We use these findings to investigate the forces driving time-variation in expected corporate bond returns.

    Keywords: Quality; Bonds; Forecasting and Prediction; Credit;


    Greenwood, Robin, and Samuel G. Hanson. "Issuer Quality and Corporate Bond Returns." Review of Financial Studies 26, no. 6 (June 2013): 1483–1525. (Internet Appendix Here.) View Details
  8. Are There Too Many Safe Securities? Securitization and the Incentives for Information Production

    Samuel G. Hanson and Adi Sunderam

    We present a model that helps explain several past collapses of securitization markets. Originators issue too many informationally insensitive securities in good times, blunting investor incentives to become informed. The resulting endogenous scarcity of informed investors exacerbates primary market collapses in bad times. Inefficiency arises because informed investors are a public good from the perspective of originators. All originators benefit from the presence of additional informed investors in bad times, but each originator minimizes his reliance on costly informed capital in good times by issuing safe securities. Our model suggests regulations that limit the issuance of safe securities in good times.

    Keywords: Information; Debt Securities; Financial Crisis;


    Hanson, Samuel G., and Adi Sunderam. "Are There Too Many Safe Securities? Securitization and the Incentives for Information Production." Journal of Financial Economics 108, no. 3 (June 2013): 565–584. (Internet Appendix Here.) View Details
  9. The Variance of Non-Parametric Treatment Effect Estimators in the Presence of Clustering

    Samuel G. Hanson and Adi Sunderam

    Non-parametric estimators of treatment effects are often applied in settings where clustering may be important. We provide a general methodology for consistently estimating the variance of a large class of non-parametric estimators, including the simple matching estimator, in the presence of clustering. Software for implementing our variance estimator is available in Stata.

    Keywords: treatment effects; matching estimators; clustering; Software; Mathematical Methods;


    Hanson, Samuel G., and Adi Sunderam. "The Variance of Non-Parametric Treatment Effect Estimators in the Presence of Clustering." Review of Economics and Statistics 94, no. 4 (November 2012). (Stata and Matlab Code Here.) View Details
  10. Share Issuance and Factor Timing

    Robin Greenwood and Samuel G. Hanson

    We show that characteristics of stock issuers can be used to forecast important common factors in stocks' returns such as those associated with book-to-market, size, and industry. Specifically, we use differences between the attributes of stock issuers and repurchasers to forecast characteristic-related factor returns. For example, we show that large firms underperform following years when issuing firms are large relative to repurchasing firms. While our strongest results are for portfolios based on book-to-market, size (i.e., we forecast the HML and SMB factors), and industry, our approach is also useful for forecasting factor returns associated with distress, payout policy, and profitability.

    Keywords: Investment Portfolio; Stock Shares; Forecasting and Prediction; Investment Return; Policy; Profit;


    Greenwood, Robin, and Samuel G. Hanson. "Share Issuance and Factor Timing." Journal of Finance 67, no. 2 (April 2012): 761–798. (Internet Appendix Here.) View Details
  11. A Gap-Filling Theory of Corporate Debt Maturity Choice

    Robin Greenwood, Samuel G. Hanson and Jeremy C. Stein

    We argue that time-series variation in the maturity of aggregate corporate debt issues arises because firms behave as macro liquidity providers, absorbing the large supply shocks associated with changes in the maturity structure of government debt. We document that when the government funds itself with relatively more short-term debt, firms fill the resulting gap by issuing more long-term debt, and vice-versa. This type of liquidity provision is undertaken more aggressively: i) in periods when the ratio of government debt to total debt is higher; and ii) by firms with stronger balance sheets. Our theory provides a new perspective on the apparent ability of firms to exploit bond-market return predictability with their financing choices.

    Keywords: Business Ventures; Decision Choices and Conditions; Borrowing and Debt; Financial Liquidity; Investment Return; Government and Politics;


    Greenwood, Robin, Samuel G. Hanson, and Jeremy C. Stein. "A Gap-Filling Theory of Corporate Debt Maturity Choice." Journal of Finance 65, no. 3 (June 2010): 993–1028. (Supplementary results in Internet Appendix.) View Details
  12. Firm Heterogeneity and Credit Risk Diversification

    Samuel G. Hanson, M. Hashem Pesaran and Til Schuermann

    This paper examines the impact of neglected heterogeneity on credit risk. We show that neglecting heterogeneity in firm returns and/or default thresholds leads to under estimation of expected losses (EL), and its effect on portfolio risk is ambiguous. Once EL is controlled for, the impact of neglecting parameter heterogeneity is complex and depends on the source and degree of heterogeneity. We show that ignoring differences in default thresholds results in overestimation of risk, while ignoring differences in return correlations yields ambiguous results. Our empirical application, designed to be typical and representative, combines both and shows that neglected heterogeneity results in overestimation of risk. Using a portfolio of U.S. firms we illustrate that heterogeneity in the default threshold or probability of default, measured for instance by a credit rating, is of first order importance in affecting the shape of the loss distribution: including ratings heterogeneity alone results in a 20% drop in loss volatility and a 40% drop in 99.9% VaR, the level to which the risk weights of the New Basel Accord are calibrated.

    Keywords: Volatility; Credit; Investment Return; Outcome or Result; Risk and Uncertainty; Loss; Diversification; Complexity; United States;


    Hanson, Samuel G., M. Hashem Pesaran, and Til Schuermann. "Firm Heterogeneity and Credit Risk Diversification." Journal of Empirical Finance 15, no. 4 (September 2008): 583–612. View Details
  13. Confidence Intervals for Probabilities of Default

    Samuel G. Hanson and Til Schuermann

    In this paper we conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD) using several analytical approaches as well as parametric and nonparametric bootstrap methods. We do so for two different PD estimation methods, cohort and duration (intensity), with 22 years of credit ratings data. We find that the bootstrapped intervals for the duration based estimates are relatively tight when compared to either analytic or bootstrapped intervals around the less efficient cohort estimator. We show how the large differences between the point estimates and confidence intervals of these two estimators are consistent with non-Markovian migration behavior. Surprisingly, even with these relatively tight confidence intervals, it is impossible to distinguish notch-level PDs for investment grade ratings, e.g. a PDAA- from a PDA+. However, once the speculative grade barrier is crossed, we are able to distinguish quite cleanly notch-level estimated PDs. Conditioning on the state of the business cycle helps: it is easier to distinguish adjacent PDs in recessions than in expansions.

    Keywords: Mathematical Methods; Investment; Business Cycles; Financial Crisis;


    Hanson, Samuel G., and Til Schuermann. "Confidence Intervals for Probabilities of Default." Journal of Banking & Finance 30, no. 8 (August 2006). View Details

Working Papers

  1. Who Neglects Risk? Investor Experience and the Credit Boom

    Sergey Chernenko, Samuel Gregory Hanson and Adi Sunderam

    Many have argued that overoptimistic thinking on the part of lenders helps fuel credit booms. We use new micro-data on mutual funds' holdings of securitizations to examine which investors are susceptible to such boom-time thinking. We show that firsthand experience plays a key role in shaping investors' beliefs. During the 2003-2007 mortgage boom, inexperienced fund managers loaded up on securitizations linked to nonprime mortgages and by 2007 accumulated twice the holdings of more seasoned managers. Moreover, inexperienced managers who personally experienced severe or recent adverse investment outcomes behaved more like seasoned managers. Training and institutional memory can serve as partial substitutes for personal experience.


    Chernenko, Sergey, Samuel Gregory Hanson, and Adi Sunderam. "Who Neglects Risk? Investor Experience and the Credit Boom." Working Paper, May 2015. View Details
  2. Price Dynamics in Partially Segmented Markets

    Robin Greenwood, Samuel Gregory Hanson and Gordon Y. Liao

    We develop a dynamic model of financial markets in which capital moves quickly within a given asset class, but more slowly across markets for different asset classes. In our model, most investors specialize in a single asset class such as government bonds, corporate bonds, or equities. However, a smaller number of generalist investors can flexibly allocate capital across markets, albeit only gradually. Short-run demand curves for individual asset classes are steeply downward-sloping and prices of risk in one market may be temporarily disconnected from those in others. Over the long-run, capital flows across the boundaries of asset classes and prices of risk are more closely aligned. Nonetheless, different markets are not perfectly integrated even in the long run because cross-market arbitrageur is risky. Using this framework, we show how supply shocks in one asset class are transmitted over time to other asset classes and how specialist and generalist investors trade in response. While prices of a given asset class initially overreact to a supply shock in that market, under plausible conditions, prices underreact in related markets. We explore several applications, including the design and impact of central bank asset purchase programs, and the role of corporate issuance in promoting market integration.

    Keywords: Capital Markets; Asset Pricing; Behavioral Finance;


    Greenwood, Robin, Samuel Gregory Hanson, and Gordon Y. Liao. "Price Dynamics in Partially Segmented Markets." Working Paper, March 2015. View Details
  3. The Rise and Fall of Demand for Securitizations

    Sergey Chernenko, Samuel G. Hanson and Adi Sunderam

    Collateralized debt obligations (CDOs) and private-label mortgage-backed securities (MBS) backed by nonprime loans played a central role in the recent financial crisis. Little is known, however, about the underlying forces that drove investor demand for these securitizations. Using micro-data on insurers' and mutual funds' bond holdings, we find considerable heterogeneity in investor demand for securitizations in the pre-crisis period. We argue that both investor beliefs and incentives help to explain this variation in demand. By contrast, our data paints a more uniform picture of investor behavior in the crisis. Consistent with theories of optimal liquidation, investors largely traded in more liquid securities, such as government-guaranteed MBS, to meet their liquidity needs during the crisis.

    Keywords: Debt Securities; Financial Markets; Financial Crisis;


    Chernenko, Sergey, Samuel G. Hanson, and Adi Sunderam. "The Rise and Fall of Demand for Securitizations." NBER Working Paper Series, No. 20777, December 2014. View Details
  4. Government Debt Management at the Zero Lower Bound

    Robin Greenwood, Samuel G. Hanson, Joshua S. Rudolph and Lawrence Summers

    This paper re-examines government debt management policy in light of the U.S. experience with extraordinary fiscal and monetary policies since 2008. We first document that the Treasury's decision to lengthen the average maturity of the debt has partially offset the Federal Reserve's attempts to reduce the supply of long-term bonds held by private investors through its policy of quantitative easing. We then examine the appropriate debt management policy for the consolidated government. We argue that traditional considerations favoring longer-term debt may be overstated, and suggest that there are several advantages to issuing greater quantities of short-term debt. Under current institutional arrangements, neither the Federal Reserve nor the Treasury is caused to view debt management policy on the basis of the overall national interest. We suggest revised institutional arrangements to promote greater cooperation between the Treasury and the Federal Reserve in setting debt management policy. This is particularly important when conventional monetary policy becomes constrained by the zero lower bound, leaving debt management as one of the few policy levers to support aggregate demand.

    Keywords: Government Debt; Sovereign Finance; Borrowing and Debt; United States;


    Greenwood, Robin, Samuel G. Hanson, Joshua S. Rudolph, and Lawrence Summers. "Government Debt Management at the Zero Lower Bound." Hutchins Center Working Paper, No. 5, September 2014. View Details
  5. Fiscal Risk and the Portfolio of Government Programs

    Samuel G. Hanson, David S. Scharfstein and Adi Sunderam

    This paper proposes a new approach to social cost-benefit analysis using a model in which a benevolent government chooses risky projects in the presence of market failures and tax distortions. The government internalizes market failures and therefore perceives project payoffs differently than do individual private actors. This gives it a "social risk management" motive—projects that generate social benefits are attractive, particularly if those benefits are realized in bad economic states. However, because of tax distortions, government financing is costly, creating a "fiscal risk management" motive. Government projects that require large tax-financed outlays are unattractive, particularly if those outlays tend to occur in bad economic times. At the optimum, the government trades off its social and fiscal risk management motives. Frictions in government financing create interdependence between two otherwise unrelated government projects. The fiscal risk of a project depends on how its fiscal costs covary with the fiscal costs of the government's overall portfolio of projects. This interdependence means that individual projects cannot be evaluated in isolation.

    Keywords: Risk Management; Programs; Government and Politics;


    Hanson, Samuel G., David S. Scharfstein, and Adi Sunderam. "Fiscal Risk and the Portfolio of Government Programs." Working Paper, June 2014. View Details
  6. An Evaluation of Money Market Fund Reform Proposals

    Samuel G. Hanson, David S. Scharfstein and Adi Sunderam

    U.S. money market mutual funds (MMFs) are an important source of dollar funding for global financial institutions, particularly those headquartered outside the U.S. MMFs proved to be a source of considerable instability during the financial crisis of 2007–2009, resulting in extraordinary government support to help stabilize the funding of global financial institutions. In light of the problems that emerged during the crisis, a number of MMF reforms have been proposed, which we analyze in this paper. We assume that the main goal of MMF reform is safeguarding global financial stability. In light of this goal, reforms should reduce the ex ante incentives for MMFs to take excessive risk and increase the ex post resilience of MMFs to system-wide runs. Our analysis suggests that requiring MMFs to have subordinated capital buffers could generate significant financial stability benefits. Subordinated capital provides MMFs with loss absorption capacity, lowering the probability that an MMF suffers losses large enough to trigger a run, and reduces incentives to take excessive risks. Other reform alternatives based on market forces, such as converting MMFs to a floating NAV, may be less effective in protecting financial stability. Our analysis sheds light on the fundamental tensions inherent in regulating the shadow banking system.

    Keywords: Risk Management; Balance and Stability; Investment Funds;


    Hanson, Samuel G., David S. Scharfstein, and Adi Sunderam. "An Evaluation of Money Market Fund Reform Proposals." Working Paper, June 2015. View Details

Other Publications and Materials

  1. An Analysis of the Impact of 'Substantially Heightened' Capital Requirements on Large Financial Institutions

    Anil Kashyap, Jeremy C. Stein and Samuel G. Hanson

    We examine the impact of "substantially heightened" capital requirements on large financial institutions, and on their customers. Our analysis yields three main conclusions. First, the frictions associated with raising new external equity finance are likely to be greater than the ongoing costs of holding equity on the balance sheet, implying that the new requirements should be phased in gradually. Second, the long-run steady-state impact on loan rates is likely to be modest, in the range of 25 to 45 basis points for a ten percentage-point increase in the capital requirement. Third, due to the unique nature of competition in financial services, even these modest effects raise significant concerns about migration of credit-creation activity to the shadow-banking sector, and the potential for increased fragility of the overall financial system that this might bring. Thus to avoid tilting the playing field in such a way as to generate a variety of damaging unintended consequences, increased regulation of the shadowbanking sector should be seen as an important complement to the reforms that are contemplated for banks and other large financial institutions.

    Keywords: Financial Institutions; Governing Rules, Regulations, and Reforms; Capital; Equity; Financing and Loans; Credit;


    Kashyap, Anil, Jeremy C. Stein, and Samuel G. Hanson. "An Analysis of the Impact of 'Substantially Heightened' Capital Requirements on Large Financial Institutions." 2010. Mimeo. View Details
  2. Do Hedge Funds Profit from Mutual-Fund Distress?

    Joseph Chen, Samuel G. Hanson, Harrison Hong and Jeremy C. Stein

    This paper explores the question of whether hedge funds engage in frontrunning strategies that exploit the predictable trades of others. One potential opportunity for front-running arises when distressed mutual funds—those suffering large outflows of assets under management—are forced to sell stocks they own. We document two pieces of evidence that are consistent with hedge funds taking advantage of this opportunity. First, in the time series, the average returns of long/short equity hedge funds are significantly higher in those months when a larger fraction of the mutual-fund sector is in distress. Second, at the individualstock level, short interest rises in advance of sales by distressed mutual funds.

    Keywords: Investment Funds; Profit; Strategy; Forecasting and Prediction; Investment Return; Opportunities; Asset Management; Sales;


    Chen, Joseph, Samuel G. Hanson, Harrison Hong, and Jeremy C. Stein. "Do Hedge Funds Profit from Mutual-Fund Distress?" 2008. Mimeo. View Details

Cases and Teaching Materials

  1. Longbow Capital Partners

    Malcolm Baker, Samuel G. Hanson and James Weber

    Longbow Capital Partners is a value-oriented long/short hedge fund focused on stocks in the energy sector. In January 2011, Longbow had invested in NiSource, a Fortune 500 company that owns a diverse portfolio of regulated energy businesses. In late 2014, Longbow was deciding whether or not to maintain its position in NiSource. To make this decision, students must perform a discounted dividend analysis to determine the fundamental value of NiSource's stock. Students are also asked to perform a sum-of-the-parts analysis to assess the implications of NiSource's recent proposal to pursue a tax-advantaged spin-off of its pipeline business.

    Keywords: value investing; investment strategy; dividend yield; intrinsic value; dividend discount model; Master Limited Partnership; hedge fund; Energy Industry; regulation; utilities; Finance; Financial Services Industry; United States;


    Baker, Malcolm, Samuel G. Hanson, and James Weber. "Longbow Capital Partners." Harvard Business School Case 215-026, February 2015. View Details
  2. Grantham, Mayo, and Van Otterloo, 2012: Estimating the Equity Risk Premium

    Samuel Hanson, Erik Stafford and Luis Viceira

    Keywords: investment banking; Equity Valuation; Investment Banking; Equity;


    Hanson, Samuel, Erik Stafford, and Luis Viceira. "Grantham, Mayo, and Van Otterloo, 2012: Estimating the Equity Risk Premium." Harvard Business School Case 213-051, October 2012. (Revised June 2015.) View Details
  3. Grantham, Mayo, and Van Otterloo, 2012: Estimating the Equity Risk Premium (CW)

    Samuel Gregory Hanson, Erik Stafford and Luis M. Viceira


    Hanson, Samuel Gregory, Erik Stafford, and Luis M. Viceira. "Grantham, Mayo, and Van Otterloo, 2012: Estimating the Equity Risk Premium (CW)." Harvard Business School Spreadsheet Supplement 213-717, February 2013. (Revised January 2015.) View Details
  4. Grantham, Mayo, and Van Otterloo, 2012: Estimating the Equity Risk Premium (Abridged) Spreadsheet Supplement

    Samuel Gregory Hanson, Erik Stafford and Luis M. Viceira


    Hanson, Samuel Gregory, Erik Stafford, and Luis M. Viceira. "Grantham, Mayo, and Van Otterloo, 2012: Estimating the Equity Risk Premium (Abridged) Spreadsheet Supplement." Harvard Business School Spreadsheet Supplement 215-704, October 2014. View Details
  5. Dogs of the Dow

    Malcolm Baker, Samuel G. Hanson and James Weber

    This case describes the Dogs of the Dow investment strategy, value investing, and using dividend yields as a means to determine intrinsic value. It also describes exchange traded notes and a particular exchange traded note, known as the Dogs of the Dow, which tracks the performance of the 10 highest yielding stocks of the 30 stocks that make up the Dow Jones Industrial Average (DJIA). The case provides share price data, dividend data, and financial statement data on the 30 DJIA companies to enable students to perform their own calculations.

    Keywords: Dow Jones; Dow Jones Industrial Average; Exchange Traded Note; Exchange Traded Fund; value investing; Benjamin Graham; investment strategy; dividend yield; intrinsic value; dividend discount model; Michael O'Higgins; Financial Instruments; Financial Services Industry; United States;


    Baker, Malcolm, Samuel G. Hanson, and James Weber. "Dogs of the Dow." Harvard Business School Case 215-020, January 2015. (Revised January 2015.) View Details
      1. Winner of the 2014 Rising Scholar Award from The Review of Financial Studies for his paper with Adi Sunderam, “The Growth and Limits of Arbitrage: Evidence from Short Interest.”