Andre F. Perold

George Gund Professor of Finance and Banking, Emeritus

André Perold is a Founder, Managing Partner, and Chief Investment Officer of HighVista Strategies, a Boston-based investment firm. HighVista employs an approach based on broad diversification and risk management across global asset classes and alternative strategies. Perold is also the George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School, where he had a distinguished career over more than three decades before assuming his current role at HighVista in mid-2011. He had previously served as Chairman of HighVista’s Investment Committee while he was still at Harvard.

Perold is the author and co-author of numerous articles, cases, and two books, all relating to investment management, capital markets, and the financial system.  At Harvard Business School, he developed popular courses in Investment Management and Capital Markets, including a recent course focused on investing in real assets.  Perold has received numerous awards for teaching excellence, and he was voted the School’s most outstanding professor in a Business Week student survey.  He also served in senior roles at Harvard Business School, including as a Senior Associate Dean and Chair of the Finance Faculty.

In addition to his work at Harvard and HighVista, Perold has served as a director, trustee and advisory board member of a variety of not-for-profit and other organizations. He is presently a director of The Vanguard Group and Rand Merchant Bank, an Overseer of the Museum of Fine Arts Boston, and a member of the Investment Committee of the Partners Healthcare.  He also serves on a number of advisory boards, including the Advisory Council of the Financial Analysts Journal. Perold received his Bachelor's degree from the University of the Witwatersrand, Johannesburg, and his Masters and Ph.D. degrees from Stanford University.


 

Books

  1. The Global Financial System: A Functional Perspective

    Keywords: corporate finance; Imperfect markets; behavioral finance; Asset Pricing;

    Citation:

    Crane, D. B., K. A. Froot, Scott P. Mason, André Perold, R. C. Merton, Z. Bodie, E. R. Sirri, and P. Tufano. The Global Financial System: A Functional Perspective. Boston: Harvard Business School Press, 1995. View Details

Journal Articles

  1. Fundamentally Flawed Indexing

    A new theory of finance is being advanced as providing definitive proof that holding stocks in proportion to their market capitalizations is an inferior investment strategy. The claim is that capitalization weighting necessarily invests more in overvalued stocks and less in undervalued stocks. Dubbed the "noisy market hypothesis," the theory is being used to advocate investments in non-cap-weighted (sometimes called "fundamental") funds and indices. Unfortunately, there is a fundamental flaw in the logic. The "theory" is seeking to position an active management strategy in a passive management framework. And it asserts rather than derives the inferiority of capitalization weighting. The assertion, moreover, is false. Bottom line? Capitalization weighting does not impose an inherent performance drag. This article lays out what the noisy market hypothesis is claiming and then explain why the conclusion it reaches about the inferiority of capitalization weighting is incorrect.

    Keywords: Investment; Capital Markets; Financial Strategy; Stocks; Financial Management; Valuation;

    Citation:

    Perold, Andre F. "Fundamentally Flawed Indexing." Financial Analysts Journal 63, no. 6 (November–December 2007). (

    Winner of Graham and Dodd Best Perspectives Award For excellence in financial writing​

    .) View Details
  2. New Trading Practices and Short-Run Market Efficiency

    Keywords: institutional investing; market efficiency; behavioral finance; equities; stock market; indexing; Financial Markets; Asset Pricing;

    Citation:

    Froot, Kenneth A., and André Perold. "New Trading Practices and Short-Run Market Efficiency." Journal of Futures Markets 15, no. 7 (October 1995): 731–766. (Revised from NBER Working Paper No. 3498, October 1990.) View Details
  3. Shareholder Trading Practices and Corporate Investment Horizons

    Keywords: institutional investing; market efficiency; behavioral finance; equities; stock market; indexing; Financial Markets; Asset Pricing;

    Citation:

    Froot, Kenneth A., André Perold, and J. Stein. "Shareholder Trading Practices and Corporate Investment Horizons." Continental Bank Journal of Applied Corporate Finance 5, no. 2 (summer 1992): 42–58. View Details
  4. New Trading Practices and the Short-run Predictability of the S&P 500

    Keywords: Financial Markets; asset pricing; institutional investing; market efficiency; behavioral finance; equities; stock market; indexing; Asset Pricing; Financial Markets; Investment; Behavioral Finance;

    Citation:

    Perold, André, Kenneth A. Froot, and James F. Gammill Jr. "New Trading Practices and the Short-run Predictability of the S&P 500." Market Volatility and Investor Confidence: Report to the Board of Directors of the New York Stock Exchange, Inc. (June 7, 1990): G1: 1–27. View Details

Book Chapters

  1. Comments on 'Index Hedge Performance: Insurer Market Penetration and Basis Risk' by John A. Major

    Keywords: Insurance; Risk and Uncertainty; Insurance Industry;

    Citation:

    Perold, André. "Comments on 'Index Hedge Performance: Insurer Market Penetration and Basis Risk' by John A. Major." In The Financing of Property and Causality Risk, edited by Kenneth A. Froot. University of Chicago Press, 1998. View Details
  2. The Payment System and Derivative Instruments

    Keywords: Financial Instruments; Financial Markets;

    Citation:

    Perold, André. "The Payment System and Derivative Instruments." In The Global Financial System: A Functional Perspective, by D. B. Crane, K. A. Froot, Scott P. Mason, André Perold, R. C. Merton, Z. Bodie, E. R. Sirri, and P. Tufano. Boston: Harvard Business School Press, 1995. View Details
  3. Management of Risk Capital in Financial Firms

    Keywords: Risk Management; Capital; Financial Institutions; Financial Services Industry;

    Citation:

    Merton, Robert C., and André Perold. "Management of Risk Capital in Financial Firms." In Financial Services: Perspectives and Challenges, edited by Samuel L. Hayes III, 215–245. Boston, MA: Harvard Business School Press, 1993. View Details
  4. The Free Lunch in Currency Hedging: Implications for Investment Policy and Performance Standards

    Keywords: Currency Exchange Rate; International Finance; Investment; Performance;

    Citation:

    Perold, André, and Evan C. Schulman. "The Free Lunch in Currency Hedging: Implications for Investment Policy and Performance Standards." In The Currency Hedging Debate, edited by Lee R. Tomas III, 15–24. IFR Publishing, 1990. View Details
  5. The Institutionalization of Wealth: Changing Patterns of Investment Decision-Making

    Keywords: Decision Making; Trends; Investment; Wealth;

    Citation:

    Perold, André, and Jay O. Light. "The Institutionalization of Wealth: Changing Patterns of Investment Decision-Making." In Wall Street and Regulation, edited by Samuel L. Hayes III, 97–126. Boston: Harvard Business School Press, 1987. View Details

Working Papers

Cases and Teaching Materials

  1. B. Zaitz & Sons Co. Farmland Investing

    In April 2013, Ben Zaitz was looking down at an expanse of agricultural land as his plane flew over the Midwest. He would soon arrive in northern Minnesota to meet with farmers regarding land he had recently purchased there. The vast tracts of row-crop acreage below were just another reminder of the astonishing agricultural development that had taken place in the last 5-7 years—not only in the United States but also in Eastern Europe, Africa, and Latin America. Ben wondered if agriculture was not fast becoming overheated, and whether he should not rethink his whole approach to farmland investing.

    Keywords: Plant-Based Agribusiness; Investment; Market Participation; Business Strategy; Financial Services Industry; Agriculture and Agribusiness Industry; Minnesota; Latin America; Africa; United States; Europe;

    Citation:

    Perold, Andre F. "B. Zaitz & Sons Co. Farmland Investing." Harvard Business School Case 914-404, July 2013. View Details
  2. The Madera Ranch and Water Bank

    The protagonist is trying to decide whether to purchase and develop an aquifer lying beneath rural land near Fresno, California. The project could fill a void for local farmers as well as surrounding municipalities and a variety of other customers throughout California.

    Keywords: Investment; Assets; Decision Making; Agriculture and Agribusiness Industry; California;

    Citation:

    Perold, Andre F., and Geoffrey Bernstein. "The Madera Ranch and Water Bank." Harvard Business School Case 213-003, July 2012. (Revised July 2012.) View Details
  3. RMS: Investing in Chinese Timberland

    The protagonist is considering acquiring a timber property located in rural China, a region where almost no timberland investment has taken place. The question is how to value the property, including understanding the appropriate risk-adjusted return.

    Keywords: China;

    Citation:

    Perold, Andre F. "RMS: Investing in Chinese Timberland ." Harvard Business School Case 213-002, July 2012. (Revised July 2012.) View Details
  4. Gone Rural

    Gone Rural employs 750 women in rural communities across Swaziland to produce handwoven baskets and other hand-crafted items. The women are mostly grandmothers caring for children orphaned as a result of the country's high AIDS-related death rate. The company has a strong social mission to improve the economic situation of these women and wants to grow rapidly. It has been very successful designing, making, and selling its products in the high-end global market place. It now needs to raise significant external capital to build new facilities. This may be the first time in its 18-year history that the company brings in external profit-minded stakeholders.

    Keywords: Social Enterprise; Financial Management; Working Capital; Cost of Capital; Capital Structure; Corporate Social Responsibility and Impact; Forecasting and Prediction; Swaziland;

    Citation:

    Perold, Andre F. "Gone Rural." Harvard Business School Case 211-016, September 2010. (Revised March 2011.) View Details
  5. Harvard Management Company (2010)

    In February 2010, Jane Mendillo, CEO of Harvard Management Company, was reflecting on the list of issues facing Harvard University's endowment in preparation for the upcoming board meeting. The recent financial crisis had vividly highlighted several key issues including the adequacy of short-term liquidity, the effectiveness of portfolio risk management, and the balance of internal and external managers.

    Keywords: Financial Crisis; Higher Education; Asset Management; Financial Liquidity; Investment Portfolio; Risk Management; Education Industry; Financial Services Industry; Massachusetts;

    Citation:

    Perold, Andre F., and Erik Stafford. "Harvard Management Company (2010)." Harvard Business School Case 211-004, September 2010. (Revised May 2012.) View Details
  6. Dollarama Inc.

    Dollarama is the leading operator of dollar stores in Canada. The firm performed extraordinarily well after a leveraged buyout in 2004 and recently executed a highly successful IPO. The company sources its goods primarily from Asia. It has strong brand recognition and competitive advantages in operations, purchasing, and merchandising. In the face of margin pressures, Dollarama recently took the risky decision to move from the single one-dollar price point to multiple price points. The additional price points offer some flexibility, but customers' appetite for purchasing products priced above one dollar has yet to be fully determined. Dollarama is on a fast growth track but remains chiefly concerned about its vulnerability to supply disruptions and to increases in merchandise costs from higher input prices. The firm appears quite overvalued based on a multiples analysis but considerably undervalued based on a discounted cash flow analysis.

    Keywords: Price; Growth and Development Strategy; Product Positioning; Supply Chain; Competitive Advantage; Valuation; Consumer Products Industry; Retail Industry; Canada;

    Citation:

    Perold, Andre F. "Dollarama Inc." Harvard Business School Case 210-041, February 2010. (Revised May 2012.) View Details
  7. Rosetree Mortgage Opportunity Fund (TN)

    Teaching Note for [209088].

    Keywords: Financial Crisis; Crisis Management; Capital; Mortgages; Mergers and Acquisitions; Valuation; Borrowing and Debt; Cash Flow; Bids and Bidding; Financing and Loans; Restructuring; Financial Markets; United States;

    Citation:

    Ivashina, Victoria, and Andre F. Perold. "Rosetree Mortgage Opportunity Fund (TN)." Harvard Business School Teaching Note 210-065, March 2010. View Details
  8. The University of Notre Dame Endowment

    The Endowment Model of Investing, which was based on creating high risk-adjusted performance through diversification, a long time horizon, top-notch outside managers, and illiquid investments, had served Notre Dame and other large universities well over the past several decades. Scott Malpass, Notre Dame's Chief Investment Officer, was confident that this was a successful way to invest if implemented effectively, but he also saw the top university endowments experience 25% to 35% declines in portfolio value during the second half of 2008 that eviscerated the investment gains from the past several years. Notre Dame had weathered the crisis relatively well, but there were several key questions Malpass had to address. Should Notre Dame continue to make illiquid investments in the context of rising unfunded commitments relative to liquid funds? Was compensation adequate for the illiquidity of these types of investments? In relation to manager selection, how could the Notre Dame investment team continue to find the best managers to create alpha? To what extent would the performance of managers during the crisis be predictive of future performance in other portions of the economic cycle? How would the long-established industry terms of contract between clients and managers change going forward? Was there an opportunity for clients to negotiate better terms? These issues all needed to be addressed in the context of protecting the University's operating budget and supporting the mission of the institution.

    Keywords: Financial Crisis; Higher Education; Asset Management; Private Equity; Financial Liquidity; Investment; Risk Management; Performance Evaluation; Education Industry; Financial Services Industry;

    Citation:

    Perold, Andre F., and Paul Michael Buser. "The University of Notre Dame Endowment." Harvard Business School Case 210-007, October 2009. (Revised January 2010.) View Details
  9. The Carbon Market

    The carbon market has emerged in response to concerns about global climate change. This note characterizes the market in 2008, describing each segment and how it operates.

    Keywords: Non-Renewable Energy; Market Transactions; Environmental Sustainability; Weather and Climate Change;

    Citation:

    Perold, Andre F., Forest L. Reinhardt, and Mikell Hyman. "The Carbon Market." Harvard Business School Background Note 209-064, September 2008. (Revised October 2009.) View Details
  10. Allston: Brand vs. Architecture

    Harvard President Lawrence Summers had presided over the final interviews of world-renowned architects being considered for the science complex planned for Harvard's expanded campus in Allston. The selection process had absorbed nine months in 2005 and amplified the long-standing debate about Harvard architecture. How will the proposed new complex be received be faculty, students, alumni, neighbors, and the public?

    Keywords: Decision Choices and Conditions; Brands and Branding; Design; Urban Development; Management Teams; Construction Industry; Boston;

    Citation:

    Perold, Andre F., Arthur I Segel, and Christopher M. Gordon. "Allston: Brand vs. Architecture." Harvard Business School Case 208-079, November 2007. (Revised March 2009.) View Details
  11. Rosetree Mortgage Opportunity Fund

    In December 2008, in the midst of the worst financial crisis since the Great Depression, Rosetree Capital Management was evaluating the purchase of a pool of U.S. residential mortgages. The firm had formed an investment vehicle to acquire troubled residential mortgages from banks and other motivated sellers. The idea was to purchase mortgage loans at a discount and to work with individual borrowers to restructure their debts. Performing mortgages could then potentially be resold in the secondary market. The case provides cash flow projections in various economic scenarios that are revealing of the economics of troubled mortgages and home foreclosure. Rosetree needed to decide whether and how much to bid for the loans.

    Keywords: Financial Crisis; Borrowing and Debt; Mortgages; Investment; Housing; Valuation; United States;

    Citation:

    Ivashina, Victoria, and Andre F. Perold. "Rosetree Mortgage Opportunity Fund." Harvard Business School Case 209-088, December 2008. (Revised March 2009.) View Details
  12. Leveraged Loans 2007

    The leveraged loan market was in a crisis during the summer of 2007, following many years of low realized volatility (less than 4% per annum), an index of leveraged loans had fallen over 5% in the month of July. A sudden drop in capital market prices for an asset class can be caused by news affecting fundamental values; or by a widespread liquidity shock. The implication of a shock to fundamental value is that the price drop is permanent, whereas if the underlying cause of the price drop is caused by a liquidity event, the situation may represent a profitable investment opportunity. Investors must assess the likely cause of the recent price drops in the leveraged loan market and determine an appropriate investment strategy.

    Keywords: History; Financial Liquidity; Investment; Financial Crisis; Market Transactions; Disruption; Decision Choices and Conditions; Competitive Strategy; Capital Markets; Crisis Management; Commercial Banking; Banking Industry; Financial Services Industry;

    Citation:

    Perold, Andre F., and Erik Stafford. "Leveraged Loans 2007." Harvard Business School Case 208-145, April 2008. (Revised December 2008.) View Details
  13. International Carbon Finance and EcoSecurities

    In late 2007, EcoSecurities had to decide whether to undertake a new Clean Development Mechanism (CDM) project in China. EcoSecurities was an aggregator of carbon credits and also invested directly in projects that produced carbon credits. Governments and firms required to cut their greenhouse gas emissions under the Kyoto Protocol could use carbon credits to fulfill part of their compliance obligations. As demand for UN-issued carbon credits rose, the UN approval process had become increasingly burdensome. The Ventilation Air Methane Project was an opportunity to break into a new sector with large potential, and the economics and risks of the project needed to be assessed.

    Keywords: Non-Renewable Energy; Cost Management; Investment Return; Business and Government Relations; Risk and Uncertainty; Investment; Cash Flow; Valuation; Pollution and Pollutants; Environmental Sustainability; Financial Services Industry; China;

    Citation:

    Perold, Andre F., Forest L. Reinhardt, and Mikell Hyman. "International Carbon Finance and EcoSecurities." Harvard Business School Case 208-151, June 2008. (Revised October 2008.) View Details
  14. The Howland Long-Term Opportunity Fund

    Melissa Howland, founder of an investment firm, must choose between two competing investments, which differ in size, maturity, and rate of return.

    Keywords: Decision Choices and Conditions; Financial Instruments; Investment Return; Investment Funds; Value;

    Citation:

    Perold, Andre F., and David S. Scharfstein. "The Howland Long-Term Opportunity Fund." Harvard Business School Case 207-066, September 2006. (Revised April 2008.) View Details
  15. Ben Walter

    Ben Walter is thinking of purchasing Butler Lumber and needs to decide how he would run the business and how much to pay for it.

    Keywords: Mergers and Acquisitions; Decision Choices and Conditions; Investment; Valuation;

    Citation:

    Perold, Andre F., and David S. Scharfstein. "Ben Walter." Harvard Business School Case 207-070, October 2006. (Revised April 2008.) View Details
  16. 2006 Hurricane Risk

    In May 2006, a resident of Key West, Florida had to decide whether to renew his policy to insure against hurricane damage. The policy would cost $13,000 for one year, $5,000 more than what he paid in 2005. At the same time, a wealthy California resident was contemplating an opportunity to buy a "cat note" that offered a high yield, but with a chance of losing the full investment if severe hurricanes struck the coastline of the United States.

    Keywords: Capital Markets; Cost; Insurance; Price; Risk Management; California; Key West;

    Citation:

    Perold, Andre F., and Erik Stafford. "2006 Hurricane Risk." Harvard Business School Case 207-075, October 2006. (Revised March 2008.) View Details
  17. Measuring Investment Performance

    Examines various approaches to measuring investment performance. The approaches include the use of risk exposure and the Sharpe and Information Ratios. Applies the approaches to a variety of mutual funds to demonstrate the effect of using different metrics to measure fund performance.

    Keywords: Financial Management; Investment; Management Analysis, Tools, and Techniques; Measurement and Metrics; Performance; Risk and Uncertainty;

    Citation:

    Perold, Andre F., and Kenneth A. Froot. "Measuring Investment Performance." Harvard Business School Background Note 208-110, January 2008. View Details
  18. The Vanderbilt University Endowment (2006)

    As with many modern-day large pools of capital, the Vanderbilt University endowment is significantly invested in alternative assets such as hedge funds, private equity, real estate, and natural resources. The endowment's investment committee chair is attempting to understand the complexity of the portfolio and the risks that might be present. How should the risks of these sophisticated strategies be measured? And, in particular, what risks is the endowment exposed to by virtue of the many types of leverage inherent in alternative investment strategies. Finally, did the institution have sufficient resources to manage such a portfolio, and was the investment committee providing sufficient oversight.

    Keywords: Higher Education; Asset Management; Financial Management; Financial Strategy; Investment Portfolio; Risk Management;

    Citation:

    Perold, Andre F., and William T. Spitz. "The Vanderbilt University Endowment (2006)." Harvard Business School Case 207-062, December 2006. (Revised December 2007.) View Details
  19. AXA MONY

    AXA's friendly bid for MONY is contested by activist hedge funds suspicious of management's generous change in control contracts. Votes trade after the record date. AXA financed the bid using an unusual conditionally convertible bond which may have affected incentives to trade and vote MONY shares.

    Keywords: Bonds; Ethics; Bids and Bidding;

    Citation:

    White, Lucy, and Andre F. Perold. "AXA MONY." Harvard Business School Case 208-062, November 2007. View Details
  20. Grantham, Mayo, Van Otterloo & Co., 2001

    Asset manager GMO underperforms the market during the 1996-2000 stock market bubble because of the focus on absolute risk. After suffering significant client withdrawals, performance again shines when the bubble collapses. Did they win the battle only to lose the war? This case reviews the quantitative investment process developed by the firm to manage assets and the philosophy behind the models and the firm. Now that performance has recovered, the partners contemplate why so much business was lost. Should they temper further bets to retain more business, or does the fiduciary duty to the client necessarily entail the risk that some clients will leave?

    Keywords: Customers; Asset Management; Stocks; Investment; Price Bubble; Mathematical Methods; Risk and Uncertainty;

    Citation:

    Musher, Joshua, and Andre F. Perold. "Grantham, Mayo, Van Otterloo & Co., 2001." Harvard Business School Case 202-049, January 2002. (Revised October 2007.) View Details
  21. Grosvenor Group Limited

    A global real estate investment firm is trying to decide whether to enter into a property-derivative transaction to help it effect a change in asset allocation. The market for real estate derivatives is beginning to grow quite rapidly and the firm is trying to understand how to use these instruments in managing its business.

    Keywords: Asset Management; Financial Instruments; Financial Markets; Business or Company Management; Property; Financial Services Industry; Real Estate Industry;

    Citation:

    Perold, Andre F., Arthur I Segel, Oliver Corlette, and Soyoun Song. "Grosvenor Group Limited." Harvard Business School Case 207-064, October 2006. (Revised October 2007.) View Details
  22. Kerr-McGee

    Activist investors Carl Icahn and Barry Rosenstein acquire a stake in Oklahoma-based company Kerr-McGee. They demand two board seats and ask the company to make several operational and financial changes, including the repurchase of equity and divestiture of their chemicals business. The case protagonist, Luke Corbett, CEO, opposes these changes.

    Keywords: Restructuring; Chemicals; Equity; Investment; Governance Controls; Managerial Roles; Chemical Industry; Energy Industry; United States;

    Citation:

    Greenwood, Robin, and Andre F. Perold. "Kerr-McGee." Harvard Business School Case 207-020, November 2006. (Revised July 2013.) View Details
  23. Measuring Mutual Fund Performance

    Examines various approaches to measuring mutual fund performance. The approaches include the use of risk exposure and the Sharpe Ratio, as well as the Morningstar star system for rating mutual funds. Applies the approaches to a variety of mutual funds to demonstrate the effect of using different metrics to measure fund performance.

    Keywords: Investment Funds; Performance;

    Citation:

    Perold, Andre F., and Markus Mullarkey. "Measuring Mutual Fund Performance." Harvard Business School Background Note 298-139, May 1998. (Revised February 2007.) View Details
  24. Morningstar, Inc.

    Morningstar, Inc., a publisher of information for mutual fund investors, is considering alternative strategies for broadening its subscriber base and increasing its revenues. Potential strategies include tailoring information for the defined contribution pension fund marketplace, and licensing Morningstar's performance ratings to fund complexes. This case provides a setting in which to discuss the U.S. mutual fund industry, with particular focus on mutual fund performance measurement and the information needs of consumers of mutual funds.

    Keywords: Investment Funds; Asset Management; Revenue; Financial Strategy; Publishing Industry; Financial Services Industry; United States;

    Citation:

    Perold, Andre F., and Markus Mullarkey. "Morningstar, Inc." Harvard Business School Case 298-140, May 1998. (Revised February 2007.) View Details
  25. Maverick Capital

    Maverick Capital, a $7 billion hedge fund, faced a number of long-term strategic questions, particularly the issue of growth. With all of its assets invested with one strategy, Maverick was already managing more capital in a dedicated approach than any hedge fund in the world. How much growth could Maverick sustain? If Maverick should grow, how should it do so, and how would this choice affect Maverick's investment approach? Should Maverick take bigger positions in companies? Should it add more stocks to the portfolio? Was it time to reconsider Maverick's net long exposure to the market?

    Keywords: Assets; Capital; Stocks; Financial Strategy; Investment Funds; Investment Portfolio; Growth and Development Strategy;

    Citation:

    Perold, Andre F., Chris McIsaac, and Marc Ricks. "Maverick Capital." Harvard Business School Case 204-013, December 2003. (Revised October 2006.) View Details
  26. Stedman Place: Buy or Rent?

    A couple has to decide whether to continue renting a townhouse or buy the one next door. Allows for a discussion of net present value, internal rate of return, and the costs and benefits of homeownership.

    Keywords: Cost vs Benefits; Decisions; Asset Pricing; Investment Return; Housing; Family Ownership; Renting or Rental; Valuation;

    Citation:

    Perold, Andre F., and David S. Scharfstein. "Stedman Place: Buy or Rent?" Harvard Business School Case 207-063, September 2006. View Details
  27. Global Equity Markets: The Case of Royal Dutch and Shell

    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 actively in the Netherlands and U.S. markets, whereas Shell trades more actively in the United States. The result is that the Royal Dutch/Shell relative price moves positively with the Netherlands and U.S. markets and negatively with the U.K. market. The ability to arbitrage these disparities and their causes are major case focal points.

    Keywords: international equity markets; international cost of capital; cross-border valuation; International Finance; Equity; Cost of Capital; Valuation; Cash Flow;

    Citation:

    Froot, Kenneth A., and Andre F. Perold. "Global Equity Markets: The Case of Royal Dutch and Shell." Harvard Business School Case 296-077, March 1996. (Revised April 2006.) View Details
  28. AT&T Canada (A)

    AT&T Canada (ATTC) is a merger arbitrage situation where AT&T Corp. has a contractual commitment to purchase the shares of ATTC at an escalating formula price. However, ATTC's business is performing poorly, and its bonds are trading at significant discounts to par. Subject to AT&T Corp. honoring its obligation, the shares of ATTC appear to be attractively priced. The case presents the situation from the perspective of a value investor who is trying to decide what positions to take in ATTC's shares and its bonds.

    Keywords: Agreements and Arrangements; Valuation; Mergers and Acquisitions; Investment; Telecommunications Industry; Canada;

    Citation:

    Perold, Andre F., and Kwame C. Van Leeuwen. "AT&T Canada (A)." Harvard Business School Case 204-087, October 2003. (Revised October 2004.) View Details
  29. Man Group plc

    In 2004, Man Group was the world's largest packager and distributor of investment vehicles tied to hedge funds. The firm had an equity market capitalization of $10 billion and funds under management of $38 billion. Man's offerings spanned a wide range of risk/reward profiles packaged in the form of diversified funds of hedge funds, funds that focused on specific hedge fund styles, and funds that invested in a single hedge fund manager. The company also created structured products that consisted of funds of hedge funds combined with principal protection and leverage. An essential part of the strategy was to grow and maintain a global distribution network. Believers considered Man Group to be at the vanguard of a revolution in the investment management industry, while skeptics thought the hedge fund space had become overcrowded and that it would be hard for Man to scale its business and obtain good investment returns for clients.

    Keywords: Capital Markets; Investment; Investment Return; Investment Funds; Global Strategy; Distribution; Product Development; Financial Services Industry;

    Citation:

    Perold, Andre F., and Herve Duteil. "Man Group plc." Harvard Business School Case 205-007, July 2004. (Revised July 2004.) View Details
  30. Unilever Superannuation Fund vs. Merrill Lynch, The

    In 2001, the Unilever Superannuation Fund sued Merrill Lynch for damages of 130 million British pounds. Over the period 1977 to 1998, the Unilever Fund had significantly underperformed the benchmark, and its trustees contended that the poor returns resulted from negligence by the fund manager, Mercury Asset Management (which Merrill Lynch had subsequently purchased). In response, Merrill/Mercury argued that although they may have made some poor judgments, they had not been negligent, and abnormal market circumstances had been the cause of the underperformance. The court case was expected to have ramifications for the entire pensions industry.

    Keywords: Investment; Lawsuits and Litigation; Performance Evaluation; Agreements and Arrangements; Customer Relationship Management; Risk and Uncertainty; Asset Management; Risk Management; Legal Liability; Financial Services Industry; United Kingdom;

    Citation:

    Perold, Andre F., and Joshua Musher. "Unilever Superannuation Fund vs. Merrill Lynch, The." Harvard Business School Case 203-034, July 2002. (Revised August 2003.) View Details
  31. At the T. Rowe Price Trading Desk (A)

    Describes the events surrounding the sale of a particular large block of a thinly traded stock. Brings the situation to the point at which the seller has received an offer, and must now decide what to do.

    Keywords: Asset Management; Stocks; Financial Services Industry;

    Citation:

    Perold, Andre F. "At the T. Rowe Price Trading Desk (A)." Harvard Business School Case 285-041, October 1984. (Revised July 2003.) View Details
  32. Ford Motor Company's Value Enhancement Plan

    In April 2000, Ford Motor Co. announced a shareholder Value Enhancement Plan (VEP) to significantly recapitalize the firm's ownership structure. Ford had accumulated $23 billion in cash reserves and under the VEP would return as much as $10 billion of this cash to shareholders. In exchange for each share currently held, the plan would give stockholders one new share plus the choice of receiving $20 in either cash or additional new Ford common shares. Shareholders electing to receive cash would be taxed on these distributions at capital gain rates. Among other things, the plan provided a means for the Ford family to obtain liquidity without having to dilute their 40% voting interest (even though they own only 5% of the shares outstanding). Students must wrestle with the following questions: Why was Ford proposing this transaction instead of a traditional share repurchase or a cash dividend? How did the interests of the Ford family factor into this decision, and what did the transaction imply about the future involvement of the family in the company? Why was Ford distributing such a significant amount of cash at this particular point in time? Did the distribution signal a change in the company's appetite for making acquisitions or future capital expenditures? If shareholders collectively elected to receive less than $10 billion in cash, how would Ford distribute the remaining cash?

    Keywords: Restructuring; Forecasting and Prediction; Capital Structure; Cash; Financial Liquidity; Policy; Business and Shareholder Relations; Value; Auto Industry;

    Citation:

    Perold, Andre F. "Ford Motor Company's Value Enhancement Plan." Harvard Business School Case 201-079, January 2001. (Revised March 2002.) View Details
  33. Nasdaq Stock Market, Inc., The

    NASDAQ's mission "to facilitate capital formation" is threatened by the emergence of Electronic Communication Networks, which are not as heavily regulated by the SEC. This case reviews the development of NASDAQ and its evolution from a loose network of broker-dealers through to its proposed SuperMontage. SuperMontage is a centralized order book, where multiple parties can place orders (both buy and sell) for the stocks they wish to trade and where entire supply and demand curves can be displayed. To understand the context, students will learn about the structure of the capital markets and why it concerns regulators and investors.

    Keywords: Capital Markets; Stocks; Financial Markets; Governing Rules, Regulations, and Reforms; Innovation Strategy; Performance Efficiency; Perspective;

    Citation:

    Perold, Andre F., and Austin K Scee. "Nasdaq Stock Market, Inc., The." Harvard Business School Case 202-008, July 2001. (Revised March 2002.) View Details
  34. Merrill Lynch HOLDRS

    Exchange-traded funds (ETFs) and HOLDRS (Holding Company Depositary Receipts) represent recent and highly successful capital market innovations. HOLDRS closely approximates a buy-and-hold strategy, and Merrill Lynch believes the product has significantly lower taxes and other costs than ETFs. The firm is considering broadening the market for HOLDRS by introducing a new 50-stock basket, "Market 2000+ HOLDRS," that would hold 50 of the world's top-capitalized stocks.

    Keywords: Capital Markets; Cost; Stocks; Financial Strategy; Investment Funds; Taxation; Innovation and Invention; Product; Success; Expansion;

    Citation:

    Perold, Andre F., and Simon E. Brown. "Merrill Lynch HOLDRS." Harvard Business School Case 201-059, March 2001. (Revised November 2001.) View Details
  35. W. R. Hambrecht & Co: OpenIPO

    OpenIPO is a new mechanism for pricing and distributing initial public offerings. The system, which is based on a Dutch auction, represents an attempt by the investment bank W.R. Hambrecht + Co. to change the manner in which IPOs are underwritten. The case provides a setting in which to discuss the existing set of institutional arrangements relating to the underwriting of IPOs, including the well-known phenomenon of the initial-day spike in price. Also provides a vehicle for discussing the informational efficiency of stock prices and the role of intermediaries and markets in providing investors with company-specific information. Can be used to talk about the issues raised by electronic trading and the distribution of securities over the Internet to relatively uninformed individuals.

    Keywords: Investment Banking; Debt Securities; Stocks; Initial Public Offering; Price; Information; Auctions; Agreements and Arrangements; Distribution; Internet; Netherlands;

    Citation:

    Perold, Andre F., and Gunjan D. Bhow. "W. R. Hambrecht & Co: OpenIPO." Harvard Business School Case 200-019, October 1999. (Revised January 2000.) View Details
  36. Farallon Capital Management: Risk Arbitrage (A)

    Farallon Capital Management, an investment firm that specializes in risk arbitrage, has taken significant long and short positions in MCI Communications and British Telecommunications, respectively, in the belief that the proposed merger of these firms will be successfully completed. Raises the issues facing Farallon as positive and negative events relating to the merger unfold. Provides a rich institutional setting for understanding certain investment strategies involving short selling, and for understanding merger arbitrage and its function in the capital markets.

    Keywords: Mergers and Acquisitions; Capital; Capital Markets; Investment; Management; Risk Management; Strategy; Financial Services Industry;

    Citation:

    Perold, Andre F., and Robert Howard. "Farallon Capital Management: Risk Arbitrage (A)." Harvard Business School Case 299-020, October 1998. (Revised November 1999.) View Details
  37. Long-Term Capital Management, L.P. (A)

    Long-Term Capital Management, L.P. (LTCM) was in the business of engaging in trading strategies to exploit market pricing discrepancies. Because the firm employed strategies designed to make money over long horizons--from six months to two years or more--it adopted a long--term financing structure designed to allow it to withstand short-term market fluctuations. In many of its trades, the firm was in effect a seller of liquidity. LTCM generally sought to hedge the risk--exposure components of its positions that were not expected to add incremental value to portfolio performance and to increase the value-added component of its risk exposures by borrowing to increase the size of its positions. The fund's positions were diversified across many markets. This case is set in September 1997, when, after three and a half years of high investment returns, LTCM's fund capital had grown to $6.7 billion. Because of the limitations imposed by available market liquidity, LTCM was considering whether it was a prudent and opportune moment to return capital to investors.

    Keywords: Fluctuation; Capital; Financial Liquidity; Financing and Loans; Investment Funds; Investment Portfolio; Corporate Governance; Governing Rules, Regulations, and Reforms; Management; Risk Management; Marketing; Motivation and Incentives; Financial Services Industry;

    Citation:

    Perold, Andre F. "Long-Term Capital Management, L.P. (A)." Harvard Business School Case 200-007, November 1999. View Details
  38. Long-Term Capital Management, L.P. (C)

    Long-Term Capital Management, L.P. (LTCM) was in the business of engaging in trading strategies to exploit market pricing discrepancies. Because the firm employed strategies designed to make money over long horizons--from six months to two years or more--it adopted a long--term financing structure designed to allow it to withstand short-term market fluctuations. In many of its trades, the firm was in effect a seller of liquidity. LTCM generally sought to hedge the risk--exposure components of its positions that were not expected to add incremental value to portfolio performance and to increase the value-added component of its risk exposures by borrowing to increase the size of its positions. The fund's positions were diversified across many markets. This case is set in late August 1998. LTCM's fund was down nearly 40% since the beginning of 1998, with most of this loss having occurred in recent weeks. LTCM was evaluating the fund's liquidity and considering alternative courses of action. Possible choices included attempting a rapid reduction of many of the fund's positions and trying to raise additional capital.

    Keywords: Fluctuation; Capital; Financial Liquidity; Financing and Loans; Investment Funds; Investment Portfolio; Corporate Governance; Governing Rules, Regulations, and Reforms; Management; Risk Management; Markets; Motivation and Incentives; Financial Services Industry;

    Citation:

    Perold, Andre F. "Long-Term Capital Management, L.P. (C)." Harvard Business School Case 200-009, November 1999. View Details
  39. Risk of Stocks in the Long Run, The: The Barnstable College Endowment

    The manager of the Barnstable College Endowment is evaluating proposals to increase the endowment's exposure to stocks based on an analysis that shows stocks to be much safer over long holding periods.

    Keywords: Risk Management; Financial Management; Stocks; Financial Services Industry; Education Industry;

    Citation:

    Perold, Andre F. "Risk of Stocks in the Long Run, The: The Barnstable College Endowment." Harvard Business School Case 296-073, April 1996. (Revised October 1999.) View Details
  40. Merrill Lynch's Acquisition of Mercury Asset Management

    In the Spring of 1998, Merrill Lynch faced an array of challenges and opportunities related to its global asset management business. The firm had recently completed its $5.3 billion cash acquisition of U.K.-based Mercury Asset Management, a transaction that made it one of the world's largest asset-management organizations, with over $450 billion of assets under management. Merrill Lynch now would manage assets across the globe with a balanced mix of retail/institutional accounts, fixed income/equity assets, and domestic/international exposures.

    Keywords: Acquisition; Asset Management; Currency; Financial Strategy; Global Strategy; Brands and Branding; Distribution; Production; Organizational Change and Adaptation; Retirement; Japan; Europe; United Kingdom;

    Citation:

    Perold, Andre F., Imran Ahmed, and Randolph B Altschuler. "Merrill Lynch's Acquisition of Mercury Asset Management." Harvard Business School Case 299-005, November 1998. (Revised July 1999.) View Details
  41. Integral Capital Partners

    Integral Capital Partners is a small firm with a very distinctive approach to investing in high-technology stocks. The firm invests privately in small start-ups as well as in publicly traded companies, and it develops important financial and advisory relationships with its investees. Integral is concerned about the high valuations in the technology sector and is considering a variety of options: to systematically engage in short-selling in order to hedge its positions, to purchase controlling stakes in troubled technology firms and execute turnaround strategies, and to reduce its funds under management and remain a small organization.

    Keywords: Technology; Value Creation; Venture Capital; Asset Management; Partners and Partnerships; Public Sector; Private Sector; Business Startups; Corporate Finance; Financial Services Industry;

    Citation:

    Perold, Andre F., and Markus Mullarkey. "Integral Capital Partners." Harvard Business School Case 299-019, September 1998. (Revised July 1999.) View Details
  42. Farallon Capital Management: Risk Arbitrage (B)

    Farallon Capital Management, an investment firm that specializes in risk arbitrage, has taken significant long and short positions in MCI Communications and British Telecommunications, respectively, in the belief that the proposed merger of these firms will be successfully completed. Raises the issues facing Farallon as positive and negative events relating to the merger unfold. Provides a rich institutional setting for understanding certain investment strategies involving short selling, and for understanding merger arbitrage and its function in the capital markets.

    Keywords: Mergers and Acquisitions; Capital Markets; Investment; Risk Management; Strategy; Financial Services Industry;

    Citation:

    Perold, Andre F., and Robert Howard. "Farallon Capital Management: Risk Arbitrage (B)." Harvard Business School Case 299-021, October 1998. View Details
  43. Farallon Capital Management: Risk Arbitrage (C)

    Farallon Capital Management, an investment firm that specializes in risk arbitrage, has taken significant long and short positions in MCI Communications and British Telecommunications, respectively, in the belief that the proposed merger of these firms will be successfully completed. Raises the issues facing Farallon as positive and negative events relating to the merger unfold. Provides a rich institutional setting for understanding merger arbitrage and its function in capital markets.

    Keywords: Capital Markets; Equity; Mergers and Acquisitions; Financial Institutions; Risk Management; Investment Funds; Financial Services Industry;

    Citation:

    Perold, Andre F., and Robert Howard. "Farallon Capital Management: Risk Arbitrage (C)." Harvard Business School Case 299-022, October 1998. View Details
  44. Vanguard Group, Inc. (1998), The

    Since the beginning of 1997, Vanguard's assets under management have increased more than 60% from $240 billion to almost $400 billion, making it second in market share only to Fidelity. Vanguard views this success as another vindication of its low-cost strategy of no-load funds, small expense ratios, candid client communication, high-quality service, and predictable performance. But the organization also is mindful of the unprecedented changes occurring in the financial services industry. Financial institutions have been rapidly consolidating, with firms such as Citigroup, UBS, and Merrill Lynch each now holding customer and other assets in excess of a trillion dollars. And technology-especially the Internet-is dramatically altering the creation, pricing, and delivery of financial services. Vanguard has to carefully consider its future, and faces key decisions such as expanding its range of products and offering asset management services in other countries.

    Keywords: Asset Management; Cost Management; Investment Funds; Product; Service Operations; Performance Expectations; Competition; Consolidation; Expansion; Internet; Financial Services Industry;

    Citation:

    Perold, Andre F. "Vanguard Group, Inc. (1998), The." Harvard Business School Case 299-002, September 1998. View Details
  45. numeric investors l.p.

    Numeric Investors manages equity portfolios with the use of a momentum model and a value model. The momentum model is based on earnings surprise and analysts' revisions of their earnings estimates. The firm offers long-short as well as long-only strategies, and its approach involves high portfolio turnover. Numeric has experienced rapid growth in assets under management, which has resulted in higher transaction costs. The firm has already closed many of its products to further investment, and needs to decide where to go next. The case provides a rich setting within which to discuss value investing, momentum investing, the efficiency of analysts' earnings estimates, stock market efficiency, long-short investing, transaction costs, the relationship between assets under management and performance, performance fees, and the business strategies of investment management firms.

    Keywords: Asset Management; Cost; Equity; Financial Strategy; Investment; Investment Portfolio; Management; Product Development; Performance Efficiency; Business Strategy;

    Citation:

    Perold, Andre F., and Brian J. Tierney. "numeric investors l.p." Harvard Business School Case 298-012, July 1997. (Revised August 1997.) View Details
  46. Common Fund Hedge Fund Portfolio, The

    The Common Fund, a nonprofit consortium of educational institutions, is deciding whether to create a fund of hedge funds for its members, and if it does, which hedge fund managers to select.

    Keywords: Measurement and Metrics; Investment Funds;

    Citation:

    Perold, Andre F., and William T. Spitz. "Common Fund Hedge Fund Portfolio, The." Harvard Business School Case 297-014, December 1996. View Details
  47. American Express TRS Charge-Card Receivables and Lehman Brothers and the Securitization of American Express Charge-Card Receivables TN

    Teaching Note for (9-293-120) and (9-293-121).

    Keywords: Credit Cards; Accounting; Financial Services Industry;

    Citation:

    Perold, Andre F., and Wai Lee. "American Express TRS Charge-Card Receivables and Lehman Brothers and the Securitization of American Express Charge-Card Receivables TN." Harvard Business School Teaching Note 295-158, June 1995. (Revised May 1996.) View Details
  48. Options and Put-Call Parity

    Illustrates the payoff structure of various positions involving put and call options and the use of put-call parity in understanding the relationships among various positions. Examines the cases of insured equity, interest rate caps and floors, callable and extendable debt, and corporate balance sheets.

    Keywords: Stock Options;

    Citation:

    Perold, Andre F., and Wai Lee. "Options and Put-Call Parity." Harvard Business School Background Note 295-129, March 1995. (Revised August 1995.) View Details
  49. RJR Nabisco--1990

    Describes the situation facing RJR Nabisco one year after the leveraged buyout by Kohlberg Kravis and Roberts. A vehicle for analyzing the financial restructuring of a highly leveraged, but operationally healthy, company.

    Keywords: Leveraged Buyouts; Restructuring; Financial Strategy; Problems and Challenges;

    Citation:

    Perold, Andre F. "RJR Nabisco--1990." Harvard Business School Case 290-021, June 1990. (Revised August 1995.) View Details
  50. Note on Yield Conventions

    Describes the principal conventions used to report yields on debt instruments.

    Keywords: Investment Return; Capital Markets; Asset Management; Reports; Conferences; Governing and Advisory Boards;

    Citation:

    Perold, Andre F., and Wai Lee. "Note on Yield Conventions." Harvard Business School Case 295-101, January 1995. (Revised June 1995.) View Details
  51. State of Connecticut Municipal Swap

    The state of Connecticut wants to raise $325 million of long-term fixed-rate debt. One alternative is to do this synthetically--issue long-term variable rate debt and enter into an interest rate swap. The case is a vehicle for analyzing various floating rate structures and various kinds of swaps. Also raises issues relating to the default risk of swaps, as well as the term structure of the tax exempt and taxable debt markets.

    Keywords: Borrowing and Debt; Credit Derivatives and Swaps; Interest Rates; Taxation; Management Analysis, Tools, and Techniques; Risk and Uncertainty; New England;

    Citation:

    Perold, Andre F. "State of Connecticut Municipal Swap." Harvard Business School Case 291-024, May 1991. (Revised December 1994.) View Details
  52. American Express TRS Charge-Card Receivables

    American Express (TRS) Co. is considering a proposal to securitize a portion of their consumer charge-card receivables portfolio. In the past, they have relied exclusively on a captive finance subsidiary, Credco, to perform this function. The proposed securitization structure has been put forth by Lehman Brothers and relies heavily on the existing structure of credit-card receivables' securitizations. The growing asset-backed securities market presents TRS an opportunity to diversify its sources of funds--however, there are reasons to be cautious. Due to recent downgrades of American Express and Credco debt, the perceived financial weakness of credit-card receivable backed securities issuers, and the proposal's sophisticated securitization structure, TRS is concerned that 1) The market may perceive securitization as a sign of weakness; 2) The securitization may not be cost effective. Therefore, TRS has to decide whether or not to proceed with securitization at this time.

    Keywords: Credit Cards; Restructuring; Borrowing and Debt; Financial Management; Financial Strategy; Debt Securities; Travel Industry;

    Citation:

    Perold, Andre F., and Kuljot Singh. "American Express TRS Charge-Card Receivables." Harvard Business School Case 293-120, April 1993. (Revised December 1994.) View Details
  53. Lehman Brothers and the Securitization of American Express Charge-Card Receivables

    In early 1992, Lehman Brothers had received a mandate from its affiliate, American Express Travel Related Services (TRS) Co., to securitize a portion of its consumer charge-card receivables portfolio. It is now July 22, and Lehman and TRS have just returned from a "road show" that was undertaken to convince prospective investors of the merits of these new securities. Lehman must now price the securities. Because this is the first-ever securitization of charge-card receivables, there are no directly comparable benchmarks that can help in pricing. However, the securities share common features with credit-card receivables backed securities, which by now are well accepted. Another comparable is non-callable finance company debt. This deal is being watched closely by competing underwriters, investors, and senior management at TRS and Lehman. "Success" could catapult Lehman into becoming a major player in the asset-backed market whereas "failure" would be a major setback.

    Keywords: Risk and Uncertainty; Credit Cards; Financial Instruments; Stocks; Asset Pricing;

    Citation:

    Perold, Andre F., and Kuljot Singh. "Lehman Brothers and the Securitization of American Express Charge-Card Receivables." Harvard Business School Case 293-121, April 1993. (Revised December 1994.) View Details
  54. BEA Associates: Enhanced Equity Index Funds

    BEA's enhanced index fund product uses derivatives and cash market securities to find the most efficient way to "track an index." The considerations involve transaction costs, custodial fees, withholding taxes on dividends, and fees from securities lending. In this case, BEA is faced with the task of investing an off-shore portfolio so as to track the S&P 500. The choices include buying the underlying stocks, buying an S&P 500-index-linked note, buying futures or doing an S&P 500 swap, and investing in a variety of short-term fixed-income alternatives.

    Keywords: Credit Derivatives and Swaps; Investment Portfolio; Management; Investment Banking; Competitive Advantage; Cost Management;

    Citation:

    Perold, Andre F. "BEA Associates: Enhanced Equity Index Funds." Harvard Business School Case 293-024, November 1992. (Revised December 1994.) View Details
  55. Bankers Trust: Global Investment Bank

    In October 1992, Eugene Shanks, president of Bankers Trust New York Corp., and Brian Walsh, head of the Global Investment Bank (GIB) business unit, are considering a proposal for a large and complex financing involving the North Sea Oil Co. (NSOC). The financing structure involves the use of derivatives, exposing Bankers Trust New York Corp. to substantial oil price risk and credit risk. Its size of $700 million and lengthy duration makes managing and laying off these risks in the financial markets a matter of prime concern. The proposed deal has been brought together by GIB, which was formed recently by merging Bankers Trust's capital markets and corporate finance functions. If successful, this deal will be an important barometer of the value that can be created by combining these traditionally separate functions.

    Keywords: Risk and Uncertainty; Credit Derivatives and Swaps; Risk Management; Value Creation; Business History; Capital Markets; Financing and Loans; Financial Markets; Corporate Finance; Banking Industry; Energy Industry;

    Citation:

    Perold, Andre F., and Kuljot Singh. "Bankers Trust: Global Investment Bank." Harvard Business School Case 295-010, October 1994. View Details
  56. Note on Crude Oil and Crude Oil Derivatives Markets

    Briefly describes the crude oil markets and common derivatives contracts written on oil. The contracts are oil forward and futures contracts, and over-the-counter oil price swaps.

    Keywords: Non-Renewable Energy; Futures and Commodity Futures; Credit Derivatives and Swaps; Contracts; Energy Industry;

    Citation:

    Perold, Andre F., Wai Lee, and Kuljot Singh. "Note on Crude Oil and Crude Oil Derivatives Markets." Harvard Business School Background Note 295-053, October 1994. View Details
  57. Black-Scholes Option Pricing Program for the HP 12C Calculator

    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 price and volatility of the underlying stock.

    Keywords: Stock Options; Investment Funds; Price; Management; Software;

    Citation:

    Perold, Andre F. "Black-Scholes Option Pricing Program for the HP 12C Calculator." Harvard Business School Background Note 285-057, November 1984. View Details

Presentations

Other Publications and Materials

  1. New Trading Practices and the Short-run Predictability of the S&P 500: Market Volatility and Investor Confidence, Report to the Board of Directors of the New York Stock Exchange, Inc.

    Keywords: Stocks; Financial Markets; Governing Rules, Regulations, and Reforms; Capital Markets; Volatility; Market Timing;

    Citation:

    Perold, André. "New Trading Practices and the Short-run Predictability of the S&P 500: Market Volatility and Investor Confidence, Report to the Board of Directors of the New York Stock Exchange, Inc." 2000. View Details