Samuel G. Hanson - Faculty & Research - Harvard Business School

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Samuel G. Hanson

Professor of Business Administration

Finance
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Samuel G. Hanson is a Marvin Bower Associate Professor in the Finance Unit at Harvard Business School, and a Faculty Research Fellow at the National Bureau of Economic Research. He teaches the Investment Strategies course in the MBA elective curriculum and PhD courses in Corporate Finance and 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 Quarterly Journal of Economics, the Journal of Finance, the Journal of Financial Economics, the Review of Financial Studies, and the Journal of Economic Perspectives.

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Working Papers

  1. Working Paper | HBS Working Paper Series | 2020

    Predictable Financial Crises

    Robin Greenwood, Samuel G. Hanson, Andrei Shleifer and Jakob Ahm Sørensen

    Using historical data on post-war financial crises around the world, we show that crises are substantially predictable. The combination of rapid credit and asset price growth over the prior three years, whether in the nonfinancial business or the household sector, is associated with about a 40% probability of entering a financial crisis within the next three years. This compares with a roughly 7% probability in normal times, when neither credit nor asset price growth has been elevated. Our evidence cuts against the view that financial crises are unpredictable “bolts from the sky” and points toward the Kindleberger-Minsky view that crises are the byproduct of predictable, boom-bust credit cycles. The predictability we document favors macro-financial policies that “lean against the wind” of credit market booms.

    Keywords: Financial Crisis; Forecasting and Prediction; Mathematical Methods;

    Citation:

    Greenwood, Robin, Samuel G. Hanson, Andrei Shleifer, and Jakob Ahm Sørensen. "Predictable Financial Crises." Harvard Business School Working Paper, No. 20-130, June 2020.  View Details
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  2. Working Paper | 2020

    How Should U.S. Bank Regulators Respond to the COVID-19 Crisis?

    Michael Blank, Samuel G. Hanson, Jeremy C. Stein and Adi Sunderam

    Drawing on lessons from the 2007–2009 Global Financial Crisis (GFC) and a simple conceptual framework, we examine the response of U.S. bank regulators to the COVID-19 pandemic. We argue that the current regulatory strategy of “watchful waiting”—the same strategy that was used during the early stages of the GFC—poses unnecessary risks to the financial system and broader U.S. economy. Instead, promoting an early recapitalization of the banking system, by stopping dividends and by encouraging new equity issues, would be a more prudent way to manage the vulnerabilities the pandemic has created. We close by suggesting additional measures that we believe regulators should take in both the short and long run.

    Keywords: COVID-19; bank regulation; recapitalization; Health Pandemics; Banks and Banking; Governing Rules, Regulations, and Reforms; Strategy; Risk Management; United States;

    Citation:

    Blank, Michael, Samuel G. Hanson, Jeremy C. Stein, and Adi Sunderam. "How Should U.S. Bank Regulators Respond to the COVID-19 Crisis?" Hutchins Center Working Paper, No. 63, June 2020.  View Details
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  3. Working Paper | 2020

    A Quantity-Driven Theory of Term Premia and Exchange Rates

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

    We develop a model in which specialized bond investors must absorb shocks to the supply and demand for long-term bonds in two currencies. Since long-term bonds and foreign exchange are both exposed to unexpected movements in short-term interest rates, a shift in the supply of long-term bonds in one currency inuences the foreign exchange rate between the two currencies, as well as bond term premia in both currencies. Our model matches several important empirical patterns, including the co-movement between exchange rates and term premia, as well as the nding that central banksquantitative easing policies impact exchange rates. An extension of our model sheds light on the persistent deviations from covered interest rate parity that have emerged since 2008.

    Keywords: term premium; exchange rate; Bonds; Currency; Theory;

    Citation:

    Greenwood, Robin, Samuel G. Hanson, Jeremy C. Stein, and Adi Sunderam. "A Quantity-Driven Theory of Term Premia and Exchange Rates." NBER Working Paper Series, No. 27615, July 2020.  View Details
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  4. Working Paper | 2019

    Reflexivity in Credit Markets

    Robin Greenwood, Samuel G. Hanson and Lawrence J. Jin

    Reflexivity is the idea that investors' biased beliefs affect market outcomes, and that market outcomes in turn affect investors' beliefs. We develop a behavioral model of the credit cycle featuring such a two-way feedback loop. In our model, investors form beliefs about firms' creditworthiness, in part by extrapolating past default rates. Investor beliefs influence firms' actual creditworthiness because firms that can refinance maturing debt on favorable terms are less likely to default in the short run—even if fundamentals do not justify investors' generosity. Our model is able to match many features of credit booms and busts, including the imperfect synchronization of credit cycles with the real economy, the negative relationship between past credit growth and the future return on risky bonds, and "calm before the storm" periods in which firm fundamentals have deteriorated but the credit market has not yet turned.

    Keywords: reflexivity; Attitudes; Financial Markets; Forecasting and Prediction; Investment; Credit;

    Citation:

    Greenwood, Robin, Samuel G. Hanson, and Lawrence J. Jin. "Reflexivity in Credit Markets." NBER Working Paper Series, No. 25747, April 2019.  View Details
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  5. Working Paper | 2018

    The Excess Sensitivity of Long-Term Rates: A Tale of Two Frequencies

    Samuel G. Hanson, David O. Lucca and Jonathan H. Wright

    Long-term nominal interest rates are known to be highly sensitive to high-frequency (daily or monthly) movements in short-term rates. We find that, since 2000, this high-frequency sensitivity has grown even stronger in U.S. data. By contrast, the association between low-frequency changes (at 6- or 12-month horizons) in short- and long-term rates, which was also strong before 2000, has weakened substantially. We show that this puzzling post-2000 combination of high-frequency "excess sensitivity" and low-frequency "decoupling" of short- and long-term rates arises because increases in short rates temporarily raise the term premium on long-term bonds, leading long rates to temporarily overreact to changes in short rates. The post-2000 frequency-dependent sensitivity of long-term rates can be understood using a model in which (i) declines in short rates lead to outward shifts in the demand for long-term bonds---e.g., because some investors "reach for yield"---and (ii) the arbitrage response to these demand shifts is slow. We discuss the implications of our findings for the transmission of monetary policy and the validity of the event-study methodologies.

    Keywords: conundrum; monetary policy transmission; Interest Rates;

    Citation:

    Hanson, Samuel G., David O. Lucca, and Jonathan H. Wright. "The Excess Sensitivity of Long-Term Rates: A Tale of Two Frequencies." Working Paper, October 2018.  View Details
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  6. Working Paper | 2017

    The Decline of Big-Bank Lending to Small Business: Dynamic Impacts on Local Credit and Labor Markets

    Brian S. Chen, Samuel G. Hanson and Jeremy C. Stein

    Small business lending by the four largest banks fell sharply relative to others in 2008 and remained depressed through 2014. We explore the dynamic adjustment process following this credit supply shock. In counties where the largest banks had a high market share, the aggregate flow of small business credit fell, interest rates rose, fewer businesses expanded, unemployment rose, and wages fell from 2006 to 2010. While the flow of credit recovered after 2010 as other lenders slowly filled the void, interest rates remain elevated. Although unemployment returns to normal by 2014, the effect on wages persists in these areas.

    Keywords: Small Business; Financing and Loans; Banks and Banking; System Shocks; Credit; Labor; United States;

    Citation:

    Chen, Brian S., Samuel G. Hanson, and Jeremy C. Stein. "The Decline of Big-Bank Lending to Small Business: Dynamic Impacts on Local Credit and Labor Markets." NBER Working Paper Series, No. 23843, September 2017.  View Details
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Journal Articles

  1. Article | Review of Financial Studies

    Social Risk, Fiscal Risk, and the Portfolio of Government Programs

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

    We develop a model of government portfolio choice in which a benevolent government chooses the scale of risky projects in the presence of market failures and tax distortions. These two frictions generate motives to manage social risk and fiscal risk. Social risk management makes attractive programs that ameliorate market failures in bad economic times. Fiscal risk management makes unattractive programs that entail large government outlays at times when other programs in the government's portfolio also require large outlays. We characterize the determinants of social and fiscal risk and argue that these two risk management motives often conflict. Using the model, we explore how the attractiveness of different financial stability programs varies with the government's fiscal burden and with characteristics of the economy.

    Keywords: Risk Management; Government and Politics; Programs;

    Citation:

    Hanson, Samuel G., David S. Scharfstein, and Adi Sunderam. "Social Risk, Fiscal Risk, and the Portfolio of Government Programs." Review of Financial Studies 32, no. 6 (June 2019): 2341–2382. (Internet Appendix Here.)  View Details
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  2. Article | Review of Financial Studies

    Asset Price Dynamics in Partially Segmented Markets

    Robin Greenwood, Samuel G. Hanson and Gordon Y. Liao

    We develop a model in which capital moves quickly within an asset class but slowly between asset classes. While most investors specialize in a single asset class, a handful of generalists can gradually reallocate capital across markets. Upon the arrival of a large supply shock, prices of risk in the directly impacted asset class become disconnected from those in others. Over the long run, capital flows between markets and prices of risk become more closely aligned. While prices in the directly impacted market initially overreact to the supply shock, we show that prices in related asset classes underreact under plausible conditions. We use the model to assess event-study evidence on the impact of recent large-scale asset purchases by central banks.

    Keywords: System Shocks; Asset Pricing;

    Citation:

    Greenwood, Robin, Samuel G. Hanson, and Gordon Y. Liao. "Asset Price Dynamics in Partially Segmented Markets." Review of Financial Studies 31, no. 9 (September 2018): 3307–3343. (Internet Appendix Here.)  View Details
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  3. Article | Brookings Papers on Economic Activity

    Strengthening and Streamlining Bank Capital Regulation

    Robin Greenwood, Samuel Gregory Hanson, Jeremy C. Stein and Adi Sunderam

    We propose three core principles that should inform the design of bank capital regulation. First, wherever possible, multiple constraints on the minimum level of equity capital should be consolidated into a single constraint. This helps to avoid a distortionary situation where different constraints bind for different banks performing the same activity. Second, while a regulatory framework that relies primarily on minimum capital ratios is appropriate for normal times, such a framework is inadequate in the wake of a large negative shock to the system. Following an adverse shock, it becomes critical to emphasize dynamic resilience, which involves forcing banks to actively recapitalize—i.e., regulation needs to focus on getting banks to raise new dollars of equity capital, rather than just maintaining their capital ratios. Third, the best way to deal with the inevitable gaming of any set of ex ante capital rules is not to propose further rules, but rather to allow the regulator sufficient flexibility to address unforeseen contingencies ex post. We use these principles to suggest a number of modifications to the current set of risk-based capital requirements, to the leverage ratio, and to the Federal Reserve’s stress-testing framework.

    Keywords: Banks and Banking; Capital; Governing Rules, Regulations, and Reforms; Banking Industry;

    Citation:

    Greenwood, Robin, Samuel Gregory Hanson, Jeremy C. Stein, and Adi Sunderam. "Strengthening and Streamlining Bank Capital Regulation." Brookings Papers on Economic Activity (Fall 2017). (Internet Appendix Here.)  View Details
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  4. Article | Journal of Financial Economics

    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 microdata 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, accumulating 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.

    Keywords: Risk Management; Investment; Experience and Expertise;

    Citation:

    Chernenko, Sergey, Samuel Gregory Hanson, and Adi Sunderam. "Who Neglects Risk? Investor Experience and the Credit Boom." Journal of Financial Economics 122, no. 2 (November 2016): 248–269. (Internet Appendix Here.)  View Details
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  5. Article | Jackson Hole Economic Symposium Conference Proceedings (Federal Reserve Bank of Kansas City)

    The Federal Reserve's Balance Sheet as a Financial-Stability Tool

    Robin Greenwood, Samuel Gregory Hanson and Jeremy C. Stein

    We argue that the Federal Reserve should use its balance sheet to help reduce a key threat to financial stability: the tendency for private-sector financial intermediaries to engage in excessive amounts of maturity transformation—i.e., to finance risky assets using dangerously large volumes of runnable short-term liabilities. Specifically, we make the case that the Fed can complement its regulatory efforts on the financial-stability front by maintaining a relatively large balance sheet, even when policy rates have moved well away from the zero lower bound (ZLB). In so doing, it can help ensure that there is an ample supply of government-provided safe short-term claims—e.g., interest-bearing reserves and reverse repurchase agreements (RRP). By expanding the overall supply of safe short-term claims, the Fed can weaken the market-based incentives for private sector intermediaries to issue too many of their own short-term liabilities. And crucially, we argue that the Fed can crowd out private-sector maturity transformation in this way without compromising the ability of conventional monetary policy to focus on its traditional dual mandate of promoting maximum employment and stable prices.

    Keywords: Central Banking; Policy; Risk Management; Public Administration Industry; United States;

    Citation:

    Greenwood, Robin, Samuel Gregory Hanson, and Jeremy C. Stein. "The Federal Reserve's Balance Sheet as a Financial-Stability Tool." Jackson Hole Economic Symposium Conference Proceedings (Federal Reserve Bank of Kansas City) (2016): 335–397. (Internet Appendix Here.)  View Details
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  6. Article | IMF Economic Review

    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. U.S. money market mutual funds (MMFs) are an important source of dollar funding for global financial institutions, particularly those headquartered outside the United States. 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: Balance and Stability; Globalized Markets and Industries; Banks and Banking;

    Citation:

    Hanson, Samuel G., David S. Scharfstein, and Adi Sunderam. "An Evaluation of Money Market Fund Reform Proposals." IMF Economic Review 63, no. 4 (November 2015): 984–1023.  View Details
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  7. Article | Journal of Financial Economics

    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: shadow banking; safe money-like claims; Commercial Banking;

    Citation:

    Hanson, Samuel G., Andrei Shleifer, Jeremy C. Stein, and Robert W. Vishny. "Banks as Patient Fixed-Income Investors." Journal of Financial Economics 117, no. 3 (September 2015): 449–469. (Internet Appendix Here.)  View Details
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  8. Article | Quarterly Journal of Economics

    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;

    Citation:

    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
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  9. Article | Journal of Financial Economics

    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;

    Citation:

    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
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  10. Article | Journal of Finance

    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;

    Citation:

    Greenwood, Robin, Samuel G. Hanson, and Jeremy C. Stein. "A Comparative-Advantage Approach to Government Debt Maturity." Journal of Finance 70, no. 4 (August 2015): 1683–1722. (2015 Brattle Group Distinguished Paper for an outstanding corporate finance paper published in the Journal of Finance. Internet Appendix Here.)  View Details
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  11. Article | Journal of Financial Economics

    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;

    Citation:

    Hanson, Samuel G. "Mortgage Convexity." Journal of Financial Economics 113, no. 2 (August 2014): 270–299. (Internet Appendix Here.)  View Details
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  12. Article | Review of Financial Studies

    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;

    Citation:

    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
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  13. Article | Review of Financial Studies

    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;

    Citation:

    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
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  14. Article | Journal of Financial Economics

    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;

    Citation:

    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
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  15. Article | Review of Economics and Statistics

    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;

    Citation:

    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
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  16. Article | Journal of Finance

    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;

    Citation:

    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
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  18. Article | Journal of Finance

    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;

    Citation:

    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
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  19. Article | Journal of Empirical Finance

    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;

    Citation:

    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
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  20. Article | Journal of Banking & Finance

    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: credit risk; bootstrap; Mathematical Methods; Credit; Risk Management;

    Citation:

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

  1. Chapter | Monetary Policy through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World | 2016

    Forward Guidance in the Yield Curve: Short Rates versus Bond Supply

    Robin Greenwood, Samuel Gregory Hanson and Dimitri Vayanos

    We present a model of the yield curve in which the central bank can provide market participants with forward guidance on both future short rates and on future Quantitative Easing (QE) operations, which affect bond supply. Forward guidance on short rates works through the expectations hypothesis, while forward guidance on QE works through expected future bond risk premia. If a QE operation is expected to be undone in the near term, then its announcement will have a hump-shaped effect on the yield and forward-rate curves; otherwise, the effect may be increasing with maturity. Humps associated to QE announcements typically occur at maturities longer than those associated to short-rate announcements, even when the effects of the former are expected to last over a shorter horizon. We use our model to re-examine the empirical evidence on QE announcements in the United States.

    Keywords: Central Banking; Financial Markets;

    Citation:

    Greenwood, Robin, Samuel Gregory Hanson, and Dimitri Vayanos. "Forward Guidance in the Yield Curve: Short Rates versus Bond Supply." In Monetary Policy through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World, edited by Elias Albagli, Diego Saravia, and Michael Woodford, 11–62. Santiago: Banco Central de Chile, 2016. (Working Paper version: NBER Working Paper No. 21750 Here.)  View Details
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  2. Chapter | The $13 Trillion Question: How America Manages Its Debt | 2015

    Debt Management Conflicts between the U.S. Treasury and the Federal Reserve

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

    Citation:

    Greenwood, Robin, Samuel Gregory Hanson, Joshua S. Rudolph, and Lawrence Summers. "Debt Management Conflicts between the U.S. Treasury and the Federal Reserve." Chap. 2 in The $13 Trillion Question: How America Manages Its Debt, edited by David Wessel, 43–89. Brookings Institution Press, 2015. (Working Paper version Here.)  View Details
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  3. Chapter | The $13 Trillion Question: How America Manages Its Debt | 2015

    The Optimal Maturity of Government Debt

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

    Citation:

    Greenwood, Robin, Samuel Gregory Hanson, Joshua S. Rudolph, and Lawrence Summers. "The Optimal Maturity of Government Debt." Chap. 1 in The $13 Trillion Question: How America Manages Its Debt, edited by David Wessel, 1–41. Brookings Institution Press, 2015. (Working Paper version Here.)  View Details
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Other Publications and Materials

  1. Working Paper | 2017

    The Financial Regulatory Reform Agenda in 2017

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

    We take stock of the post-crisis financial regulatory reform agenda. We highlight and summarize areas of clear progress, where post-crisis reforms should either be maintained or built upon. We then identify several areas where the new regulations could be streamlined or rolled back in an effort to reduce the burden on the financial sector, particularly on smaller banks.

    Keywords: Finance; Governing Rules, Regulations, and Reforms; United States;

    Citation:

    Greenwood, Robin, Samuel G. Hanson, Jeremy C. Stein, and Adi Sunderam. "The Financial Regulatory Reform Agenda in 2017." Working Paper, February 2017.  View Details
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  2. Working Paper | 2014

    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;

    Citation:

    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
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  4. Mimeo | 2010

    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;

    Citation:

    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
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  5. Mimeo | 2008

    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;

    Citation:

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

  1. Working Paper | HBS Working Paper Series | 2012

    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: Price; Credit; Risk and Uncertainty; Investment Return; Forecasting and Prediction; Bonds; Market Design; Cost of Capital; Mathematical Methods; System Shocks;

    Citation:

    Greenwood, Robin, and Samuel G. Hanson. "Issuer Quality and Corporate Bond Returns." Harvard Business School Working Paper, No. 11-065, January 2011. (Revised September 2012, Internet Appendix Here.)  View Details
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  8. Case | HBS Case Collection | October 2018 (Revised January 2019)

    The Financial Crisis: Timothy Geithner and the Stress Tests

    Samuel G. Hanson, Robin Greenwood, David Scharfstein and Adi Sunderam

    In February and March 2009, the U.S. economy was in the midst of a terrifying financial and economic crisis. Between the beginning of 2008 and early 2009, four of the 25 largest U.S. financial institutions had failed, and nine of these 25 institutions had taken extraordinary steps to avoid failure—either receiving one-off government support, merging with another firm, or submitting to heightened regulation to qualify for future government support. Led by Treasury Secretary Timothy Geithner, the government had to quickly devise policies to stabilize the financial system and the economy. The case explores the details of policies, and the decision making process that led to them, that Geithner and his team devised under immense time pressure to stabilize the system. The case features an extended discussion of Geithner’s innovative “stress test,” which would reveal the longer-term health of the country’s largest banks.

    Keywords: bailout; regulation; Stress Test; Financial Crisis; History; Economy; Policy; Governing Rules, Regulations, and Reforms; Decision Making; Banking Industry; Financial Services Industry; Real Estate Industry; United States;

    Citation:

    Hanson, Samuel G., Robin Greenwood, David Scharfstein, and Adi Sunderam. "The Financial Crisis: Timothy Geithner and the Stress Tests." Harvard Business School Case 219-038, October 2018. (Revised January 2019.)  View Details
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  9. Case | HBS Case Collection | October 2018 (Revised January 2019)

    The Financial Crisis: Hank Paulson in 2008

    Adi Sunderam, Robin Greenwood, Sam Hanson and David Scharfstein

    On the afternoon of Monday October 13, 2008, Hank Paulson Jr., the Secretary of the Treasury of the United States, walked into the large conference room across the hall from his office in the Treasury Department. Joining him were Federal Reserve Chairman Ben Bernanke, President of the Federal Reserve Bank of New York Timothy Geithner, Chair of the Federal Deposit Insurance Corporate Sheila Bair, and the Chief Executive Officers of nine of the largest banks in the United States. This distinguished group had been brought together by the most serious financial crisis since the Great Depression of the 1930s. Financial panic was pushing the U.S. and European financial systems to the brink of failure. Paulson hoped his meeting with the bank CEOs would be a turning point. U.S. financial markets were closed for Columbus Day, and Paulson was planning to announce the latest government actions to stabilize the financial system before markets reopened on Tuesday.

    Keywords: bailout; regulation; Financial Crisis; History; Governing Rules, Regulations, and Reforms; Decision Making; Banking Industry; Financial Services Industry; Real Estate Industry; United States;

    Citation:

    Sunderam, Adi, Robin Greenwood, Sam Hanson, and David Scharfstein. "The Financial Crisis: Hank Paulson in 2008." Harvard Business School Case 219-037, October 2018. (Revised January 2019.)  View Details
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  15. Case | HBS Case Collection | January 2017

    Nashua River Capital Management

    Samuel Hanson and Aldo Sesia

    Investment manager Eliza Baena confronts an apparent convertible bond arbitrage opportunity when she notices a narrowing spread between two Boston Properties (BXP) bonds, one a convertible bond and the other a straight bond, in the wake of the 2008 Lehman bankruptcy. Baena must decide if there is an opportunity, how to structure a trade to exploit it, and how much of her fund's capital to allocate. Case exposition includes descriptions of basic financing arrangements that support arbitrage strategies, such as rehypothecation and margin lending.

    Keywords: Asset Management; Bonds; Investment;

    Citation:

    Hanson, Samuel, and Aldo Sesia. "Nashua River Capital Management." Harvard Business School Case 217-045, January 2017.  View Details
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  18. Case | HBS Case Collection | September 2015 (Revised September 2017)

    Pershing Square 2.0

    Robin Greenwood, Samuel Hanson and David Biery

    In June 2015 William A. Ackman, the CEO and founder of New York hedge fund Pershing Square Capital, reflects on the success of the fund he has spent over a decade building. Since its inception in 2004, Pershing Square's assets under management had grown from $500 million to well over $18 billion. Ackman is now considering a sizable new portfolio position and must decide how he should raise capital to undertake this new investment. This choice is affected by the recent launch of his new, $6 billion closed-end vehicle, Pershing Square Holdings, as well as the firm's lengthening investment horizon. Although always activist in nature, Ackman and his fund had in recent years become substantively involved in the management of portfolio companies, often working to drive shareholder value by improving operating performance.

    Keywords: activism; value investing; portfolio management; Management; Investment Portfolio; Investment Activism;

    Citation:

    Greenwood, Robin, Samuel Hanson, and David Biery. "Pershing Square 2.0." Harvard Business School Case 216-003, September 2015. (Revised September 2017.)  View Details
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  19. Case | HBS Case Collection | February 2015

    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;

    Citation:

    Baker, Malcolm, Samuel G. Hanson, and James Weber. "Longbow Capital Partners." Harvard Business School Case 215-026, February 2015.  View Details
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  21. Case | HBS Case Collection | October 2012 (Revised June 2015)

    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;

    Citation:

    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
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  22. Supplement | HBS Case Collection | February 2013 (Revised January 2015)

    Grantham, Mayo, and Van Otterloo, 2012: Estimating the Equity Risk Premium (CW)

    Samuel Gregory Hanson, Erik Stafford and Luis M. Viceira

    Citation:

    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
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  24. Case | HBS Case Collection | October 2014

    Grantham, Mayo, and Van Otterloo, 2012: Estimating the Equity Risk Premium (Abridged)

    Samuel Hanson, Erik Stafford and Luis Viceira

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

    Citation:

    Hanson, Samuel, Erik Stafford, and Luis Viceira. "Grantham, Mayo, and Van Otterloo, 2012: Estimating the Equity Risk Premium (Abridged)." Harvard Business School Case 215-025, October 2014.  View Details
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  25. Supplement | HBS Case Collection | October 2014

    Grantham, Mayo, and Van Otterloo, 2012: Estimating the Equity Risk Premium (Abridged) Spreadsheet Supplement

    Samuel Gregory Hanson, Erik Stafford and Luis M. Viceira

    Citation:

    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
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  31. Case | HBS Case Collection | January 2015 (Revised October 2018)

    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; Investment; Strategy; Financial Services Industry; United States;

    Citation:

    Baker, Malcolm, Samuel G. Hanson, and James Weber. "Dogs of the Dow." Harvard Business School Case 215-020, January 2015. (Revised October 2018.)  View Details
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