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Publications

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  • All HBS Web  (20)
    • Faculty Publications  (4)

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    • All HBS Web  (20)
      • Faculty Publications  (4)

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      • January 2021
      • Article

      ETF Activity and Informational Efficiency of Underlying Securities

      By: Lawrence Glosten, Suresh Nallareddy and Yuan Zou
      This paper investigates the effect of exchange-traded funds’ (ETFs’) activity on the short-run informational efficiency of their underlying securities. We find that ETF activity increases short-run informational efficiency for stocks with weak information environments....  View Details
      Keywords: ETF; Informational Efficiency; Co-movement; Systematic Earnings; Share Lending
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      Glosten, Lawrence, Suresh Nallareddy, and Yuan Zou. "ETF Activity and Informational Efficiency of Underlying Securities." Management Science 67, no. 1 (January 2021): 22–47.
      • 2019
      • Working Paper

      Real Exchange Rate Behavior: New Evidence from Matched Retail Goods

      By: Alberto Cavallo, Brent Neiman and Roberto Rigobon
      We use a dataset containing daily prices for thousands of matched retail products in nine countries to study tradable-goods real exchange rates. Prices were collected from the websites of large multi-channel retailers and then carefully matched into narrowly-defined...  View Details
      Keywords: Purchasing Power Parity; Online Prices; Real Exchange Rate; Macroeconomics; Currency Exchange Rate; Price; Internet and the Web
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      Cavallo, Alberto, Brent Neiman, and Roberto Rigobon. "Real Exchange Rate Behavior: New Evidence from Matched Retail Goods." Harvard Business School Working Paper, No. 20-040, January 2019.
      • Summer 2013
      • Article

      Real Estate Prices During the Roaring Twenties and the Great Depression

      By: Tom Nicholas and Anna Scherbina
      Using new data on market-based transactions we construct real estate price indexes for Manhattan between 1920 and 1939. During the 1920s prices reached their highest level in the third quarter of 1929 before falling by 67% at the end of 1932 and hovering around that...  View Details
      Keywords: Property; Market Transactions; Price; Value; Financial Crisis; Investment; Real Estate Industry; New York (state, US)
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      Nicholas, Tom, and Anna Scherbina. "Real Estate Prices During the Roaring Twenties and the Great Depression." Real Estate Economics 41, no. 2 (Summer 2013): 278–309.
      • Forthcoming
      • Article

      A Quantity-Driven Theory of Term Premia and Exchange Rates

      By: 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...  View Details
      Keywords: Term Premium; Exchange Rate; Currency Exchange Rate; Bonds
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      Greenwood, Robin, Samuel G. Hanson, Jeremy C. Stein, and Adi Sunderam. "A Quantity-Driven Theory of Term Premia and Exchange Rates." Quarterly Journal of Economics (forthcoming).
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