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- Faculty Publications (80)
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All HBS Web
(932)
- Faculty Publications (80)
- Article
Inflation-Indexed Bonds and the Expectations Hypothesis
By: Carolin E. Pflueger and Luis M. Viceira
This paper empirically analyzes the Expectations Hypothesis (EH) in inflation-indexed (or real) bonds and in nominal bonds in the U.S. and in the U.K. We strongly reject the EH in inflation-indexed bonds and also confirm and update the existing evidence rejecting the...
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Keywords:
TIPS;
Breakeven Inflation;
Return Predictability;
Bond Risk Premia;
Risk Management;
Bonds;
Financial Liquidity;
Inflation and Deflation;
United Kingdom;
United States
Pflueger, Carolin E., and Luis M. Viceira. "Inflation-Indexed Bonds and the Expectations Hypothesis." Annual Review of Financial Economics 3 (2011): 139–158.
- 2012
- Book
The Culture Cycle: How to Shape the Unseen Force That Transforms Performance
By: James Heskett
The contribution of culture to organizational performance is both substantial and quantifiable. This book presents the results of field research that demonstrates how an effective culture can account for up to half of the differential in performance between...
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Keywords:
Customer Focus and Relationships;
Learning;
Framework;
Policy;
Retention;
Books;
Analytics and Data Science;
Innovation and Invention;
Management Practices and Processes;
Organizational Culture;
Performance Expectations;
Research
Heskett, James. The Culture Cycle: How to Shape the Unseen Force That Transforms Performance. Upper Saddle River, NJ: FT Press, 2012.
- 2013
- Working Paper
Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity
By: Carolin E. Pflueger and Luis M. Viceira
Estimating the liquidity differential between inflation-indexed and nominal bond yields, we separately test for time-varying real rate risk premia, inflation risk premia, and liquidity premia in U.S. and U.K. bond markets. We find strong, model independent evidence...
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Keywords:
Expectations Hypothesis;
Term Structure;
Real Interest Rate Risk;
Inflation Risk;
Inflation-Indexed Bonds;
Financial Crisis;
Inflation and Deflation;
Financial Liquidity;
Bonds;
Investment Return;
Risk and Uncertainty;
United Kingdom;
United States
Pflueger, Carolin E., and Luis M. Viceira. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity." Harvard Business School Working Paper, No. 11-094, March 2011. (Revised September 2013.)
- January – February 2011
- Article
Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly
By: Malcolm Baker, Brendan Bradley and Jeffrey Wurgler
Contrary to basic finance principles, high-beta and high-volatility stocks have long underperformed low-beta and low-volatility stocks. This anomaly may be partly explained by the fact that the typical institutional investor's mandate to beat a fixed benchmark...
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Keywords:
Volatility;
Stocks;
Investment Return;
Investment Portfolio;
Risk Management;
Performance Expectations
Baker, Malcolm, Brendan Bradley, and Jeffrey Wurgler. "Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly." Financial Analysts Journal 67, no. 1 (January–February 2011).
- 2012
- Working Paper
Issuer Quality and Corporate Bond Returns
By: 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...
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Keywords:
Price;
Credit;
Risk and Uncertainty;
Investment Return;
Forecasting and Prediction;
Bonds;
Market Design;
Cost of Capital;
Mathematical Methods;
System Shocks
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.)
- June 2010 (Revised December 2013)
- Case
Hang Lung Properties and the Chengdu Decision (A)
By: John D. Macomber, Michael Shih-Ta Chen and Keith Chi-Ho Wong
A residential real estate developer competes in a heated auction for a prime retail development site in the interior of China during the 2009 boom. Total project cost might be in excess of $1 billion U.S. for over 4,000,000 square feet of building. Hang Lung Properties...
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Keywords:
Buildings and Facilities;
Decision Choices and Conditions;
Investment Return;
Geographic Location;
Auctions;
Bids and Bidding;
Infrastructure;
Valuation;
Real Estate Industry;
Chengdu
Macomber, John D., Michael Shih-Ta Chen, and Keith Chi-Ho Wong. "Hang Lung Properties and the Chengdu Decision (A)." Harvard Business School Case 210-089, June 2010. (Revised December 2013.)
- 2008
- Chapter
Corporate Honesty and Business Education: A Behavioral Model
By: Rakesh Khurana and Herbert Gintis
Since the mid-1970s neoclassical economic theory has dominated business school thinking and teaching in dealing with the nature of human motivation. However valuable in understanding competitive product and financial markets, neoclassical economic theory employs an...
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Keywords:
Business Education;
Ethics;
Managerial Roles;
Corporate Social Responsibility and Impact;
Organizational Culture;
Business and Shareholder Relations;
Mathematical Methods;
Behavior
Khurana, Rakesh, and Herbert Gintis. "Corporate Honesty and Business Education: A Behavioral Model." In Moral Markets: The Critical Role of Values in the Economy, edited by Paul J. Zak. Princeton University Press, 2008.
- December 2008
- Article
Style Investing and Institutional Investors
By: Kenneth A. Froot and Melvyn Teo
This paper explores institutional investors' trades in stocks grouped by style and the relationship of these trades with equity market returns. It aggregates transactions drawn from a large universe of approximately $6 trillion of institutional funds. To analyze style...
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Keywords:
Forecasting and Prediction;
Behavioral Finance;
Stocks;
Investment Return;
Market Transactions;
Performance Expectations;
Personal Characteristics;
Financial Services Industry
Froot, Kenneth A., and Melvyn Teo. "Style Investing and Institutional Investors." Journal of Financial and Quantitative Analysis 43, no. 4 (December 2008): 883–906. (Revised from: Equity Style Returns and Institutional Investor Flows, Harvard Business School Working Paper No. 04-048, June 2004.)
- November 2008
- Journal Article
Can Research Committees Add Value for Investors? An Analysis of Lehman Brothers' Ten Uncommon Values® Recommendations
By: Boris Groysberg, Paul M. Healy and Yang Gui
Since 1949 Lehman Brothers has used an investment committee to select the top ten recommendations made by its analysts each year. We examine the performance of this committee's recommendations and find that on average its selections generated abnormal returns of 2.7%...
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Keywords:
Forecasting and Prediction;
Stocks;
Financial Markets;
Investment;
Investment Return;
Governing Rules, Regulations, and Reforms;
Performance Expectations;
Groups and Teams;
Research;
Value Creation
Groysberg, Boris, Paul M. Healy, and Yang Gui. "Can Research Committees Add Value for Investors? An Analysis of Lehman Brothers' Ten Uncommon Values® Recommendations." Journal of Financial Transformation 24 (November 2008): 123–130.
- September 2008
- Article
Firm Heterogeneity and Credit Risk Diversification
By: 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...
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Keywords:
Volatility;
Credit;
Investment Return;
Outcome or Result;
Risk and Uncertainty;
Loss;
Diversification;
Complexity;
United States
Hanson, Samuel G., M. Hashem Pesaran, and Til Schuermann. "Firm Heterogeneity and Credit Risk Diversification." Journal of Empirical Finance 15, no. 4 (September 2008): 583–612.
- May 2008
- Article
Excess Comovement of Stock Returns: Evidence from Cross-sectional Variation in Nikkei 225 Weights
By: Robin Greenwood
In the presence of limits to arbitrage, cross-sectional variation in periodic investor demand should be related to the degree of comovement of returns. I exploit the unusual weighting system of the Nikkei 225 index in Japan to identify cross-sectional variation in...
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Keywords:
Stocks;
Investment;
Investment Return;
Market Transactions;
Weight;
Performance Expectations;
Behavior;
Japan
Greenwood, Robin. "Excess Comovement of Stock Returns: Evidence from Cross-sectional Variation in Nikkei 225 Weights." Review of Financial Studies 21, no. 3 (May 2008): 1153–1186.
- February 2008 (Revised July 2008)
- Case
Banco Compartamos: Life after the IPO
By: Michael Chu and Regina Garcia Cuellar
After an international IPO yielding extraordinary returns to original investors, Banco Compartamos, Mexico's leading microfinance institution, contemplates its future strategic and competing priorities: maintaining growth, defending industry, leadership, preserving...
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Keywords:
Business Model;
Microfinance;
Initial Public Offering;
Non-Governmental Organizations;
Competition;
Value Creation;
Banking Industry;
Mexico
Chu, Michael, and Regina Garcia Cuellar. "Banco Compartamos: Life after the IPO." Harvard Business School Case 308-094, February 2008. (Revised July 2008.)
- November 2007
- Background Note
Asset Allocation I
By: Joshua D. Coval, Erik Stafford, Rodrigo Osmo, John Jernigan, Zack Page and Paulo Passoni
The goal of these simulations is to understand the mathematics of mean-variance optimization and the equilibrium pricing of risk if all investors use this rule with common information sets. Simulation A focuses on five to 10 years of monthly sector returns that are...
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- October 2007
- Article
The Effectiveness of Pre-Release Advertising for Motion Pictures: An Empirical Investigation Using a Simulated Market
By: Anita Elberse and Bharat N. Anand
One of the most visible and publicized trends in the movie industry is the escalation in movie advertising expenditures over time. Yet, the returns to movie advertising are poorly understood. The main reason is that disentangling the causal effect of advertising on...
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Keywords:
Advertising;
Stocks;
Investment Return;
Price;
Revenue;
Quality;
Mathematical Methods;
Motion Pictures and Video Industry
Elberse, Anita, and Bharat N. Anand. "The Effectiveness of Pre-Release Advertising for Motion Pictures: An Empirical Investigation Using a Simulated Market." Information Economics and Policy 19, nos. 3-4 (October 2007): 319–343. (Special Issue on Economics of the Media.)
- October 2007
- Article
The Power of Stars: Do Star Actors Drive the Success of Movies?
By: Anita Elberse
Is the involvement of star actors critical to the success of motion pictures? Film studios, which they regularly pay multimillion-dollar fees to star actors, seem driven by that belief. I shed light on the returns on this investment using an event study that considers...
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Keywords:
Talent and Talent Management;
Film Entertainment;
Investment Return;
Revenue;
Compensation and Benefits;
Resource Allocation;
Success;
Motion Pictures and Video Industry
Elberse, Anita. "The Power of Stars: Do Star Actors Drive the Success of Movies?" Journal of Marketing 71, no. 4 (October 2007): 102–120. (Featured in HBS Working Knowledge.)
- September 2007
- Case
Dice-K: The Hundred (Plus) Million Dollar Man
Describes the efforts made by the Boston Red Sox to sign superstar Japanese pitcher Daisuke (Dice-K) Matsuzaka within the context of the team's attempts to keep pace with longtime rival, the New York Yankees. In late 2006, Dice-K is viewed as the prize of the free...
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Cohen, Randolph B., Michael Barry, and F. Mark D'Annolfo. "Dice-K: The Hundred (Plus) Million Dollar Man." Harvard Business School Case 208-043, September 2007.
- July 2007
- Article
Earnings Announcement Premia and Limits to Arbitrage
By: Daniel Cohen, Aiyesha Dey, Thomas Lys and Shyam Sunder
We examine the factors underlying the presence of earnings announcement premia. We find that the premia persist beyond the sample period examined in prior studies (ending in 1988), although they decline in magnitude after 1988. Further, premia are lower on the expected...
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Cohen, Daniel, Aiyesha Dey, Thomas Lys, and Shyam Sunder. "Earnings Announcement Premia and Limits to Arbitrage." Journal of Accounting & Economics 43, nos. 2-3 (July 2007): 153–180.
- June 2005
- Article
Currency Returns, Intrinsic Value, and Institutional Investor Flows
By: K. A. Froot and T. Ramadorai
Keywords:
Currencies;
Exchange Rates;
Purchasing Power Parity;
Real Exchange Rate;
Forecasting and Prediction;
Behavioral Finance;
Investment Return;
Market Transactions;
Performance Expectations;
Personal Characteristics;
Asset Pricing;
Financial Services Industry
Froot, K. A., and T. Ramadorai. "Currency Returns, Intrinsic Value, and Institutional Investor Flows." Journal of Finance 60, no. 3 (June 2005): 1535–1566. (Revised from NBER Working Paper no. 9101, August 2002 and Harvard Business School Working Paper no. 04-036, December 2003.)
- September 2004
- Article
Decomposing the Persistence of International Equity Flows
By: Kenneth A. Froot and J. Tjornhom Donohue
- December 2002
- Article
The Persistence of Emerging Market Equity Flows
By: K. A. Froot and J. Donohue
Keywords:
Asset Pricing;
Equity Investment;
Forecasting and Prediction;
Behavioral Finance;
Stocks;
Investment Return;
Market Transactions;
Performance Expectations;
Financial Services Industry
Froot, K. A., and J. Donohue. "The Persistence of Emerging Market Equity Flows." Emerging Markets Review 3, no. 4 (December 2002): 338–364. (Revised from NBER Working Paper no. 9241, HBS Working Paper no. 03-035, September 2002.)