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Publications

Publications

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  • All HBS Web  (70)
    • Faculty Publications  (13)

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    • All HBS Web  (70)
      • Faculty Publications  (13)

      Extrapolation Remove Extrapolation →

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      • 2021
      • Working Paper

      What Drives Variation in Investor Portfolios? Evidence from Retirement Plans

      By: Mark Egan, Alexander MacKay and Hanbin Yang
      We study empirical patterns in investment behavior using a comprehensive data set of defined contribution plans. Using plan-level portfolio allocation data for the near universe of 401(k) plans over the period 2009–2019, we document substantial differences in...  View Details
      Keywords: Stock Market Expectations; Demand Estimation; Retirement Planning; Defined Contribution Retirement Plan; 401 (K); Finance; Investment Portfolio; Investment; Retirement; Behavioral Finance; Financial Services Industry; United States
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      Egan, Mark, Alexander MacKay, and Hanbin Yang. "What Drives Variation in Investor Portfolios? Evidence from Retirement Plans." Harvard Business School Working Paper, No. 22-044, December 2021. (Direct download. NBER Working Paper Series, No. 29604, December 2021)
      • September 2021
      • Article

      Diagnostic Bubbles

      By: Pedro Bordalo, Nicola Gennaioli, Spencer Yongwook Kwon and Andrei Shleifer
      We introduce diagnostic expectations into a standard setting of price formation in which investors learn about the fundamental value of an asset and trade it. We study the interaction of diagnostic expectations with two well-known mechanisms: learning from prices and...  View Details
      Keywords: Bubble; Speculation; Diagnostic Expectations; Price Bubble; Mathematical Methods
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      Bordalo, Pedro, Nicola Gennaioli, Spencer Yongwook Kwon, and Andrei Shleifer. "Diagnostic Bubbles." Journal of Financial Economics 141, no. 3 (September 2021).
      • August 2021
      • Article

      Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates

      By: Samuel G. Hanson, David O. Lucca and Jonathan H. Wright
      Long-term nominal interest rates are surprisingly sensitive to high-frequency (daily or monthly) movements in short-term rates. Since 2000, this high-frequency sensitivity has grown even stronger in U.S. data. By contrast, the association between low-frequency changes...  View Details
      Keywords: Conundrum; Investor Demand; Monetary Policy Transmission; Interest Rates
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      Hanson, Samuel G., David O. Lucca, and Jonathan H. Wright. "Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates." Quarterly Journal of Economics 136, no. 3 (August 2021): 1719–1781.
      • Article

      Predictions, Prophets, and Restarting Your Business

      By: Frank V. Cespedes
      The first task of crisis management is a reasonably accurate view of the current situation and how it might evolve. There are many predictions about so-called “new normal” as a result of the semi-enforced social distancing necessitated by the coronavirus. But most are...  View Details
      Keywords: Health Pandemics; Crisis Management; Strategic Planning
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      Cespedes, Frank V. "Predictions, Prophets, and Restarting Your Business." Harvard Business School Working Knowledge (May 4, 2020).
      • 2019
      • Working Paper

      Reflexivity in Credit Markets

      By: 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...  View Details
      Keywords: Reflexivity; Attitudes; Financial Markets; Forecasting and Prediction; Investment; Credit
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      Greenwood, Robin, Samuel G. Hanson, and Lawrence J. Jin. "Reflexivity in Credit Markets." NBER Working Paper Series, No. 25747, April 2019.
      • 2018
      • Working Paper

      Diagnostic Bubbles

      By: Pedro Bordalo, Nicola Gennaioli, Spencer Yongwook Kwon and Andrei Shleifer
      We introduce diagnostic expectations into a standard setting of price formation in which investors learn about the fundamental value of an asset and trade it. We study the interaction of diagnostic expectations with two well-known mechanisms: learning from prices and...  View Details
      Keywords: Bubbles; Price Bubble; Mathematical Methods
      Citation
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      Bordalo, Pedro, Nicola Gennaioli, Spencer Yongwook Kwon, and Andrei Shleifer. "Diagnostic Bubbles." NBER Working Paper Series, No. 25399, December 2018.
      • August 2018
      • Article

      Extrapolation and Bubbles

      By: Nicholas Barberis, Robin Greenwood, Lawrence Jin and Andrei Shleifer
      We present an extrapolative model of bubbles. In the model, many investors form their demand for a risky asset by weighing two signals: an average of the asset’s past price changes and the asset’s degree of overvaluation. The two signals are in conflict, and investors...  View Details
      Keywords: Bubble; Extrapolation; Volume; Price Bubble; Mathematical Methods
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      Barberis, Nicholas, Robin Greenwood, Lawrence Jin, and Andrei Shleifer. "Extrapolation and Bubbles." Journal of Financial Economics 129, no. 2 (August 2018): 203–227.
      • Article

      Extrapolating from Moore's Law

      By: Michael A. Cusumano and David B. Yoffie
      Keywords: Strategy; Technology
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      Cusumano, Michael A., and David B. Yoffie. "Extrapolating from Moore's Law." Communications of the ACM 59, no. 1 (December 2016): 33–35.
      • April 2015
      • Article

      Money Creation and the Shadow Banking System

      By: Adi Sunderam
      Many explanations for the rapid growth of the shadow banking system in the mid-2000s focus on money demand. This paper asks whether the short-term liabilities of the shadow banking system behave like money. We first present a simple model where households demand money...  View Details
      Keywords: Financial Instruments; Banks and Banking
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      Sunderam, Adi. "Money Creation and the Shadow Banking System." Review of Financial Studies 28, no. 4 (April 2015): 939–977.
      • 2015
      • Article

      What's so Institutional about Leadership?: Leadership Mechanisms of Value Infusion

      By: Ryan Raffaelli and Mary Ann Glynn
      Leaders are important social actors in organizations, centrally involved in establishing and maintaining institutional values, a view that was articulated by Philip Selznick (1957) nearly a half-century ago, but often overlooked in institutionalists' accounts. Our...  View Details
      Keywords: Leadership; Organizations; Values and Beliefs
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      Raffaelli, Ryan, and Mary Ann Glynn. "What's so Institutional about Leadership? Leadership Mechanisms of Value Infusion." Research in the Sociology of Organizations 44 (2015): 283–316.
      • January 2015
      • Article

      X-CAPM: An Extrapolative Capital Asset Pricing Model

      By: Nicholas Barberis, Robin Greenwood, Lawrence Jin and Andrei Shleifer
      Survey evidence suggests that many investors form beliefs about future stock market returns by extrapolating past returns. Such beliefs are hard to reconcile with existing models of the aggregate stock market. We study a consumption-based asset pricing model in which...  View Details
      Keywords: Capital Asset Pricing; Returns; Investing; Asset Pricing; Investment Return
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      Barberis, Nicholas, Robin Greenwood, Lawrence Jin, and Andrei Shleifer. "X-CAPM: An Extrapolative Capital Asset Pricing Model." Journal of Financial Economics 115, no. 1 (January 2015): 1–24.
      • 2014
      • Other Presentation

      Feature Extrapolation in Mental Tracking

      By: Julian De Freitas and K. Knobre
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      De Freitas, Julian, and K. Knobre. "Feature Extrapolation in Mental Tracking." University of Oxford 2nd Year DPhil Students Poster Event, Oxfordshire, United Kingdom, 2014.
      • February 1989 (Revised November 1991)
      • Case

      Science Technology Co.--1985

      By: Thomas R. Piper
      The CEO of a U.S. electronics firm is assessing the financial forecasts and the financing plan prepared by the chief financial officer. Given the cyclicality of the industry and the volatility of the firm's performance, the CEO is unsure as to the usefulness of...  View Details
      Keywords: Risk and Uncertainty; Change Management; Industry Growth; Forecasting and Prediction; Financial Strategy; Volatility; Electronics Industry
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      Piper, Thomas R. "Science Technology Co.--1985." Harvard Business School Case 289-040, February 1989. (Revised November 1991.)
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