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  • 2021
  • Working Paper

The Price Effects of Innovative Security Design
By: Boris Vallée, Gordon Liao and Claire Célérier
This paper investigates the effects of the issuance of retail products with non-linear payoffs on option prices. For a given underlying asset, when the outstanding volume of products embedding a short-put position increases, implied volatility at the corresponding...  View Details
Keywords: Security Design; Dividend; Options; Structured Products; Market Segmentation; Financial Instruments; Design; Volatility; Markets; Segmentation
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  • 2018
  • Working Paper

Global Portfolio Diversification for Long-Horizon Investors
By: Luis M. Viceira and Zixuan (Kevin) Wang
This paper conducts a theoretical and empirical investigation of global portfolio diversification for long-horizon investors in the presence of permanent cash flow shocks and transitory discount rate shocks to asset prices and returns. An increase in the cross-country...  View Details
Keywords: Investment Portfolio; Risk and Uncertainty; Diversification; Capital Markets; Global Range
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  • 2017
  • Working Paper

Economic Uncertainty and Earnings Management
By: Luke C.D. Stein and Charles C.Y. Wang
In the presence of managerial short-termism and asymmetric information about skill and effort provision, firms may opportunistically shift earnings from uncertain to more certain times. We document empirically that when financial markets are less certain about a firm's...  View Details
Keywords: Discretionary Accruals; Uncertainty; Implied Volatility; Earnings Response Coefficient; Risk and Uncertainty; Earnings Management; Financial Markets
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  • January 2008
  • Background Note

Index Options
By: Joshua Coval and Erik Stafford
The goal of this simulation is to understand the patterns in index option prices that are not predicted by the Black-Scholes model. In particular, the simulation focuses on two properties of options prices. First, at-the-money implied volatilities from index options...  View Details
Keywords: Volatility; Stock Options; Investment; Price; Profit; Risk Management; Mathematical Methods
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  • March 2005
  • Article

Sovereign Debt As a Contingent Claim: A Quantitative Approach
By: Laura Alfaro and Fabio Kanczuk
We construct a dynamic equilibrium model with contingent service and adverse selection to quantitatively study sovereign debt. In the model, benefits of defaulting are tempered by higher future interest rates. For a wide set of parameters, the only equilibrium is one...  View Details
Keywords: Sovereign Finance; Borrowing and Debt; Interest Rates; Balance and Stability; Risk and Uncertainty; Risk Management; Mathematical Methods; Management Style; Segmentation; Debt Securities; Banking Industry
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  • 1995
  • Chapter

The Informational Role of Asset Prices: The Case of Implied Volatility
By: Zvi Bodie and Robert C. Merton
Keywords: Asset Pricing; Price; Volatility; Information
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  • 1995
  • Working Paper

The Informational Role of Asset Prices: The Case of Implied Volatility
By: Zvi Bodie and Robert C. Merton
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  • Research Summary

Sovereign Debt as a Contingent Claim: A Quantitative Approach (joint with Fabio Kanczuk)
By: Laura Alfaro
We construct a dynamic equilibrium model with contingent service and adverse selection to quantitatively study sovereign debt. In the model, benefits of defaulting are tempered by higher future interest rates. For a wide parameter, the only equilibrium is one in which...  View Details

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