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Publications

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  • All HBS Web  (55)
    • Faculty Publications  (7)

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    • All HBS Web  (55)
      • Faculty Publications  (7)

      Replicating Portfolio Remove Replicating Portfolio →

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      • January 2022
      • Article

      Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting

      By: Erik Stafford
      The contributions of asset selection and incremental leverage to buyout investment performance are more important than typically assumed or estimated to be. Buyout funds select small firms with distinct value characteristics. Public equities with these characteristics...  View Details
      Keywords: Replicating Portfolio; Private Equity; Investment Portfolio
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      Stafford, Erik. "Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting." Review of Financial Studies 35, no. 1 (January 2022): 299–342.
      • 2019
      • Working Paper

      Do Banks Have an Edge?

      By: Juliane Begenau and Erik Stafford
      Overall, no! We show that the level and time series variation in cash flows for most bank activities are well matched by capital market portfolios with similar interest rate and credit risk to what banks report to hold. Ignoring operating expenses, bank loans earn high...  View Details
      Keywords: Banks; Market Efficiency; Bank Capital; Bank Debt; CAPM; Banking; Bank Deposits; Bank Funding Advantage; Leverage; Maturity Transformation; Replicating Portfolio; Efficiency; Banks and Banking; Capital Markets; Performance Evaluation; Performance Efficiency; Banking Industry; United States
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      Begenau, Juliane, and Erik Stafford. "Do Banks Have an Edge?" Harvard Business School Working Paper, No. 18-060, January 2018. (Revised October 2019.)
      • 2015
      • Working Paper

      Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting

      By: Erik Stafford
      Private equity funds tend to select relatively small firms with low EBITDA multiples. Publicly traded equities with these characteristics have high risk-adjusted returns after controlling for common factors typically associated with value stocks. Hold-to-maturity...  View Details
      Keywords: Value Investing; Endowments; Investment Management; Asset Pricing; Private Equity; Investment; Management; United States
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      Stafford, Erik. "Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting." Harvard Business School Working Paper, No. 16-081, January 2016.
      • October 2008
      • Article

      The Small World of Investing: Board Connections and Mutual Fund Returns

      By: Lauren Cohen, Andrea Frazzini and Christopher J. Malloy
      This paper uses social networks to identify information transfer in security markets. We focus on connections between mutual fund managers and corporate board members via shared education networks. We find that portfolio managers place larger bets on firms they are...  View Details
      Keywords: Financial Markets; Information Management; Social and Collaborative Networks; Announcements; Investment Portfolio; Investment Return; Investment Funds; Asset Pricing; Governing and Advisory Boards
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      Cohen, Lauren, Andrea Frazzini, and Christopher J. Malloy. "The Small World of Investing: Board Connections and Mutual Fund Returns." Journal of Political Economy 116, no. 5 (October 2008): 951–979. (Winner of the Barclays Global Investors Award, Best Paper in Asset Pricing, European Finance Association 2007.)
      • 2008
      • Working Paper

      The Small World of Investing: Board Connections and Mutual Fund Returns

      By: Lauren Cohen, Andrea Frazzini and Christopher J. Malloy
      This paper uses social networks to identify information transfer in security markets. We focus on connections between mutual fund managers and corporate board members via shared education networks. We find that portfolio managers place larger bets on firms they are...  View Details
      Keywords: Asset Pricing; Investment Portfolio; Governing and Advisory Boards; Knowledge Sharing; Knowledge Use and Leverage; Social and Collaborative Networks; Financial Services Industry
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      Cohen, Lauren, Andrea Frazzini, and Christopher J. Malloy. "The Small World of Investing: Board Connections and Mutual Fund Returns." Harvard Business School Working Paper, No. 08-055, January 2008. (Winner of the Barclays Global Investors Award, Best Paper in Asset Pricing, European Finance Association 2007.)
      • February 1997 (Revised March 1998)
      • Case

      Smith Breeden Associates: The Equity Plus Fund (A)

      By: Robert C. Merton and Alberto Moel
      In early 1997, Smith Breeden Associates, a money management and consulting firm, was pondering the future of the Equity Plus Fund. The Equity Plus Fund was an S&P enhanced-index fund that tried to outperform the S&P Index by replicating the index using low-cost...  View Details
      Keywords: Assets; Cash; Financial Markets; Financial Strategy; Mortgages; Investment Funds; Investment Portfolio; Marketing; Performance; Consulting Industry
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      Merton, Robert C., and Alberto Moel. "Smith Breeden Associates: The Equity Plus Fund (A)." Harvard Business School Case 297-089, February 1997. (Revised March 1998.)
      • 1997
      • Chapter

      On the Role of the Wiener Process in Finance Theory and Practice: The Case of Replicating Portfolios

      By: Robert C. Merton
      Keywords: Mathematical Methods
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      Merton, Robert C. "On the Role of the Wiener Process in Finance Theory and Practice: The Case of Replicating Portfolios." In The Legacy of Norbert Wiener: A Centennial Symposium. Vol. 60, edited by D. Jerison, I. M. Singer, and D. W. Stroock. Proceedings of Symposia in Pure Mathematics . Providence, RI: American Mathematical Society, 1997.
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