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  • 2020
  • Working Paper

Reverse Information Sharing: Reducing Costs in Supply Chains with Yield Uncertainty
By: Pavithra Harsha, Ashish Jagmohan, Retsef Levi, Elisabeth Paulson and Georgia Perakis
Supply uncertainty in produce supply chains presents major challenges to retailers. Supply shortages create frequent disruptions in terms of promised delivery times, quantity and quality delivered. To alleviate these challenges, dual sourcing--a strategy in which...  View Details
Keywords: Information Sharing; Yield Uncertainty; Ration Gaming; Blockchain; Supply Chain; Risk and Uncertainty
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  • 2013
  • Working Paper

Do Strict Capital Requirements Raise the Cost of Capital? Banking Regulation and the Low Risk Anomaly
By: Malcolm Baker and Jeffrey Wurgler
Minimum capital requirements are a central tool of banking regulation. Setting them balances a number of factors, including any effects on the cost of capital and in turn the rates available to borrowers. Standard theory predicts that, in perfect and efficient capital...  View Details
Keywords: Risk and Uncertainty; Cost of Capital; Capital Markets; Banks and Banking; Banking Industry; United States
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  • Fall 2012
  • Article

Innovation Strategy and Entry Deterrence
By: Ozge Turut and Elie Ofek
We model an incumbent's decision to pursue radical or incremental innovation when facing a rival entrant. The radical innovation may yield lucrative financial returns but entails significant technological and market-related uncertainties. It is also particularly...  View Details
Keywords: Competition; Innovation Strategy; Risk and Uncertainty; Markets; Mathematical Methods
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  • June 2012
  • Article

Comovement and Predictability Relationships Between Bonds and the Cross-Section of Stocks
By: Malcolm Baker and Jeffrey Wurgler
Government bonds comove more strongly with bond-like stocks: stocks of large, mature, low-volatility, profitable, dividend-paying firms that are neither high growth nor distressed. Variables derived from the yield curve that are already known to predict returns on...  View Details
Keywords: Relationships; Bonds; Stocks; Investment Return; Cash Flow; Quality; Risk and Uncertainty; Forecasting and Prediction; Profit
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  • January – March 2012
  • Article

Bond Risk, Bond Return Volatility, and the Term Structure of Interest Rates
By: Luis M. Viceira
This paper explores time variation in bond risk, as measured by the covariation of bond returns with stock returns and with consumption growth, and in the volatility of bond returns. A robust stylized fact in empirical finance is that the spread between the yield on...  View Details
Keywords: Bonds; Volatility; Forecasting and Prediction; Interest Rates; Inflation and Deflation; Investment Return; Risk and Uncertainty; Currency Exchange Rate; Cash Flow; Stocks
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  • 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...  View Details
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
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  • 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...  View Details
Keywords: Volatility; Credit; Investment Return; Outcome or Result; Risk and Uncertainty; Loss; Diversification; Complexity; United States
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  • June 2008
  • Article

'Thar' She Blows: Can Bubbles Be Rekindled with Experienced Subjects?
By: Reshmaan Hussam, David Porter and Vernon Smith
We report 28 new experiment sessions consisting of up to three experience levels to examine the robustness of learning and “error” elimination among participants in a laboratory asset market and its effect on price bubbles. Our answer to the title question is: “yes.”...  View Details
Keywords: Experimental Economics; Asset Markets; Bubbles; Price Bubble; Financial Markets
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  • April 2006 (Revised April 2007)
  • Case

Endeca Technologies: New Growth Opportunities
By: Paul A. Gompers and Kristin Perry
Steve Papa, CEO of Endeca Technologies, must decide whether to expand into a new market with a new application of his company's technology. Endeca has experienced significant success with its information access software in the online retail industry, and in September...  View Details
Keywords: Decision Choices and Conditions; Market Entry and Exit; Production; Organizational Structure; Partners and Partnerships; Opportunities; Expansion; Internet and the Web; Applications and Software; Information Technology Industry
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  • Article

Experimental Evaluation of Individualized Treatment Rules
By: Kosuke Imai and Michael Lingzhi Li
The increasing availability of individual-level data has led to numerous applications of individualized (or personalized) treatment rules (ITRs). Policy makers often wish to empirically evaluate ITRs and compare their relative performance before implementing them in a...  View Details
Keywords: Causal Inference; Heterogeneous Treatment Effects; Precision Medicine; Uplift Modeling; Analytics and Data Science; AI and Machine Learning
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