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All HBS Web
(500)
- News (81)
- Research (368)
- Events (1)
- Multimedia (3)
- Faculty Publications (209)
Show Results For
-
All HBS Web
(500)
- News (81)
- Research (368)
- Events (1)
- Multimedia (3)
- Faculty Publications (209)
- 1995
- Chapter
The Informational Role of Asset Prices: The Case of Implied Volatility
By: Zvi Bodie and Robert C. Merton
Bodie, Zvi, and Robert C. Merton. "The Informational Role of Asset Prices: The Case of Implied Volatility." Chap. 6 in The Global Financial System: A Functional Perspective, by D. B. Crane, K. A. Froot, Scott P. Mason, André Perold, R. C. Merton, Z. Bodie, E. R. Sirri, and P. Tufano, 197–224. Boston: Harvard Business School Press, 1995.
- Forthcoming
- Chapter
Oil, Macroeconomic Volatility and Crime in the Determination of Beliefs in Venezuela
By: Rafael Di Tella, Javier Donna and Robert MacCulloch
Book Abstract: At the beginning of the twentieth century Venezuela had one of the poorest economies in Latin America, but by 1970 it had become the richest country in the region and one of the twenty richest countries in the world, ahead of countries such as Greece,...
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Keywords:
Macroeconomics;
Volatility;
Crime and Corruption;
Values and Beliefs;
Non-Renewable Energy;
Energy Industry;
Venezuela
Di Tella, Rafael, Javier Donna, and Robert MacCulloch. "Oil, Macroeconomic Volatility and Crime in the Determination of Beliefs in Venezuela." Chap. 14 in Venezuela Before Chávez: Anatomy of an Economic Collapse, edited by Ricardo Hausmann and Francisco Rodriguez. Penn State University Press, 2014.
- 12 Apr 2023
- News
Using AI to Adjust Your Marketing and Sales in a Volatile World
- Web
Chicago Board Options Exchange Volatility Index | Baker Library | Bloomberg Center | Harvard Business School
Databases Chicago Board Options Exchange Volatility Index Chicago Board Options Exchange Volatility Index Bookmark This Chicago Board Options Exchange Volatility Index...
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- March–April 2014
- Article
The Low-Risk Anomaly: A Decomposition into Micro and Macro Effects
By: Malcolm Baker, Brendan Bradley and Ryan Taliaferro
Low beta stocks have offered a combination of low risk and high returns. We decompose the anomaly into micro and macro components. The micro component comes from the selection of low beta stocks. The macro component comes from the selection of low beta countries or...
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Keywords:
Low Volatility;
Beta;
Portfolio Construction;
Market Efficiency;
Capital Asset Pricing Model;
Asset Management
Baker, Malcolm, Brendan Bradley, and Ryan Taliaferro. "The Low-Risk Anomaly: A Decomposition into Micro and Macro Effects." Financial Analysts Journal 70, no. 2 (March–April 2014): 43–58.
- 2013
- Working Paper
Asset Price Dynamics with Limited Attention
By: Mark Seasholes, Terrence Hendershott, Sunny X. Li and Albert J. Menkveld
This paper studies the role that limited attention and inefficient risk sharing play in stock price deviations from the efficient prices at horizons from one day to one month. We expand the Due (2010) slow-moving capital model to analyze multiple groups of investors...
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Keywords:
Transitory Volatility;
Limited Attention;
Individuals;
Market Makers;
Asset Pricing;
Financial Markets;
Volatility
Seasholes, Mark, Terrence Hendershott, Sunny X. Li, and Albert J. Menkveld. "Asset Price Dynamics with Limited Attention." Working Paper, November 2013. (2nd round at the Journal of Finance.)
- 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...
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Keywords:
Discretionary Accruals;
Uncertainty;
Implied Volatility;
Earnings Response Coefficient;
Risk and Uncertainty;
Earnings Management;
Financial Markets
Stein, Luke C.D., and Charles C.Y. Wang. "Economic Uncertainty and Earnings Management." Harvard Business School Working Paper, No. 16-103, March 2016. (Revised April 2017.)
- January 2013
- Teaching Note
Domino's Pizza (TN)
By: David E. Bell and Mary Shelman
Teaching Note for Domino's Pizza
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- 2000
- Other Unpublished Work
New Trading Practices and the Short-run Predictability of the S&P 500: Market Volatility and Investor Confidence, Report to the Board of Directors of the New York Stock Exchange, Inc.
By: André Perold
- March 2020
- Article
Synergistic Value in Vertically Integrated Power-to-Gas Energy Systems
By: Gunther Glenk and Stefan Reichelstein
In vertically integrated energy systems, integration frequently entails operational gains that must be traded off against the requisite cost of capacity investments. In the context of the model analyzed in this study, the operational gains are subject to inherent...
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Keywords:
Vertical Integration;
Volatility;
Capital Investment;
Capacity Management;
Renewable Energy;
Green Hydrogen;
Decarbonization;
Carbon Emissions;
Environment;
Energy;
Environmental Accounting;
Environmental Management;
Environmental Sustainability;
Investment;
Decision Making;
Operations;
Technological Innovation;
Green Technology;
Energy Industry;
Utilities Industry;
Consulting Industry;
Green Technology Industry;
Industrial Products Industry;
Manufacturing Industry;
Technology Industry;
Steel Industry;
Shipping Industry;
Transportation Industry;
Europe;
North America;
South America;
Africa;
Asia
Glenk, Gunther, and Stefan Reichelstein. "Synergistic Value in Vertically Integrated Power-to-Gas Energy Systems." Production and Operations Management 29, no. 3 (March 2020): 526–546.
- 07 Apr 2022
- HBS Seminar
Hummy Song, Wharton
- 2005
- Article
The Rise in Firm-Level Volatility: Causes and Consequences
By: Diego Comin and Thomas Philippon
We document that the recent decline in aggregate volatility has been accompanied by a large increase in firm level risk. The negative relationship between firm and aggregate risk seems to be present across industries in the US, and across OECD countries. Firm...
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Keywords:
Volatility;
Risk Management;
Relationships;
Research and Development;
Financing and Loans;
Industry Growth;
Governing Rules, Regulations, and Reforms;
Economy;
Outcome or Result;
United States
Comin, Diego, and Thomas Philippon. "The Rise in Firm-Level Volatility: Causes and Consequences." NBER Macroeconomics Annual 20 (2005). (Read an article about this paper in The Washington Post, Newsweek and The Charlotte Observer.)
- 16 Jun 2016
- News
How Companies Can Solve the Innovator’s Dilemma
- February 2018
- Article
Structural GARCH: The Volatility-Leverage Connection
By: Robert F. Engle and Emil N. Siriwardane
During the financial crisis, financial firm leverage and volatility both rose dramatically. Consequently, institutions are being asked to reduce leverage in order to reduce risk, though the effectiveness depends upon the role of capital structure in volatility. To...
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Keywords:
Leverage;
Credit Risk;
Crisis Management;
Equity;
Volatility;
Credit;
Risk Management;
Financial Crisis
Engle, Robert F., and Emil N. Siriwardane. "Structural GARCH: The Volatility-Leverage Connection." Review of Financial Studies 31, no. 2 (February 2018): 449–492.
- November 2016
- Case
Pete & Gerry's
By: Jose Alvarez and Natalie Kindred
Keywords:
"Pete & Gerry's;
" Eggs;
Egg Industry;
Avian Flu;
Cage Free;
Free Range;
Agribusiness;
Agriculture;
Industry Structure;
Industry Evolution;
Price Volatility;
Small Business;
Strategy Formulation;
Branding;
Marketing;
Premium Brand;
Growth;
Consumer;
Consumer Behavior;
Animal Welfare;
Retail;
Grocery;
Food Labeling;
Animal-Based Agribusiness;
Advertising Campaigns;
Business Model;
Change;
Change Management;
Disruption;
Transition;
Trends;
Volatility;
Customer Value and Value Chain;
Entrepreneurship;
Food;
Ethics;
Health;
Problems and Challenges;
Operations;
Sales;
Risk and Uncertainty;
Quality;
Public Opinion;
Value;
Strategy;
Agriculture and Agribusiness Industry;
Retail Industry;
United States
Alvarez, Jose, and Natalie Kindred. "Pete & Gerry's." Harvard Business School Case 517-048, November 2016.
- September 2000 (Revised January 2001)
- Case
Managing IBM Research in Internet Time
IBM must adapt its research process to the volatility of the Internet market. Issues include incentives, research charter, reward systems, and linkages to business units and customers.
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Chesbrough, Henry W. "Managing IBM Research in Internet Time." Harvard Business School Case 601-058, September 2000. (Revised January 2001.)
- January 1978 (Revised March 1988)
- Background Note
Quality of Earnings
By: David F. Hawkins
Presents a discussion of earnings quality --characteristics, relationship to earnings multiple, application and measurement, volatility and risk, as they affect earnings quality.
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Hawkins, David F. "Quality of Earnings." Harvard Business School Background Note 178-126, January 1978. (Revised March 1988.)
- 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...
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Keywords:
Volatility;
Stock Options;
Investment;
Price;
Profit;
Risk Management;
Mathematical Methods
Coval, Joshua, and Erik Stafford. "Index Options." Harvard Business School Background Note 208-119, January 2008.
- 22 Jan 2009
- Working Paper Summaries
Turbulent Firms, Turbulent Wages?
- Forthcoming
- Article
Transitory and Permanent Cash Flow Shocks in Debt Contract Design
By: Le Ma, Anywhere Sikochi and Yajun Xiao
We examine how lenders design contracts to account for transitory and permanent cash flow shocks facing borrowers. We find that volatile transitory cash flow shocks are associated with fewer liquidity covenants, indicating financial flexibility that enables firms to...
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Keywords:
Debt Covenants;
Cash Flow Shocks;
Debt Contracting;
Likelihood Of Default;
Cash Flow;
System Shocks
Ma, Le, Anywhere Sikochi, and Yajun Xiao. "Transitory and Permanent Cash Flow Shocks in Debt Contract Design." Journal of Financial and Quantitative Analysis (forthcoming). (Pre-published online May 25, 2024.)