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    Asset PricingRemove Asset Pricing →

    Page 1 of 4 Results
    • 31 May 2017
    • Working Paper Summaries

    Stock Price Synchronicity and Material Sustainability Information

    by Jody Grewal, Clarissa Hauptmann, and George Serafeim

    This paper seeks to understand and provide evidence on the characteristics of emerging accounting standards for sustainability information. Given that a large number of institutional investors seek sustainability data and have committed to using it, it is increasingly important to develop a robust accounting infrastructure for the reporting of such information.

    • 15 Feb 2016
    • Working Paper Summaries

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

    by Erik Stafford

    This paper studies the asset selection of private equity investors and the risk and return properties of passive portfolios with similarly selected investments in publicly traded securities. Results indicate that sophisticated institutional investors appear to significantly overpay for the portfolio management services associated with private equity investments.

    • 25 Sep 2015
    • Working Paper Summaries

    Invest in Information or Wing It? A Model of Dynamic Pricing with Seller Learning

    by Huang Guofang, Hong Luo & Jing Xia

    Dealers who need to price idiosyncratic products--like houses, artwork, and used cars--often struggle with a lack of information about the demand for their specific items. Analyzing sales data from the used-car retail market, the authors of this paper develop a model of dynamic pricing for idiosyncratic products, showing that seller learning has an impact on pricing dynamics through a rich set of mechanisms. Overall, findings suggest a potentially high return to taking a more serious information-based approach to pricing idiosyncratic products.

    • Working Paper Summaries

    How do Private Equity Fees Vary Across Public Pensions?

    by Juliane Begenau and Emil Siriwardane

    As state and local defined-benefit pensions increasingly shift capital from traditional asset classes to private-market investment vehicles, this analysis shows that public pensions investing in the same private-market fund can experience very different returns.

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