Asset Pricing

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Publications and Working Papers

  • “Supply and Demand Shifts in the Shorting Market” (with Karl Diether and Christopher Malloy), 2007,  Journal of Finance 62, 2061-2096.
    • Winner of the Smith Breeden Prize, Distinguished Paper, for the best paper published in the Journal of Finance 2007
  • “Economic Links and Predictable Returns” (with Andrea Frazzini), 2008,  Journal of Finance, 63, 1977-2011.
    • Winner of the Smith Breeden Prize, Distinguished Paper, for the best paper published in the Journal of Finance 2008
    • Winner of Emerald Citation of Excellence Award 2009
    • Winner of First Prize, Chicago Quantitative Alliance Academic Paper Competition 2006
    • Winner of BSI Gamma Foundation Grant 2006
  • “The Small World of Investing: Board Connections and Mutual Fund Returns” (with Andrea Frazzini and Christopher Malloy), 2008,  Journal of Political Economy, 116, 951-979.
    • Winner of BGI Award, Best Paper in Asset Pricing, European Finance Association 2007
  • “Loyalty Based Portfolio Choice” 2009,  Review of Financial Studies, 22, 1213-1245.
  • “Attracting Flows by Attracting Big Clients" (with Breno Schmidt), 2009, Journal of Finance, 64, 1225-125
    • Winner of SQA Award, Best Paper in Quantitative Investments, Western Finance Association 2007
    • Winner of BGI Best Paper Prize, Asset Allocation Symposium, European Finance Association 2006
  • “Loyalty Based Portfolio Choice” 2009,  Review of Financial Studies, 22, 1213-1245.
  • “Sell Side School Ties” (with Andrea Frazzini and Christopher Malloy), 2010,  Journal of Finance, 65, 1409-1437.
    • Winner of the Smith Breeden Prize, Distinguished Paper, for the best paper published in the Journal of Finance 2010
  • “The Power of Alumni Networks” (with Christopher Malloy), 2010,  Harvard Business Review 88, no. 10.
  • “Complicated Firms” (with Dong Lou), 2012,  Journal of Financial Economics 104, 383-400.
    • Winner of the First Prize, Crowell Memorial Award, PanAgora Asset Management, 2011
    • Winner of the Best Paper Prize of the Center for Research in Security Prices (CRSP) Forum 2010
    • Winner of First Prize, Istanbul Stock Exchange 25th Anniversary Best Paper Competition 2010
    • Winner of Institute for Quantitative Investment Research (INQUIRE) Grant 2010
    • Winner of Paul Woolley Centre Academic Grant 2010
  • “Misvaluing Innovation” (with Karl Diether and Christopher Malloy), 2013.  Review of Financial Studies 26, 635-666.
  • “Legislating Stock Prices” (with Karl Diether and Christopher Malloy), 2013. Journal of Financial Economics 110, 574-595.
    • Winner of Fama-DFA Prize for the Best Paper Published in the Journal of Financial Economics in the Areas of Capital Markets and Asset Pricing (Distinguished Paper), 2013.
  • “Resident Networks and Corporate Connections: Evidence from World War II Internment Camps” (with Umit Gurun and Christopher Malloy), 2015.  Journal of Finance, forthcoming.
    • Winner of First Prize, the Inaugural Hakan Orbay Research Award, 2015.
  • “Industry Window Dressing” (with Huaizhi Chen and Dong Lou), 2016.  Review of Financial Studies, forthcoming.

Working Papers

  • “Playing Favorites: How Firms Prevent the Revelation of Bad News” (with Dong Lou and Christopher Malloy), 2014.
    • Winner of First Prize, Crowell Memorial Award for Best Paper in Quantitative Investments, PanAgora Asset Management, 2014.
    • (R&R, Journal of Finance)
  • “Lazy Prices” (with Christopher Malloy and Quoc Nguyen), 2015.
  • “Mini West Virginias: Corporations as Government Dependents” (with Christopher Malloy), 2014.

HBS Course Materials

  • “Domeyard: Starting a High-Frequency Trading (HFT) Hedge Fund,” with Matthew Foreman and Christopher Malloy, Harvard Business School Case 215-036.
  • “The Complexity of Vanguard’s Entry Decision into ETFs,” with Christopher Malloy and Tina Tang, Harvard Business School Case 215-031.
  • “Seeking Alpha in the Afterlife: CMG Life Services and the Life Settlement Industry,” Harvard Business School Case 213-104.
  • “Seeking Alpha in the Afterlife: CMG Life Services and the Life Settlement Industry,” Harvard Business School Teaching Note 213-149.
  • “Miracle Life Inc,” with Christopher Malloy, Harvard Business School Case 210-039.
  • “Miracle Life Inc,” with Christopher Malloy, Harvard Business School Teaching Note 210-069.
  • “PlanetTran,” with Christopher Malloy, Harvard Business School Case 209-029.
  • “PlanetTran,” with Christopher Malloy, Harvard Business School Teaching Note 209-120
  • “Dimensional Fund Advisors (DFA)’s Entry into the Retirement Market,” with Christopher Malloy, Harvard Business School Case 212-068.
  • “Dimensional Fund Advisors (DFA)’s Entry into the Retirement Market,” with Christopher Malloy, Harvard Business School Teaching Note 212-069.
  • “Quadriserv and the Short Selling Market,” with Christopher Malloy, Harvard Business School Case 212-021.
  • “Quadriserv and the Short Selling Market,” with Christopher Malloy, Harvard Business School Teaching Note 212-037.
  • “An Introduction to Short Selling,” with Christopher Malloy, Harvard Business School Teaching Note 212-079.
  • “Fundamental Analysis in Emerging Markets: Autoweb Holdings,” with Christopher Malloy, Harvard Business School Case 212-022.
  • “Fundamental Analysis in Emerging Markets: Tren Anuncio Rapido,” with Christopher Malloy, Harvard Business School Case 212-023.
  • “Fundamental Analysis in Emerging Markets: Autoweb Holdings and Tren Anuncio Rapido,” with Christopher Malloy, Harvard Business School Teaching Note 209-121.
  • “Business Intelligence Advisors (BIA) Inc.: Finding the Hidden Meaning in Corporate Disclosures,” with Christopher Malloy, Harvard Business School Case 212-031.
  • “Business Intelligence Advisors (BIA) Inc.: Finding the Hidden Meaning in Corporate Disclosures,” with Christopher Malloy, Harvard Business School Teaching Note 212-066.
  • “Innovating into Active ETFs: Factor Funds Capital Management LLC,” with Kenneth Froot and Scott Waggoner, Harvard Business School Case 211-031.
  • “Innovating into Active ETFs: Factor Funds Capital Management LLC,” with Kenneth Froot, Harvard Business School Teaching Note 212-085.
  • “The Commoditization of Investment Management,” Harvard Business School Module Note 212-086.

  ABOUT
Lauren H. Cohen, Ph.D.

L.E. Simmons Professor of Business Administration, Harvard Business School
Editor, Management Science
Research Associate, National Bureau of Economic Research

  CONTACT
  Lauren Cohen

Harvard Business School
Rock Center 321
Boston, Massachusetts 02163

Tel : (617) 495-3888
Fax : (617) 496-8443
Mail : lcohen@hbs.edu