Details about Kenneth A. Froot

E-mail:
Homepage:	http://www.people.hbs.edu/kfroot/
Workplace:	Finance Unit, Harvard Business School, Harvard University, (more information at EDIRC) National Bureau of Economic Research (NBER), (more information at EDIRC)

Access statistics for papers by Kenneth A. Froot.

Last updated 2006-04-07. Update your information in the RePEc Author Service.

Short-id: pfr60

---

Jump to Journal Articles Books Chapters

Working Papers

2004

1. Equity Style Returns and Institutional Investor Flows
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2003

2. Risk Management, Capital Budgeting and Capital Structure Policy for Insurers and Reinsurers
   NBER Working Papers, National Bureau of Economic Research, Inc
3. The Risk Tolerance of International Investors
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2002

4. Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations
5. Decomposing the Persistence of International Equity Flows
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
6. The Persistence of Emerging Market Equity Flows
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   See also Journal Article in Emerging Markets Review (2002)

2001

7. The Information Content of International Portfolio Flows
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
8. The Market for Catastrophe Risk: A Clinical Examination
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999)
   See also Journal Article in Journal of Financial Economics (2001)
9. The Pricing of Event Risks with Parameter Uncertainty
   NBER Working Papers, National Bureau of Economic Research, Inc

1999

10. The Evolving Market for Catastrophic Event Risk
    NBER Working Papers, National Bureau of Economic Research, Inc

1998

11. How are Stock Prices Affected by the Location of Trade?
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article in Journal of Financial Economics (1999)
12. The Portfolio Flows of International Investors, I
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Financial Economics (2001)

1997

13. On The Pricing of Intermediated Risks: Theory and Application to Catastrophe Reinsurance
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations
14. The Limited Financing of Catastrophe Risk: An Overview
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
15. The Pricing of U.S. Catastrophe Reinsurance
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Chapter (1999)

1996

16. Perspectives on PPP and Long-Run Real Exchange Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
17. Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1996)
    See also Journal Article in Journal of Financial Economics (1998)

1995

18. Interest Allocation Rules, Financing Patterns, and the Operations of U.S. Multinationals
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Chapter (1995)
19. The Law of One Price Over 700 Years
    Working Papers, C.V. Starr Center for Applied Economics, New York University View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1995) View citations

1993

20. Currency Hedging over Long Horizons
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
21. International Experiences with Securities Transaction Taxes
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Chapter (1994)
22. The Constrained Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Economics Working Papers, University of California at Berkeley (1990) View citations

1992

23. Exchange Rate Dynamics Under Stochastic Regime Shifts: A Unified Approach
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1991) View citations
    See also Journal Article in Journal of International Economics (1991)
24. Exchange Rates and Foreign Direct Investment: An Imperfect Capital Markets Approach
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article in The Quarterly Journal of Economics (1991)
25. Intrinsic Bubbles: The Case of Stock Prices
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article in American Economic Review (1991)
26. Risk Management: Coordinating Corporate Investment and Financing Policies
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1991

27. Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market
    Economics Working Papers, University of California at Berkeley
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1990) View citations
28. Japanese Foreign Direct Investment
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
29. Shareholder Trading Practices and Corporate Investment Horizons
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
30. Stochastic Process Switching: Some Simple Solutions
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Econometrica (1991)
31. The EMS, the EMU, and the Transition to a Common Currency
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Chapter (1991)

1990

32. Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data
    NBER Technical Working Papers, National Bureau of Economic Research, Inc
33. Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
34. LDC Debt: Forgiveness, Indexation, and Investment Incentives
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
35. New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
36. New Trading Practices and Short-run Market Efficiency
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
37. On the Consistency of Short-run and Long-run Exchange Rate Expectations
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
38. Short Rates and Expected Asset Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1989

39. Buybacks, Exit Bonds, and the Optimality of Debt and Liquidity Relief
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in International Economic Review (1989)
40. Conditional Mean-Variance Efficiency of the U.S. Stock Market
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Research Paper, Federal Reserve Bank of New York (1989)
41. Credibility, Real Interest Rates, and the Optimal Speed of Trade Liberalization
    NBER Working Papers, National Bureau of Economic Research, Inc
42. Exchange Rate Pass-Through When Market Share Matters
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in American Economic Review (1989)
43. Interpreting Tests of Forward Discount Bias Using Survey Data on Exchange Rate Expectations
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1988

44. Forward Discount Bias: Is It an Exchange Risk Premium?
    Economics Working Papers, University of California at Berkeley
    See also Journal Article in The Quarterly Journal of Economics (1989)
45. Short-term and Long-Term Expectations of the Yen/Dollar Exchange Rate: Evidence from Survey Data
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (1986) View citations

1987

46. Credibility, the Optimal Speed of Trade Liberalization, Real Interest Rates, and the Latin American Debt
    Economics Working Papers, University of California at Berkeley View citations
47. Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets
    NBER Working Papers, National Bureau of Economic Research, Inc
48. The Dollar as an Irrational Speculative Bubble: A Tale of Fundamentalisists
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
49. Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1986

50. Explaining the Demand for Dollars: International Rates of Return and the Expectations of Chartists and Fundamentalists
    Economics Working Papers, University of California at Berkeley View citations
51. Three Essays Using Survey Data on Exchange Rate Expectations
    Economics Working Papers, University of California at Berkeley
52. Using Survey Data to Explain Standard Propositions Regarding Exchange Rate Expectations
    Economics Working Papers, University of California at Berkeley

Journal Articles

2002

1. The persistence of emerging market equity flows
   Emerging Markets Review, 2002, 3, (4), 338-364 View citations
   See also Working Paper (2002)

2001

2. Bank capital and risk management: operational risks in context
   Conference Series ; [Proceedings], 2001 View citations
3. The market for catastrophe risk: a clinical examination
   Journal of Financial Economics, 2001, 60, (2-3), 529-571 View citations
   See also Working Paper (2001)
4. The portfolio flows of international investors
   Journal of Financial Economics, 2001, 59, (2), 151-193 View citations
   See also Working Paper (1998)

1999

5. How are stock prices affected by the location of trade?
   Journal of Financial Economics, 1999, 53, (2), 189-216 View citations
   See also Working Paper (1998)

1998

6. Risk management, capital budgeting, and capital structure policy for financial institutions: an integrated approach
   Journal of Financial Economics, 1998, 47, (1), 55-82 View citations
   See also Working Paper (1996)

1995

7. Tests of conditional mean-variance efficiency of the U.S. stock market
   Journal of Empirical Finance, 1995, 2, (1), 3-18

1991

8. Exchange Rates and Foreign Direct Investment: An Imperfect Capital Markets Approach
   The Quarterly Journal of Economics, 1991, 106, (4), 1191-217 View citations
   See also Working Paper (1992)
9. Exchange-rate dynamics under stochastic regime shifts: A unified approach
   Journal of International Economics, 1991, 31, (3-4), 203-229 View citations
   See also Working Paper (1992)
10. Intrinsic Bubbles: The Case of Stock Prices
    American Economic Review, 1991, 81, (5), 1189-214 View citations
    See also Working Paper (1992)
11. Stochastic Process Switching: Some Simple Solutions
    Econometrica, 1991, 59, (1), 241-50 View citations
    See also Working Paper (1991)

1990

12. Chartists, Fundamentalists, and Trading in the Foreign Exchange Market
    American Economic Review, 1990, 80, (2), 181-85 View citations
13. Foreign Exchange
    Journal of Economic Perspectives, 1990, 4, (3), 179-92 View citations

1989

14. Buybacks, Exit Bonds, and the Optimality of Debt and Liquidity Relief
    International Economic Review, 1989, 30, (1), 49-70 View citations
    See also Working Paper (1989)
15. Exchange Rate Pass-Through When Market Share Matters
    American Economic Review, 1989, 79, (4), 637-54 View citations
    See also Working Paper (1989)
16. Forward Discount Bias: Is It an Exchange Risk Premium?
    The Quarterly Journal of Economics, 1989, 104, (1), 139-61 View citations
    See also Working Paper (1988)

1987

17. Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations
    American Economic Review, 1987, 77, (1), 133-53 View citations

1986

18. Understanding the U.S. Dollar in the Eighties: The Expectations of Chartists and Fundamentalists
    The Economic Record, 1986, 24-38 View citations

Books

1999

1. The Financing of Catastrophe Risk
   NBER Books, National Bureau of Economic Research, Inc View citations

1994

2. The Transition in Eastern Europe, Volume 1
   NBER Books, National Bureau of Economic Research, Inc View citations

1993

3. Foreign Direct Investment
   NBER Books, National Bureau of Economic Research, Inc View citations

Chapters

1999

1. Introduction to "Financing of Catastrophe Risk, The"
   A chapter in The Financing of Catastrophe Risk, 1999, pp 1-22
2. The Pricing of U.S. Catastrophe Reinsurance
   A chapter in The Financing of Catastrophe Risk, 1999, pp 195-232 View citations
   See also Working Paper (1997)

1995

3. Interest Allocation Rules, Financing Patterns, and the Operations of U.S. Multinationals
   A chapter in The Effects of Taxation on Multinational Corporations, 1995, pp 277-312 View citations
   See also Working Paper (1995)
4. The Tax Treatment of Interest and the Operations of U.S. Multinationals
   A chapter in Taxing Multinational Corporations, 1995, pp 81-94

1994

5. Foreign Direct Investment in Eastern Europe: Some Economic Considerations
   A chapter in Transition in Eastern Europe, Volume 2, The, 1994, pp 293-318 View citations
6. International Experiences with Securities Transaction Taxes
   A chapter in The Internationalization of Equity Markets, 1994, pp 277-308 View citations
   See also Working Paper (1993)

1993

7. Introduction to "Foreign Direct Investment"
   A chapter in Foreign Direct Investment, 1993, pp 1-12
8. Trading Blocs and the Incentives to Protect: Implications for Japan and East Asia
   A chapter in Regionalism and Rivalry: Japan and the United States in Pacific Asia, 1993, pp 125-156 View citations

1991

9. The EMS, the EMU, and the Transition to a Common Currency
   A chapter in NBER Macroeconomics Annual 1991, Volume 6, 1991, pp 269-328 View citations
   See also Working Paper (1991)

1990

10. Multinational Corporations, Exchange Rates, and Direct Investment
    A chapter in International Policy Coordination and Exchange Rate Fluctuations, 1990, pp 307-346