Details about Kenneth A. Froot

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Homepage:	https://scholar.harvard.edu/kenfroot
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.

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Short-id: pfr60

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Working Papers

2016

1. What Do Measures of Real-time Corporate Sales Tell Us about Earnings Surprises and Post-Announcement Returns?
   NBER Working Papers, National Bureau of Economic Research, Inc

2004

2. Equity Style Returns and Institutional Investor Flows
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)

2003

3. Risk Management, Capital Budgeting and Capital Structure Policy for Insurers and Reinsurers
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
   See also Journal Article in Journal of Risk & Insurance (2007)
4. The Risk Tolerance of International Investors
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)

2002

5. Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (30)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations (19)
6. Decomposing the Persistence of International Equity Flows
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
   See also Journal Article in Finance Research Letters (2004)
7. The Persistence of Emerging Market Equity Flows
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
   See also Journal Article in Emerging Markets Review (2002)

2001

8. The Information Content of International Portfolio Flows
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (64)
9. The Law of One Price Over 700 Years
   IMF Working Papers, International Monetary Fund View citations (33)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (1995) View citations (89)
   Working Papers, C.V. Starr Center for Applied Economics, New York University (1995) View citations (89)
   See also Journal Article in Annals of Economics and Finance (2019)
10. The Market for Catastrophe Risk: A Clinical Examination
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (184)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations (4)
    See also Journal Article in Journal of Financial Economics (2001)
11. The Pricing of Event Risks with Parameter Uncertainty
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Journal Article in The Geneva Risk and Insurance Review (2002)

1999

12. The Evolving Market for Catastrophic Event Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
    See also Journal Article in Risk Management and Insurance Review (1999)

1998

13. How are Stock Prices Affected by the Location of Trade?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Journal Article in Journal of Financial Economics (1999)
14. The Portfolio Flows of International Investors, I
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (37)
    See also Journal Article in Journal of Financial Economics (2001)

1997

15. On The Pricing of Intermediated Risks: Theory and Application to Catastrophe Reinsurance
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (28)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (29)
    See also Journal Article in Journal of Banking & Finance (2008)
16. The Limited Financing of Catastrophe Risk: An Overview
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
17. The Pricing of U.S. Catastrophe Reinsurance
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
    See also Chapter (1999)

1996

18. Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1996) View citations (4)
    See also Journal Article in Journal of Financial Economics (1998)

1994

19. Interest Allocation Rules, Financing Patterns, and the Operations of U.S. Multinationals
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)
    See also Chapter (1995)
20. Perspectives on PPP and Long-Run Real Exchange Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (200)
    Also in Working Paper, Harvard University OpenScholar
    See also Chapter (1995)

1993

21. Currency Hedging over Long Horizons
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (56)
    See also Journal Article in Annals of Economics and Finance (2019)
22. International Experiences with Securities Transaction Taxes
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
    See also Chapter (1994)
23. 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 (6)
    Also in Economics Working Papers, University of California at Berkeley (1990) View citations (2)
    Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (1990) View citations (1)

1992

24. Risk Management: Coordinating Corporate Investment and Financing Policies
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (31)
    See also Journal Article in Journal of Finance (1993)

1991

25. Exchange Rate Dynamics Under Stochastic Regime Shifts: A Unified Approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (109)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1989) View citations (36)
    See also Journal Article in Journal of International Economics (1991)
26. Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market
    Economics Working Papers, University of California at Berkeley View citations (1)
    Also in Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (1991) View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (1990) View citations (55)
27. Japanese Foreign Direct Investment
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)
28. Shareholder Trading Practices and Corporate Investment Horizons
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
    See also Journal Article in Journal of Applied Corporate Finance (1992)
29. The EMS, the EMU, and the Transition to a Common Currency
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (131)
    Also in Working Paper, Harvard University OpenScholar View citations (127)
    See also Chapter (1991)

1990

30. 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 View citations (1)
31. Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
    See also Journal Article in Journal of Finance (1992)
32. New Trading Practices and Short-run Market Efficiency
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
    See also Journal Article in Journal of Futures Markets (1995)
33. Short Rates and Expected Asset Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (39)

1989

34. Conditional Mean-Variance Efficiency of the U.S. Stock Market
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    Also in Research Paper, Federal Reserve Bank of New York (1989) View citations (3)
35. Exchange Rates and Foreign Direct Investment: An Imperfect Capital Markets Approach
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (33)
    See also Journal Article in The Quarterly Journal of Economics (1991)
36. Intrinsic Bubbles: The Case of Stock Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)
    See also Journal Article in American Economic Review (1991)
37. Stochastic Process Switching: Some Simple Solutions
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (39)
    See also Journal Article in Econometrica (1991)

1988

38. Buybacks, Exit Bonds, and the Optimality of Debt and Liquidity Relief
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (33)
    See also Journal Article in International Economic Review (1989)
39. Exchange Rate Pass-Through When Market Share Matters
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (127)
    See also Journal Article in American Economic Review (1989)
40. Forward Discount Bias: Is It an Exchange Risk Premium?
    Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley View citations (1)
    Also in Economics Working Papers, University of California at Berkeley (1988) View citations (1)
    See also Journal Article in The Quarterly Journal of Economics (1989)
41. LDC Debt: Forgiveness, Indexation, and Investment Incentives
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
42. On the Consistency of Short-run and Long-run Exchange Rate Expectations
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    See also Journal Article in Journal of International Money and Finance (1989)

1987

43. Credibility, Real Interest Rates, and the Optimal Speed of Trade Liberalization
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Journal Article in Journal of International Economics (1988)
44. 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 (3)
45. New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)
46. 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 View citations (57)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (1986) View citations (6)
    See also Journal Article in Journal of the Japanese and International Economies (1987)
47. Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

1986

48. 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 (8)
    Also in Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (1986) View citations (6)
49. Interpreting Tests of Forward Discount Bias Using Survey Data on Exchange Rate Expectations
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (19)
50. The Dollar as Speculative Bubble: A Tale of Fundamentalists and Chartists
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (44)
51. Three Essays Using Survey Data on Exchange Rate Expectations
    Economics Working Papers, University of California at Berkeley View citations (1)
    Also in Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (1986) View citations (1)
52. Using Survey Data to Explain Standard Propositions Regarding Exchange Rate Expectations
    Economics Working Papers, University of California at Berkeley
    Also in Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (1986) View citations (3)
53. Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations
    Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley View citations (3)
    See also Journal Article in American Economic Review (1987)

1985

54. Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (229)

Journal Articles

2019

1. Currency Hedging Over Long Horizons
   Annals of Economics and Finance, 2019, 20, (1), 37-66 View citations (1)
   See also Working Paper (1993)
2. The Law of One Price Over 700 Years
   Annals of Economics and Finance, 2019, 20, (1), 1-35 View citations (2)
   See also Working Paper (2001)

2017

3. What do measures of real-time corporate sales say about earnings surprises and post-announcement returns?
   Journal of Financial Economics, 2017, 125, (1), 143-162 View citations (11)

2008

4. Gestão do risco: coordenação dos investimentos corporativos e das políticas de financiamento
   RAE - Revista de Administração de Empresas, 2008, 48, (1)
5. Institutional Portfolio Flows and International Investments
   Review of Financial Studies, 2008, 21, (2), 937-971 View citations (88)
6. On the pricing of intermediated risks: Theory and application to catastrophe reinsurance
   Journal of Banking & Finance, 2008, 32, (1), 69-85 View citations (42)
   See also Working Paper (1997)
7. Style Investing and Institutional Investors
   Journal of Financial and Quantitative Analysis, 2008, 43, (4), 883-906 View citations (48)
8. The Intermediation of Financial Risks: Evolution in the Catastrophe Reinsurance Market
   Risk Management and Insurance Review, 2008, 11, (2), 281-294 View citations (8)

2007

9. Risk Management, Capital Budgeting, and Capital Structure Policy for Insurers and Reinsurers
   Journal of Risk & Insurance, 2007, 74, (2), 273-299 View citations (56)
   See also Working Paper (2003)

2005

10. Currency Returns, Intrinsic Value, and Institutional‐Investor Flows
    Journal of Finance, 2005, 60, (3), 1535-1566 View citations (109)

2004

11. Decomposing the persistence of international equity flows
    Finance Research Letters, 2004, 1, (3), 154-170 View citations (2)
    See also Working Paper (2002)

2002

12. The Pricing of Event Risks with Parameter Uncertainty
    The Geneva Risk and Insurance Review, 2002, 27, (2), 153-165 View citations (4)
    See also Working Paper (2001)
13. The persistence of emerging market equity flows
    Emerging Markets Review, 2002, 3, (4), 338-364 View citations (10)
    See also Working Paper (2002)

2001

14. Bank capital and risk management: operational risks in context
    Conference Series ; [Proceedings], 2001 View citations (1)
15. The market for catastrophe risk: a clinical examination
    Journal of Financial Economics, 2001, 60, (2-3), 529-571 View citations (184)
    See also Working Paper (2001)
16. The portfolio flows of international investors
    Journal of Financial Economics, 2001, 59, (2), 151-193 View citations (398)
    See also Working Paper (1998)

1999

17. How are stock prices affected by the location of trade?
    Journal of Financial Economics, 1999, 53, (2), 189-216 View citations (213)
    See also Working Paper (1998)
18. The Evolving Market for Catastrophic Event Risk
    Risk Management and Insurance Review, 1999, 2, (3), 1-28 View citations (9)
    See also Working Paper (1999)

1998

19. A NEW APPROACH TO CAPITAL BUDGETING FOR FINANCIAL INSTITUTIONS
    Journal of Applied Corporate Finance, 1998, 11, (2), 59-69 View citations (10)
20. 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 (330)
    See also Working Paper (1996)

1995

21. New trading practices and short‐run market efficiency
    Journal of Futures Markets, 1995, 15, (7), 731-765 View citations (13)
    See also Working Paper (1990)
22. Tests of conditional mean-variance efficiency of the U.S. stock market
    Journal of Empirical Finance, 1995, 2, (1), 3-18 View citations (10)

1994

23. A FRAMEWORK FOR RISK MANAGEMENT
    Journal of Applied Corporate Finance, 1994, 7, (3), 22-33 View citations (52)

1993

24. Risk Management: Coordinating Corporate Investment and Financing Policies
    Journal of Finance, 1993, 48, (5), 1629-58 View citations (1099)
    See also Working Paper (1992)

1992

25. Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation
    Journal of Finance, 1992, 47, (4), 1461-84 View citations (427)
    See also Working Paper (1990)
26. SHAREHOLDER TRADING PRACTICES AND CORPORATE INVESTMENT HORIZONS
    Journal of Applied Corporate Finance, 1992, 5, (2), 42-58 View citations (67)
    See also Working Paper (1991)

1991

27. Exchange Rates and Foreign Direct Investment: An Imperfect Capital Markets Approach
    The Quarterly Journal of Economics, 1991, 106, (4), 1191-1217 View citations (569)
    See also Working Paper (1989)
28. Exchange-rate dynamics under stochastic regime shifts: A unified approach
    Journal of International Economics, 1991, 31, (3-4), 203-229 View citations (100)
    See also Working Paper (1991)
29. Intrinsic Bubbles: The Case of Stock Prices
    American Economic Review, 1991, 81, (5), 1189-214 View citations (298)
    See also Working Paper (1989)
30. Stochastic Process Switching: Some Simple Solutions
    Econometrica, 1991, 59, (1), 241-50 View citations (51)
    See also Working Paper (1989)

1990

31. Chartists, Fundamentalists, and Trading in the Foreign Exchange Market
    American Economic Review, 1990, 80, (2), 181-85 View citations (291)
32. Foreign Exchange
    Journal of Economic Perspectives, 1990, 4, (3), 179-92 View citations (465)

1989

33. Buybacks, Exit Bonds, and the Optimality of Debt and Liquidity Relief
    International Economic Review, 1989, 30, (1), 49-70 View citations (50)
    See also Working Paper (1988)
34. Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data
    Journal of Financial and Quantitative Analysis, 1989, 24, (3), 333-355 View citations (176)
35. Exchange Rate Pass-Through When Market Share Matters
    American Economic Review, 1989, 79, (4), 637-54 View citations (338)
    See also Working Paper (1988)
36. Forward Discount Bias: Is it an Exchange Risk Premium?
    The Quarterly Journal of Economics, 1989, 104, (1), 139-161 View citations (357)
    See also Working Paper (1988)
37. On the consistency of short-run and long-run exchange rate expectations
    Journal of International Money and Finance, 1989, 8, (4), 487-510 View citations (50)
    See also Working Paper (1988)
38. Recompras, bonos de salida y la optimalidad de proporcionar alivio para la deuda y la liquidez
    Estudios Económicos, 1989, 4, (1), 31-59

1988

39. Credibility, real interest rates, and the optimal speed of trade liberalization
    Journal of International Economics, 1988, 25, (1-2), 71-93 View citations (10)
    See also Working Paper (1987)

1987

40. How open is the U.S. economy?: R.W. Hafer (ed.) (Lexington Books, Lexington, MA, 1986) pp. 272, $27
    Journal of International Economics, 1987, 23, (3-4), 389-391
41. Short-term and long-term expectations of the yen/dollar exchange rate: Evidence from survey data
    Journal of the Japanese and International Economies, 1987, 1, (3), 249-274 View citations (64)
    See also Working Paper (1987)
42. Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations
    American Economic Review, 1987, 77, (1), 133-53 View citations (488)
    See also Working Paper (1986)

Books

1999

1. The Financing of Catastrophe Risk
   NBER Books, National Bureau of Economic Research, Inc View citations (156)

1994

2. The Transition in Eastern Europe, Volume 1, Country Studies
   NBER Books, National Bureau of Economic Research, Inc View citations (47)
3. The Transition in Eastern Europe, Volume 2, Restructuring
   NBER Books, National Bureau of Economic Research, Inc View citations (35)

1993

4. Foreign Direct Investment
   NBER Books, National Bureau of Economic Research, Inc View citations (130)

Edited books

1999

1. The Financing of Catastrophe Risk
   National Bureau of Economic Research Books, University of Chicago Press View citations (110)

1994

2. Foreign Direct Investment
   National Bureau of Economic Research Books, University of Chicago Press View citations (10)
3. The Transition in Eastern Europe, Volume 1
   National Bureau of Economic Research Books, University of Chicago Press View citations (34)

Chapters

1999

1. Introduction to "The Financing of Catastrophe Risk"
   A chapter in The Financing of Catastrophe Risk, 1999, pp 1-22 View citations (39)
2. The Pricing of U.S. Catastrophe Reinsurance
   A chapter in The Financing of Catastrophe Risk, 1999, pp 195-232 View citations (20)
   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 (19)
   See also Working Paper (1994)
4. Perspectives on PPP and long-run real exchange rates
   Chapter 32 in Handbook of International Economics, 1995, vol. 3, pp 1647-1688 View citations (667)
   See also Working Paper (1994)
5. The Tax Treatment of Interest and the Operations of U.S. Multinationals
   A chapter in Taxing Multinational Corporations, 1995, pp 81-94

1994

6. Foreign Direct Investment in Eastern Europe: Some Economic Considerations
   A chapter in The Transition in Eastern Europe, Volume 2, Restructuring, 1994, pp 293-318 View citations (6)
7. International Experiences with Securities Transaction Taxes
   A chapter in The Internationalization of Equity Markets, 1994, pp 277-308 View citations (34)
   See also Working Paper (1993)
8. Introduction to "The Transition in Eastern Europe, Volume 1"
   A chapter in The Transition in Eastern Europe, Volume 1, Country Studies, 1994, pp 1-18 View citations (24)

1993

9. Introduction to "Foreign Direct Investment"
   A chapter in Foreign Direct Investment, 1993, pp 1-12 View citations (10)
10. 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 (2)

1991

11. 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 (133)
    See also Working Paper (1991)

1990

12. Multinational Corporations, Exchange Rates, and Direct Investment
    A chapter in International Policy Coordination and Exchange Rate Fluctuations, 1990, pp 307-346 View citations (2)