The Froot and Stein Model Revisited

Nils Hogh, Oliver Linton and Jens Nielsen
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Nils Hogh: Codan
Jens Nielsen: Codan

Finance from University Library of Munich, Germany

Abstract: We investigate the model of Froot and Stein (1998), a model that has very strong implications for risk management. We argue that their conclusions are too strong and need to be qualified. Also, there are some unusual consequences of their model, which may be linked to the chosen pricing formula.

Keywords: G20; and; G31; and; G32 (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Date: 2004-01-15
Note: Type of Document - pdf; prepared on win2000; to print on HP;
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0401004

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