NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Kenneth A. Froot

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Books

The Financing of Catastrophe Risk
Published in January 1999 by University of Chicago Press
© 1999 by the National Bureau of Economic Research

The Transition in Eastern Europe, Volume 1
with Olivier Jean Blanchard, Jeffrey D. Sachs
Conference held February 26-29, 1992
Published in January 1994 by University of Chicago Press
© 1994 by the National Bureau of Economic Research

Foreign Direct Investment
Conference held May 15, 1992
Published in January 1993 by University of Chicago Press
© 1993 by the National Bureau of Economic Research

Working Papers and Chapters

March 2004Equity Style Returns and Institutional Investor Flows
with Melvyn Teo: w10355

Published: Froot, Kenneth A. and Melvyn Teo. “Style Investing and Institutional Investors.” Journal of Financial and Quantitative Analysis 43, 4 (December 2008): 883-906.

December 2003Risk Management, Capital Budgeting and Capital Structure Policy for Insurers and Reinsurers
w10184

Published: Froot, Kenneth A. “Risk Management, Capital Budgeting and Capital Structure Policy for Insurers and Reinsurers.” Journal of Risk and Insurance 74, 2(June 2007): 273-299. citation courtesy of

The Risk Tolerance of International Investors
with Paul G. J. O'Connell: w10157
September 2002The Persistence of Emerging Market Equity Flows
with Jessica Tjornhom Donohue: w9241

Published: Froot, Kenneth A. & Tjornhom Donohue, Jessica, 2002. "The persistence of emerging market equity flows," Emerging Markets Review, Elsevier, vol. 3(4), pages 338-364, December. citation courtesy of

August 2002Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals
with Tarun Ramadorai: w9101

Published: Froot, Kenneth and T. Ramadorai. “Currency Returns, Intrinsic Value, and Institutional Investor Flows." Journal of Finance 60, 3 (June 2005): 1535-1566.

July 2002Decomposing the Persistence of International Equity Flows
with Jessica D. Tjornhom: w9079

Published: Froot, Kenneth A. and J. Tjornhom Donohue. “Decomposing the Persistence of International Equity Flows." Finance Research Letters 1, 3 (September 2004): 154-170. citation courtesy of

Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals
with Tarun Ramadorai: w9080

Published: Froot, Kenneth and T. Ramadorai. “Currency Returns, Intrinsic Value, and Institutional Investor Flows." Journal of Finance 60, 3 (June 2005): 1535-1566.

September 2001The Information Content of International Portfolio Flows
with Tarun Ramadorai: w8472

Published: Froot, Kenneth A. and T. Ramadorai. “Institutional Portfolio Flows and International Investments." Review of Financial Studies 21, 2 (April 2008): 937-971.

February 2001The Pricing of Event Risks with Parameter Uncertainty
with Steven E. Posner: w8106

Published: Kenneth A. Froot & Steven E. Posner, 2002. "The Pricing of Event Risks with Parameter Uncertainty," The Geneva Risk and Insurance Review, Palgrave Macmillan, vol. 27(2), pages 153-165, December. citation courtesy of

The Market for Catastrophe Risk: A Clinical Examination
w8110

Published: Froot, Kenneth A. "The Market For Catastrophe Risk: A Clinical Examination," Journal of Financial Economics, 2001, v60(2-3,May), 529-571. citation courtesy of

August 1999The Market for Catastrophe Risk: A Clinical Examination
w7286

Published: Froot, Kenneth A. "The Market For Catastrophe Risk: A Clinical Examination," Journal of Financial Economics, 2001, v60(2-3,May), 529-571. citation courtesy of

The Evolving Market for Catastrophic Event Risk
w7287

Published:

  • Froot, Kenneth. “The Evolving Market for Catastrophe Event Risk." Risk Management and Insurance Review 2, 3 (Fall 1999): 1-28.
  • Figlewski, S. and R. Levich (eds.) Risk Management: The State of the Art. Kluwer Academic Publishers, 2001.

January 1999Front matter, The Financing of Catastrophe Risk
in The Financing of Catastrophe Risk, Kenneth A. Froot, editor
The Pricing of U.S. Catastrophe Reinsurance
with Paul G. J. O'Connell
in The Financing of Catastrophe Risk, Kenneth A. Froot, editor
Introduction to "Financing of Catastrophe Risk, The"
in The Financing of Catastrophe Risk, Kenneth A. Froot, editor
August 1998The Portfolio Flows of International Investors, I
with Paul G.J. O'Connell, Mark S. Seasholes: w6687

Published: Froot, Kenneth A., Paul G. J. O'Connell and Mark S. Seasholes. "The Portfolio Flows Of International Investors," Journal of Financial Economics, 2001, v59(2,Feb), 151-193. citation courtesy of

May 1998How are Stock Prices Affected by the Location of Trade?
with Emil Dabora: w6572

Published: Journal of Financial Economics, Vol. 53, no. 2 (August 1999): 189-216. citation courtesy of

May 1997The Pricing of U.S. Catastrophe Reinsurance
with Paul G. J. O'Connell: w6043

Published:

April 1997On The Pricing of Intermediated Risks: Theory and Application to Catastrophe Reinsurance
with Paul G. J. O'Connell: w6011

Published: Froot, Kenneth A. & O'Connell, Paul G.J., 2008. "On the pricing of intermediated risks: Theory and application to catastrophe reinsurance," Journal of Banking & Finance, Elsevier, vol. 32(1), pages 69-85, January. citation courtesy of

The Limited Financing of Catastrophe Risk: An Overview
w6025

Published: Froot, K. (ed.) The Financing of Catastrophe Risk. Chicago and London: University of Chicago Press, 1999.

January 1996Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach
with Jeremy C. Stein: w5403

Published: Journal of Financial Economics (1998). citation courtesy of

May 1995The Law of One Price Over 700 Years
with Michael Kim, Kenneth Rogoff: w5132
January 1995The Tax Treatment of Interest and the Operations of U.S. Multinationals
with James R. Hines, Jr., R. Glenn Hubbard
in Taxing Multinational Corporations, Martin Feldstein, James R. Hines Jr., R. Glenn Hubbard, editors
Interest Allocation Rules, Financing Patterns, and the Operations of U.S. Multinationals
with James R. Hines, Jr.
in The Effects of Taxation on Multinational Corporations, Martin Feldstein, James R. Hines Jr., R. Glenn Hubbard, editors
December 1994Perspectives on PPP and Long-Run Real Exchange Rates
with Kenneth Rogoff: w4952

Published: Chapter 32 in Handbook of International Economics, Vol. 3. [Handbooks in Economics 3], edited by Gene Grossman and Kenneth Rogoff, p. 1647-1688, Amsterdam: Elsevier.

November 1994Interest Allocation Rules, Financing Patterns, and the Operations of U.S. Multinationals
with James R. Hines, Jr.: w4924

Published:

January 1994Front matter, table of contents
with Olivier Jean Blanchard, Jeffrey D. Sachs
in The Transition in Eastern Europe, Volume 1, Olivier Jean Blanchard, Kenneth A. Froot, and Jeffrey D. Sachs, editors
Introduction to "The Transition in Eastern Europe, Volume 1"
with Olivier Jean Blanchard, Jeffrey D. Sachs
in The Transition in Eastern Europe, Volume 1, Olivier Jean Blanchard, Kenneth A. Froot, and Jeffrey D. Sachs, editors
Biographies for Volumes 1 and 2, List of Contributors
with Olivier Jean Blanchard, Jeffrey D. Sachs
in The Transition in Eastern Europe, Volume 1, Olivier Jean Blanchard, Kenneth A. Froot, and Jeffrey D. Sachs, editors
Indices
with Olivier Jean Blanchard, Jeffrey D. Sachs
in The Transition in Eastern Europe, Volume 1, Olivier Jean Blanchard, Kenneth A. Froot, and Jeffrey D. Sachs, editors
International Experiences with Securities Transaction Taxes
with John Y. Campbell
in The Internationalization of Equity Markets , Jeffrey A. Frankel, editor
Foreign Direct Investment in Eastern Europe: Some Economic Considerations
in The Transition in Eastern Europe, Volume 2: Restructuring, Olivier Blanchard, Kenneth Froot, Jeffrey Sachs, eds.
Front matter "The Transition in Eastern Europe" Volume 2
with Olivier J. Blanchard, Jeffrey D. Sachs
in The Transition in Eastern Europe, Volume 2: Restructuring, Olivier Blanchard, Kenneth Froot, Jeffrey Sachs, eds.
December 1993International Experiences with Securities Transaction Taxes
with John Y. Campbell: w4587

Published:

May 1993Currency Hedging over Long Horizons
w4355
March 1993The Constrained Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market
with Charles Engel, Jeffrey A. Frankel, Anthony P. Rodrigues: w4294

Published: revised as: "Tests of Conditional Mean-Variance Efficiency of the US Stock Market," Journal of Empirical Finance, vol 2, March 1995.

January 1993Front matter, table of contents, preface
in Foreign Direct Investment, Kenneth A. Froot, editor
Introduction to "Foreign Direct Investment"
in Foreign Direct Investment, Kenneth A. Froot, editor
Biographies, List of Contributors, Indexes
in Foreign Direct Investment, Kenneth A. Froot, editor
Trading Blocs and the Incentives to Protect: Implications for Japan and East Asia
with David B. Yoffie
in Regionalism and Rivalry: Japan and the United States in Pacific Asia, Jeffrey Frankel and Miles Kahler, editors
June 1992Exchange Rate Dynamics Under Stochastic Regime Shifts: A Unified Approach
with Maurice Obstfeld: w2835

Published: Journal of International Economics, Vol. 31, pp. 203-229, (1991). citation courtesy of

May 1992Risk Management: Coordinating Corporate Investment and Financing Policies
with David S. Scharfstein, Jeremy C. Stein: w4084

Published:

  • Journal of Finance, December 1993, vol 48, 1629-1658 citation courtesy of
  • The Theory of Corporate Finance, M.J. Brennan, from the series The International Library of Critical Writings in Financial Economcics, R. Roll, editor, 1995.

February 1992Exchange Rates and Foreign Direct Investment: An Imperfect Capital Markets Approach
with Jeremy C. Stein: w2914

Published: The Quarterly Journal of Economics, Vol. CVI, No. 427, Iss. 4, pp. 1191-121 7, (November 1991). citation courtesy of

October 1991Chartists, Fundamentalists and the Demand for Dollars
with Jeffrey A. Frankel: r1655

Published: Private Behaviour and Government Policy in Interdependent Economies, edited by A.S. Courakis and M.P. Taylor, pp. 73-126. New York: Oxford University Press, 1990. (Note: Parts of this article are drawn from Working Paper 1 854, "The Dollar as an Irrational Speculative Bubble . . ."

June 1991Japanese Foreign Direct Investment
w3737

Published: US-Japan Economic Forum, Feldstein and Kosai, eds., 1991

April 1991The EMS, the EMU, and the Transition to a Common Currency
with Kenneth Rogoff: w3684

Published:

February 1991Chartists, Fundamentalists, and Trading in the Foreign Exchange Market
with Jeffrey A. Frankel: r1512

Published:

  • The American Economic Review, Vol. 80, No. 2, pp. 181-185, (May 1990).
  • Reprinted in On Exchange Rates, J. Frankel, MIT Press, Cambridge, 1993

Shareholder Trading Practices and Corporate Investment Horizons
with Andre F. Perold, Jeremy C. Stein: w3638

Published: Journal of Applied Corporate Finance, Volume 5, pp. 42-58 Summer 1992 citation courtesy of

January 1991The EMS, the EMU, and the Transition to a Common Currency
with Kenneth Rogoff
in NBER Macroeconomics Annual 1991, Volume 6, Olivier Jean Blanchard and Stanley Fischer, editors
November 1990New Trading Practices and Short-run Market Efficiency
with Andre F. Perold: w3498

Published: Revised in Journal of Futures Markets, vol 15, Oct 1995, pp 731-766.

October 1990Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market
with Jeffrey A. Frankel: w3470

Published: Published as "Chartists, Fundamentalists, and Trading in the Foreign Exchange Market" , American Economic Review, Vol. 80, no. 2 (1990): 181-185.

March 1990Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data
t0062

Published: "Consistent Covariance Matrix Estimation with Cross-Sectional Dependenceand Heteroskedasticity in Financial Data." From Journal of Financial and Quantitative Analysis, Vol. 24, No. 3, pp. 333-355, (September 1989).

LDC Debt: Forgiveness, Indexation, and Investment Incentives
with David S. Scharfstein, Jeremy C. Stein: w2541

Published: "LDC Debt: Forgiveness, Indexation, and Investment Incentives." From Journal of Finance, Vol. 44, No. 5, pp. 1335-1350, (December 1989). citation courtesy of

February 1990Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation
with David S. Scharfstein, Jeremy C. Stein: w3250

Published: Journal of Finance, Vol. 47, pp. 1461-84 September 1992 citation courtesy of

January 1990Short Rates and Expected Asset Returns
w3247
Multinational Corporations, Exchange Rates, and Direct Investment
in International Policy Coordination and Exchange Rate Fluctuations, William H. Branson, Jacob A. Frenkel, and Morris Goldstein, editors
October 1989Exchange Rate Pass-Through When Market Share Matters
with Paul Klemperer: w2542

Published: "Exchange-Rate Pass Through When Market Share Matters." From The American Economic Review, Vol. 79, No. 4, pp. 637-654, (September 1989). citation courtesy of

September 1989Intrinsic Bubbles: The Case of Stock Prices
with Maurice Obstfeld: w3091

Published: The American Economic Review, Vol. 81, No. 5, pp. 1189-1214, (December 1991). citation courtesy of

June 1989Stochastic Process Switching: Some Simple Solutions
with Maurice Obstfeld: w2998

Published:

  • Econometrica, Vol. 59, No. 1, pp. 241-250, (January 1991). citation courtesy of
  • Exchange Rate Targets and Currency Bands, eds. P. Krugman and M. Miller, Cambridge University Press, October 1991.

April 1989Interpreting Tests of Forward Discount Bias Using Survey Data on Exchange Rate Expectations
with Jeffrey A. Frankel: w1963

Published:

  • Froot and Frankel, "Forward Discount Bias: Is it an Exchange Risk Premium?" from Quarterly Journal of Economics, Vol. CIV, Issue 1, pp. 139-161,(February 1989).
  • Reprinted in On Exchange Rates, J. Frankel, MIT Press, Cambridge, 1993

March 1989Credibility, Real Interest Rates, and the Optimal Speed of Trade Liberalization
w2358

Published: Journal of International Economics, Vol. 25, pp. 71-93, (1988). citation courtesy of

Conditional Mean-Variance Efficiency of the U.S. Stock Market
with Charles Engel, Jeffrey A. Frankel, Anthony P. Rodrigues: w2890

Published: "Tests of Conditional Mean-Variance Efficiency of the US Stock Market," Journal of Emprirical Financial, March 2, 1995 (revised)

August 1988Buybacks, Exit Bonds, and the Optimality of Debt and Liquidity Relief
w2675

Published: Froot, Ken. "Buybacks, Exit Bonds, and the Optimality of Debt and Liquidity Relief," from International Economic Review, Vol. 30, No. 1, pp. 49-70,(February 1989).translated into Spanish in: Estudios Economicos, 4 (July 1989), pp 31-60. citation courtesy of

May 1988On the Consistency of Short-run and Long-run Exchange Rate Expectations
with Takatoshi Ito: w2577

Published: Froot, Kenneth A. and Takatoshi Ito. "On the Consistency of Short-run and Long-run Exchange Rate Expectations." Journal of International Money and Finance, Vol. 8, no. 4, pp. 487-510, (December 1989). citation courtesy of

December 1987Understanding the U.S. Dollar in the Eighties: The Expectations of Chartists and Fundamentalists
with Jeffrey A. Frankel: r0957

Published:

  • From Economic Record, pp. 24-38, (Supplement, 1986). (NOTE: This is basedon W1854.)
  • Reprinted in On Exchange Rates, J. Frankel, MIT Press, Cambridge, 1993

August 1987Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets
w2362
New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates
w2363

Published: Journal of Finance, Vol. XLIV, No. 2, pp. 283-305, (June 1989). citation courtesy of

April 1987Short-term and Long-Term Expectations of the Yen/Dollar Exchange Rate: Evidence from Survey Data
with Jeffrey A. Frankel: w2216

Published: Frankel, Jeffrey A. and Kenneth A. Froot. "Short-term and Long-term Expectations of the Yen/Dollar Exchange Rate: Evidence from Survey Data," From Journal of the Japanese and International Economies, Vol. 1, pp. 249-274,(1987). citation courtesy of

March 1986The Dollar as an Irrational Speculative Bubble: A Tale of Fundamentalisists
with Jeffrey A. Frankel: w1854

Published:

July 1985Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations
with Jeffrey A. Frankel: w1672

Published:

  • Frankel, Jeffrey A. and Kenneth A. Froot. "Using Standard Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations," American Economic Review, Vol. 77, No. 1, (March 1987), pp. 133-153.
  • Reprinted in On Exchange Rates, J. Frankel, MIT Press, Cambridge, 1993

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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