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  • October 1995
  • Article

New Trading Practices and Short-Run Market Efficiency

By: Kenneth A. Froot and André Perold
Keywords: Institutional Investing; Market Efficiency; Behavioral Finance; Equities; Stock Market; Indexing; Financial Markets; Asset Pricing
Related
  • 1995
  • Chapter

Incentive Problems in Financial Contracting: Impacts on Corporate Financing, Investment, and Risk Management Policies

By: K. Froot
Keywords: Catastrophe Risk; Corporate Finance; Cost Of Capital; Banking And Insurance; Asset Pricing; Hedging; Banking; Decision Choice And Uncertainty; Financial Markets; Insurance; Policy; Risk Management; Natural Disasters; Insurance Industry
Related
  • 1995
  • Book

The Global Financial System: A Functional Perspective

By: D. B. Crane, K. A. Froot, Scott P. Mason, André Perold, R. C. Merton, Z. Bodie, E. R. Sirri and P. Tufano
Keywords: Corporate Finance; Imperfect Markets; Behavioral Finance; Asset Pricing
Related
  • 1995
  • Chapter

The Informational Role of Asset Prices: The Case of Implied Volatility

By: Zvi Bodie and Robert C. Merton
Keywords: Asset Pricing; Price; Volatility; Information
Related
  • summer 1995
  • Article

Hedging Portfolios with Real Assets

By: K. A. Froot
Keywords: Institutional Investing; Market Efficiency; Behavioral Finance; Equities; Stock Market; Indexing; Hedging; Asset Allocation; Commodities; Commodity Investing; Real Estate; Financial Markets; Asset Pricing
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  • March 1995
  • Article

Tests of Conditional Mean-Variance Efficiency of the U.S. Stock Market

By: C. Engel, J. Frankel, Kenneth A. Froot and T. Rodrigues
Keywords: Risk Aversion; Risk; International Investing; CAPM; Capital Asset Pricing; International Finance; Risk and Uncertainty; Asset Pricing; Financial Markets; Foreign Direct Investment; Behavioral Finance; United States
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  • November–December 1994
  • Article

A Framework for Risk Management

By: K. Froot, David S. Scharfstein and J. Stein
Keywords: Catastrophe Risk; Cost Of Capital; Banking And Insurance; Hedging; Banking; Decision Choice And Uncertainty; Framework; Risk Management; Corporate Finance; Asset Pricing; Financial Markets; Insurance; Policy; Natural Disasters; Insurance Industry
Related
  • 1994
  • Chapter

Foreign Direct Investment in Eastern Europe: Some Economic Considerations

By: K. Froot
Keywords: Markets; Asset Pricing; Corporate Finance; Market Imperfections; Foreign Direct Investment; Europe
Related
  • February 1994 (Revised July 2008)
  • Case

Banc One Corporation: Asset and Liability Management

By: Benjamin C. Esty, Peter Tufano and Jon Headley
Banc One's share price has been falling recently due to analyst and investor concern over the bank's heavy use of interest rate derivatives. Dick Lodge, chief investment officer in charge of the bank's investment and derivative portfolio, must recommend to the CEO a... View Details
Keywords: Credit Derivatives and Swaps; Financial Management; Interest Rates; Investment Portfolio; Governance Controls; Risk Management; Banking Industry
Related
  • January 1994 (Revised June 1994)
  • Case

Dean Witter, Discover & Co.

By: Dwight B. Crane and W. James Whalen
Early in 1993, Sears was in the process of spinning off its Dean Witter, Discover subsidiary. This subsidiary consisted of a securities brokerage that was acquired in 1981 and also the Discover Card, a general purpose credit card, the firm introduced in 1985. The key... View Details
Keywords: Valuation; Business Subsidiaries; Initial Public Offering; Credit Cards; Corporate Strategy; Asset Pricing; Financial Services Industry
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  • December 1993
  • Article

Risk Management: Coordinating Corporate Investment and Financing Policies

By: K. A. Froot, David S. Scharfstein and J. Stein
Keywords: Catastrophe Risk; Corporate Finance; Banking And Insurance; Hedging; Banking; Decision Choice And Uncertainty; Financial Markets; Insurance; Policy; Risk Management; Natural Disasters; Cost of Capital; Asset Pricing; Insurance Industry
Related
  • 1993
  • Working Paper

Currency Hedging Over Long Horizons

By: K. A. Froot
This paper reexamines the widely-held wisdom that the currency exposure of international investments should be entirely hedged. It finds that the previously documented ability of hedges to reduce portfolio return variance holds at short horizons, but not at long... View Details
Keywords: Currency; Hedging; Transaction Costs; Exchange Rates; International Markets; Real Exchange Rate; Purchasing Power Parity; International Finance; Currency Exchange Rate; Asset Pricing; Investment; Globalized Markets and Industries
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  • April 1993 (Revised December 1994)
  • Case

Lehman Brothers and the Securitization of American Express Charge-Card Receivables

By: Andre F. Perold and Kuljot Singh
In early 1992, Lehman Brothers had received a mandate from its affiliate, American Express Travel Related Services (TRS) Co., to securitize a portion of its consumer charge-card receivables portfolio. It is now July 22, and Lehman and TRS have just returned from a... View Details
Keywords: Risk and Uncertainty; Credit Cards; Financial Instruments; Stocks; Asset Pricing
Related
  • 1993
  • Book

Foreign Direct Investment

By: K. Froot
Keywords: Corporate Finance; Market Imperfections; Foreign Direct Investment; Financial Instruments; Markets; Asset Pricing
Related
  • September 1992
  • Article

Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation

By: Kenneth Froot, David S. Scharfstein and Jeremy Stein
Keywords: Rational Expectations; Asset Pricing; Behavioral Finance
Related
  • 1992
  • Chapter

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

By: J. Frankel and K. A. Froot
Keywords: Currencies; Exchange Rates; International Macroeconomics; Monetary Policy; Currency Controls; Fixed Exchange Rates; Floating Exchange Rates; Currency Bands; Currency Zones; Currency Areas; Rational Expectations; International Finance; Currency Exchange Rate; Asset Pricing; Forecasting and Prediction; Policy
Related
  • 1992
  • Chapter

The EMS, the EMU and the Transition to a Common Currency

By: K. A. Froot and K. Rogoff
Keywords: Currencies; Exchange Rates; International Macroeconomics; Monetary Policy; Currency Controls; Fixed Exchange Rates; Floating Exchange Rates; Currency Bands; Currency Zones; Currency Areas; Rational Expectations; International Finance; Currency Exchange Rate; Asset Pricing; Policy
Related
  • summer 1992
  • Article

Shareholder Trading Practices and Corporate Investment Horizons

By: Kenneth A. Froot, André Perold and J. Stein
Keywords: Institutional Investing; Market Efficiency; Behavioral Finance; Equities; Stock Market; Indexing; Financial Markets; Asset Pricing
Related
  • June 1992 (Revised June 1995)
  • Case

RJR Nabisco Holdings Capital Corp.--1991

By: Peter Tufano
An investment manager notices a large apparent discrepancy in the prices of two nearly-identical bonds issued in conjunction with a major leveraged buyout. The manager must figure out whether the instruments are mispriced relative to one another, and if so, how to... View Details
Keywords: Asset Management; Financial Instruments
Related
  • December 1991
  • Article

Intrinsic Bubbles: The Case of Stock Prices

By: Kenneth A. Froot and M. Obstfeld
Keywords: Rational Expectations; Equities; Fundamentals; Behavioral Finance; Price Bubble; Stocks; Information; Asset Pricing
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