skip to content

Froot, Kenneth

Works: 116 works in 700 publications in 2 languages and 7,920 library holdings
Genres: Conference papers and proceedings  History 
Roles: Author, Editor, Performer
Classifications: HB1, 337.1
Publication Timeline
Publications about Kenneth Froot
Publications by Kenneth Froot
Most widely held works by Kenneth Froot
The Transition in Eastern Europe by Olivier Blanchard( Book )
17 editions published in 1994 in English and held by 518 libraries worldwide
Foreign direct investment by Kenneth Froot( Book )
16 editions published between 1993 and 2008 in English and Undetermined and held by 454 libraries worldwide
Over the past decade, foreign direct investment (FDI) around the world has nearly tripled, and with this surge have come dramatic shifts in FDI flows. In Foreign Direct Investment, distinguished economists look at changes in FDI, including historical trends, specific country experiences, developments in the semiconductor industry, and variations in international mergers and acquisitions. Chapters cover such topics as theoretical accounts of FDI patterns, the growth of multinational enterprises, and the FDI experiences of Japan, the United States, and selected developing countries. This volume
The financing of catastrophe risk by Kenneth Froot( Book )
15 editions published between 1999 and 2007 in English and held by 361 libraries worldwide
"Is it possible that the insurance and reinsurance industries cannot handle a major catastrophe? With ever increasing property-casualty risks and unabated growth in hazard-prone areas, insurers and reinsurers now envision the possibility of disaster losses of $50 to $100 billion in the United States. Against this backdrop, the capitalization of the insurance and reinsurance industries has become a crucial concern. While it remains unlikely that a single event might entirely bankrupt these industries, a big catastrophe could place firms, policy holders, and investors under stress." "The Financing of Catastrophe Risk assembles an impressive roster of experts from academia and industry to explore the important issue of how catastrophe risk should be distributed and financed."--Jacket
International economic cooperation by Martin S Feldstein( Book )
4 editions published between 1987 and 1988 in English and held by 145 libraries worldwide
"A readable, balanced, and provocative view of the prospects for fruitful international economic cooperation. The papers are realistic: each discusses the difficulties involved in reaching cooperative solutions or procedures as well as the benefits of doing so. The discussion among the conference participants is lively, interesting, and insightful."--William H. Branson, Princeton University
The market for catastrophe risk : a clinical examination by Kenneth Froot( Book )
25 editions published between 1999 and 2001 in English and held by 112 libraries worldwide
This paper examines the market for catastrophe event risk -- i.e., financial claims that are linked to losses associated with natural hazards, such as hurricanes and earthquakes. This market is in transition as new approaches for transferring risk are being explored. The paper studies several recent transactions by USAA which use reinsurance capacity from capital markets rather than only from reinsurers. We identify two puzzles concerning the cat protection purchased in these transactions: there is no coverage for the largest, most severe events; and premiums appear well above actuarial value. We demonstrate that both features deviate from what theory would predict, yet are characteristic of many transactions, not simply those of USAA. We then explore a number of possible explanations for the facts. The most compelling are combinations of capital market imperfections and market power on the part of reinsurers. Conclusions for broader capital market and risk management issues are discussed
Currency returns, institutional investor flows, and exchange rate fundamentals by Kenneth Froot( Book )
21 editions published between 2002 and 2003 in English and held by 100 libraries worldwide
We explore the interaction between exchange rates, institutional investor currency flows and exchange-rate fundamentals. We find that these flows are highly correlated with contemporaneous and lagged exchange rate changes, and that they carry information for future excess currency returns. This information, however, is not strongly linked to future fundamentals. Flows are important in understanding transitory elements of excess returns, which include short-run underreaction and long-run overreaction. However, flows have a zero or negative correlation with permanent components of excess returns. We find that measured fundamentals not flows seem important in understanding permanent elements of excess returns. We conclude that investor flows are important for understanding deviations of exchange rates from fundamentals, but not for understanding the long-run currency values
The law of one price over 700 years by Kenneth Froot( Book )
20 editions published between 1995 and 2001 in English and held by 93 libraries worldwide
"This paper examines annual commodity price data from England and Holland over a span of seven centuries. Our data set incorporates transaction prices on 8 commodities: barley, butter, cheese, eggs, oats, peas, silver, wheat as well as pound/shilling nominal exchange rates going back, in some cases, to 1273. We find that the volatility and persistence of deviations from the law of one price have been remarkably stable over time. LOP deviations are highly correlated across commodities (especially at annual horizons) and, for most pairwise comparisons in most centuries, at least as volatile as relative prices across different goods within the same country. Our analysis challenges the conventional view that the modern floating exchange rate experience is exceptional in terms of the behavior of relative (exchange-related adjusted) prices across countries."--Page 1
The portfolio flows of international investors, I by Kenneth Froot( Book )
16 editions published in 1998 in English and held by 73 libraries worldwide
The paper explores the behavior of daily, international portfolio flows into and out of 46 countries from 1994 through 1998. Our data are from State Street Bank & Trust and encompass over 3 million trades by client institutions. We find a number of interesting facts. First, we detect regional factors within the flows. Second, the flows are strongly persistent--the persistence decays only slowly over time. Third, flows are strongly influenced by past returns, so that investor trend-following is apparent. Fourth, we find that inflows have forecasting power for future emerging markets returns, but not for developed country returns. Fifth, we find the sensitivity of local stock prices to foreign inflows to be positive and determine that transitory inflows impact future returns negatively. Finally, we examine and reject the view that the positive covariance of returns and inflows is associated with an information disadvantage on the part of international investors
Interest allocation rules, financing patterns, and the operations of U.S. multinationals by Kenneth Froot( Book )
16 editions published between 1994 and 1995 in English and held by 73 libraries worldwide
This paper examines the impact of the 1986 change in U.S. interest allocation rules on the investment and financing decisions of American multinationals. The 1986 change reduced the tax deductibility of the interest expenses of firms with excess foreign tax credits. The resulting increase in the cost of debt gives firms incentives to substitute away from using debt finance. Furthermore, to the extent that perfect financing substitutes are not available, the overall cost of capital rises as well. The empirical tests indicate that the loss of tax deductibility of parent-company interest expenses appears to reduce significantly borrowing and investing by firms with excess foreign tax credits. The same firms tend to undertake new lease commitments, which may reflect the use of leases as alternatives to capital ownership. In addition, firms affected by the tax change tend to scale back the scope of their foreign and total operations. These results are consistent with the hypothesis that firms substitute away from debt when debt becomes more expensive, and also with the hypothesis that the loss of interest tax shields increases a firm's cost of capital
How are stock prices affected by the location of trade? by Kenneth Froot( Book )
13 editions published in 1998 in English and held by 72 libraries worldwide
We examine pairs of large, Siamese twin' companies whose stocks are traded around the world but have different trading and ownership habitats. Twins pool their cashflows so, with integrated markets, twin stocks should move together. In contrast, the relative prices of twin stocks appear correlated with the markets where they are traded most, i.e., a twin's relative price rises when the market on which it is relatively intensively traded rises. We examine several explanations for this phenomenon: discretionary uses of dividend income by parent companies; differences in parent expenditures; voting rights issues; currency fluctuations; ex-dividend-date timing issues; and tax-induced investor heterogeneity. Only that latter hypothesis can explain some (but not all) of the facts. Other possible explanations include: i) country-specific sentiment shocks affect share price movements of locally-traded stocks in proportion to their local trading/ownership intensity, and ii) investors are rational, but markets are segmented by frictions other than international transactions costs, such as agency problems
Risk management, capital budgeting and capital structure policy for financial institutions : an integrated approach by Kenneth Froot( Book )
17 editions published between 1995 and 1996 in English and German and held by 71 libraries worldwide
The paper develops a framework for analyzing the capital allocation and capital structure decisions facing financial institutions such as banks. The model used incorporates two key features: i) value-maximizing banks have a well-founded concern with risk management; and ii) not all the risks they face can be frictionlessly hedged in the capital market. This approach shows how bank-level risk management considerations should factor into the pricing of those risks that cannot be easily hedged. The paper examines several applications, including: the evaluation of proprietary trading operations; and the pricing of unhedgeable derivatives positions
The limited financing of catastrophe risk : an overview by Kenneth Froot( Book )
13 editions published in 1997 in English and held by 71 libraries worldwide
This paper argues that the financial exposure of households and firms to natural catastrophe disasters is borne primarily by insurance companies. Surprisingly, insurers use reinsurance to cover only a small fraction of theseexposures, yet many insurers do not have enough capital and surplus to survive medium or large disasters. In a well-functioning financial system, these risks would be more widely shared. This paper articulates eight different explanations that may lie behind the limited risk sharing, relating them both to recent industry developments and financial theory. I then examine how financial innovation can help change the equilibrium toward a more efficient outcome
The pricing of U.S. catastrophe reinsurance by Kenneth Froot( Book )
18 editions published in 1997 in English and held by 68 libraries worldwide
We explore two theories that have been advanced to explain the patterns in U.S. catastrophe reinsurance pricing. The first is that price variation is tied to demand shocks, driven in effect by changes in actuarially expected losses. The second holds that the supply of capital to the reinsurance industry is less than perfectly elastic, with the consequences that prices are bid up whenever existing funds are depleted by catastrophe losses. Using detailed reinsurance contract data from Guy Carpenter & Co. over a 25-year period, we test these two theories. Our results suggest that capital market imperfections are more important than shifts in actuarial valuation for understanding catastrophe reinsurance pricing. Supply, rather than demand, shifts seem to explain most features of the market in the aftermath of a loss
On the pricing of intermediated risks : theory and application to catastrophe reinsurance by Kenneth Froot( Book )
15 editions published in 1997 in English and held by 67 libraries worldwide
We model the equilibrium price and quantity of risk transfer between firms and financial intermediaries. Value-maximizing firms have downward sloping demands to cede risk, while intermediaries, who assume risk, provide less-than-fully-elastic supply. We show that equilibrium required returns will be high' in the presence of financing imperfections that make intermediary capital costly. Moreover, financing imperfections can give rise to intermediary market power, so that small changes in financial imperfections can give rise to large changes in price. We develop tests of this alternative against the null that the supply of intermediary capital is perfectly elastic. We take the US catastrophe reinsurance market as an example, using detailed data from Guy Carpenter & Co., covering a large fraction of the catastrophe risks exchanged during 1970-94. Our results suggest that the price of reinsurance generally exceeds fair' values, particularly in the aftermath of large events, that market power of reinsurers is not a complete explanation for such pricing, and that reinsurers' high costs of capital appear to play an important role
Perspectives on PPP and long-run real exchange rates by Kenneth Froot( Book )
13 editions published between 1994 and 1996 in English and held by 64 libraries worldwide
This paper reviews the large and growing literature which tests PPP and other models of the long-run real exchange rate. We distinguish three different stages of PPP testing and focus on what has been learned from each. The most important overall lesson has been that the real exchange rate appears stationary over sufficiently long horizons. Simple, univariate random walk specifications can be rejected in favor of stationary alternatives. However, we argue that multivariate tests, which ask whether any linear combination of prices and exchange rates are stationary, have not necessarily provided meaningful rejections of nonstationarity. We also review a number of other theories of the long run real exchange rate -- including the Balassa-Samuelson hypothesis -- as well as the evidence supporting them. We argue that the persistence of real exchange rate movements can be generated by a number of sensible models and that Balassa- Samuelson effects seem important, but mainly for countries with widely disparate levels of income of growth. Finally, this paper presents new evidence testing the law of one price on 200 years of historical commodity price data for England and France, and uses a century of data from Argentina to test the possibility of sample-selection bias in tests of long-run PPP
Exchange rate forecasting techniques, survey data, and implications for the foreign exchange market by Jeffrey A Frankel( Book )
14 editions published between 1990 and 1991 in English and held by 58 libraries worldwide
This paper examines the dynamics of the foreign exchange market. The first half addresses a number of key questions regarding the forecasts of future exchange rates made by market participants, by means of updated estimates using survey data. Here we follow most of the theoretical and empirical literature in acting as if all market participants share the same expectation. The second half then addresses the possibility of heterogeneous expectations, particularly the distinction between "chartists" and "fundamentalists," and the implications for trading in the foreign exchange market and for the formation of speculative bubbles
Decomposing the persistence of international equity flows by Kenneth Froot( Book )
13 editions published between 2002 and 2003 in English and held by 56 libraries worldwide
The portfolio flows of institutional investors are widely known to be persistent. What is less well known, is the source of this persistence. One possibility is the 'informed trading hypothesis': that persistence arises from autocorrelated trades of investors who believe they have information about value and who face an imperfectly liquid market. Another possibility is that there are asynchroneities with respect to investment decisions across funds, across investments, or both. These asynchroneities could be due to wealth effects (across investments for a single fund), investor herding (across funds for a single investment), or generalized contagion (across funds and across investments). We use daily data on institutional flows into 21 developed countries by 471 funds to measure and decompose aggregate flow persistence. We find that the informed trading hypothesis explains about 75% of total persistence, and that the remaining amount is attributed entirely to cross-fund own-country persistence. In other words, we find statistically and economically significant flow asynchroneities across funds investing in the same country. There are no meaningful asynchroneities across countries, either within a given fund, or across funds. The cross-fund flow lags we identify might result from different fund investment processes, or from some funds mimicking others' decisions. We reject the hypothesis that wealth effects explain persistence
The information content of international portfolio flows by Kenneth Froot( Book )
14 editions published between 2001 and 2003 in English and held by 55 libraries worldwide
We examine the forecasting power of international portfolio flows for local equity markets and attempt to attribute it to either better information about fundamentals on the part of international investors, or to price pressure. Price pressure is a potential explanation because flows have positive contemporaneous price impacts and are strongly positively autocorrelated. We find that cross-borderflows forecast both individual country equity market prices and associated US closed-end country fund prices, even after controlling for closed-end fund purchases. Cross-border flows have no discernable impact on the difference, the closed-end fund discount. This fact is consistent with the information story, which says that cross-border inflows predict no change in the discount, but forecast positive changes in both net asset values and closed-end fund prices. This fact also contradicts the price pressure story, which predicts the cross-border inflows increase local country equity prices, thereby increasing the closed-end fund discount. We also use our approach to test for the presence of trend following in cross-border flows based on relative, as well as absolute returns. Like other studies, we find evidence of trend following based on absolute returns. Interestingly, however, we find also that flows are trend reversing based on relative returns. Flows therefore seem to be stabilizing with respect to notions of relative, but not absolute, value
The transition in Eastern Europe by Olivier Blanchard( Book )
32 editions published between 1994 and 2008 in English and held by 51 libraries worldwide
When communism fell in 1989, the question for most Eastern European countries was not whether to go to a market economy, but how to get there. Several years later, the difficult process of privatization and restructuring continues to concern the countries of the region. The Transition in Eastern Europe, Volumes 1 and 2 is an analysis of the experiences of various countries making the transition to market economies and examines the most important challenges still in store. Volume 1, Country Studies, gives an in-depth, country-by-country analysis of various reform experiences, including historical backgrounds and discussions of policies and results to date. The countries analyzed are Poland, Czechoslovakia, Hungary, eastern Germany, Slovenia, and Russia. Written by leading economists, some of whom helped shape local and national reforms, this volume identifies common progress, common difficulties, and tentative solutions to the problems of economic transition. Volume 2, Restructuring, focuses on specific issues of transition, including how to design labor market institutions, privatization, new fiscal structures, and bankruptcy laws; how to reorganize foreign trade; and how to promote foreign direct investment. The articles, written by experts in the field, will be of direct help to those involved in the transition process. These volumes provide a standard reference on economic transition in the region for policymakers in Eastern Europe and in western countries, for international agencies concerned with the transition process, and for anyone interested in learning about the dramatic changes that have recently occurred in Eastern Europe
Short-term and long-term expectations of the yen/dollar exchange rate : evidence from survey data by Jeffrey A Frankel( Book )
14 editions published between 1986 and 1988 in English and held by 41 libraries worldwide
Three surveys of exchange rate expectations allow us to measure directly the expected rates of return on yen versus dollars. Expectations of yen appreciation against the dollar have been (1) consistently large, (2) variable, and (3) greater than the forward premium, implying that investors were willing to accept a lower expected return on dollar assets. At short-term horizons expectations exhibit bandwagon effects, while at longer-term horizons they show the reverse. A 10 percent yen appreciation generates the expectation of a further appreciation of 2.4 percent over the following week, for example, but a depreciation of 3.4 percent over the following year. At any horizon, investors would do better to reduce the absolute magnitude of expected depreciation. The true spot rate process behaves more like a random walk
moreShow More Titles
fewerShow Fewer Titles
Alternative Names
Froot, K. A. 1957-
Froot, Kenneth A.
Froot, Kenneth A. 1957-
English (324)
German (1)
Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.