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The Risk Tolerance of International Investors

Froot, Kenneth A. - 2003

Investor confidence and risk tolerance are important concepts that investors are constantly trying to gauge. Yet these … changes in demand and fundamentals perceived by all investors, and a second that reflects changes in the relative risk … tolerance of institutional investors over and above that of domestics. The latter component, changes in relative risk tolerance …

Persistent link: https://www.econbiz.de/10012468537

Decomposing the Persistence of International Equity Flows

Froot, Kenneth A. - 2002

The portfolio flows of institutional investors are widely known to be persistent. What is less well known, however, 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...

Persistent link: https://www.econbiz.de/10012469634

Currency Hedging over Long Horizons

Froot, Kenneth A. - 1993

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 horizons. At horizons of several...

Persistent link: https://www.econbiz.de/10012474601

The Constrained Asset Share Estimation (CASE) Method : Testing Mean-Variance Efficiency of the U.S. Stock Market

Engel, Charles - 1993

reasonably the price of risk, and, in some cases, the MVE model is valuable in explaining expected equity returns. Unlike with …

Persistent link: https://www.econbiz.de/10012474666

How are Stock Prices Affected by the Location of Trade?

Froot, Kenneth A. - 1998

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...

Persistent link: https://www.econbiz.de/10012472237

Intrinsic Bubbles : The Case of Stock Prices

Froot, Kenneth A. - 1989

Several puzzling aspects of the behavior of United States stock prices can be explained by the presence of a specific type of rational bubble that depends exclusively on dividends. We call such bubbles "intrinsic" bubbles because they derive all of their variability from exogenous economic...

Persistent link: https://www.econbiz.de/10012475954

Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets

Froot, Kenneth A. - 1987

whether these findings ran he attributed to time-varying risk premia, but in our tests the data provide little support for …

Persistent link: https://www.econbiz.de/10012476706