Asset Pricing

1986
Frankel, J., and K.A. Froot. “Understanding the U.S. Dollar in the Eighties: The Expectations of Chartists and Fundamentalists.” Economic Record (Special Issue) (1986): 24–38. Understanding the U.S. Dollar in the Eighties: The Expectations of Chartists and Fundamentalists

Reprinted in Exchange Rate Economics, vol. I, edited by R. MacDonald and M. Taylor, International Library of Critical Writings in Economics, Edward Elgar Publishing, U.K., 1992.

Froot, Kenneth A., and Jeffrey A. Frankel. “The Dollar as an Irrational Speculative Bubble: A Tale of Fundamentalists and Chartists.” Marcus Wallenberg Papers in International Finance 1 (1986): 27-55. The Dollar as an Irrational Speculative Bubble: A Tale of Fundamentalists and Chartists

Revised from NBER Working Paper no. 1854.

1987
Frankel, J., and K.A. Froot. “Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations.” American Economic Review 77, no. 1 (1987): 133–153. Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations

Revised from NBER Working Paper No. 1672.

Frankel, J., and K.A. Froot. “Short-term and Long-term Expectations of the Yen/Dollar Exchange Rate: Evidence from Survey Data.” Journal of the Japanese and International Economies 1, no. 3 (1987): 249–274. Short-term and Long-term Expectations of the Yen/Dollar Exchange Rate: Evidence from Survey Data

Revised from NBER Working Paper No. 2216, April 1987.

1988
Frankel, J., and K.A. Froot. “Explaining the Demand for Dollars: International Rates of Return, and the Expectations of Chartists and Fundamentalists.” In Macroeconomics, Agriculture, and the Exchange Rates, edited by R. Chambers and P. Paarlberg, 25–88. Boulder: Westview Press, 1988. Explaining the Demand for Dollars: International Rates of Return, and the Expectations of Chartists and Fundamentalists
1989
Froot, K.A., and T. Ito. “On the Consistency of Short-Run and Long-Run Exchange Rate Expectations.” Journal of International Money and Finance 8, no. 4 (1989): 487–510. On the Consistency of Short-Run and Long-Run Exchange Rate Expectations

Revised from NBER Working Paper No. 2577, May 1988.

Froot, K.A., D. Scharfstein, and J. Stein. “LDC Debt: Forgiveness, Indexation, and Investment Incentives.” Journal of Finance 44, no. 5 (1989): 1335–1350. LDC Debt: Forgiveness, Indexation, and Investment Incentives

Revised from NBER Working Paper No. 2541, March 1988.

Froot, K.A.New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates.” Journal of Finance 44, no. 2 (1989): 283–305. New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates

Revised from NBER Working Paper No. 2363, March 1990. Reprinted in Behavioral Finance, edited by H. Shefrin, part of the International Library of Critical Writings in Financial Economics, edited by R. Roll. London: Edward Elgar Publishing, 2000.

Froot, K.A., and J. Frankel. “Forward Discount Bias: Is It an Exchange Risk Premium?Quarterly Journal of Economics 104, no. 1 (1989): 139–161. Forward Discount Bias: Is it an Exchange Risk Premium?
  • Revision of "Findings of Forward Discount Bias Interpreted in Light of Exchange Rate Survey Data," NBER Working Paper No. 1963 and Sloan Working Paper No. 1906-87, August 1987.
  • Reprinted in Advances in Behavioral Finance, edited by Richard Thaler. New York: Russell Sage Foundation, 1993: 359-382 and in Speculation and Financial Markets, edited by M. Taylor and L. Gallagher. Cheltenham, U.K.: Edward Elgar Publishing, 2001.
Froot, K.A.Buybacks, Exit Bonds, and the Optimality of Debt and Liquidity Relief.” International Economic Review 30, no. 1 (1989): 49–70. Buybacks, Exit Bonds, and the Optimality of Debt and Liquidity Relief

Revised from NBER Working Paper No. 2675, July 1988. Translated into Spanish in Estudios Economicos 4 (July 1989): 31-60.

Froot, K.A.Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data.” Journal of Financial and Quantitative Analysis 24, no. 3 (1989): 333–355. Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data

Revised from NBER Technical Working Paper No. 62.

Froot, K.A., and P. Klemperer. “Exchange Rate Pass-Through When Market Share Matters.” American Economic Review 79, no. 4 (1989): 637–654. Exchange Rate Pass-Through When Market Share Matters

Revised from NBER Working Paper No. 2542, October 1989.

1990
Frankel, Jeffrey A., and Kenneth A. Froot. “Chartists, Fundamentalists and the Demand for Dollars.” Private Behavior and Government Policy in Interdependent Economics (1990): 73-128. Chartists, Fundamentalists and the Demand for Dollars

Oxford: Clarendon Press, 1990, 73-128. Reprinted in ​Greek Economic Review 10 (June 1988): 49-102. Translated into “Chartistas, fundamentalistas y la demanda de dólares,” in ​Cuadernos Economicos de ICE,​ 1988 (Número 38), 195-242.

“Adjustment of the U.S. and Japanese External Imbalances,” in ​Fourth Economic Planning Agency International Symposium,​ edited by M. Yoshitomi, Economic Planning Agency of Japan, December 1988, 287-304.

Frankel, J., and K.A. Froot. “Chartists, Fundamentalists, and Trading in the Foreign Exchange Market.” American Economic Review 80, no. 2 (1990): 181–185. Chartists, Fundamentalists, and Trading in the Foreign Exchange Market

Reprinted in New Developments in Exchange Rate Economics, edited by L. Sarno and M. Taylor. U.K.: Edward Elgar Publishing, 2001; and in Speculation and Financial Markets, edited by M. Taylor and L. Gallagher. U.K.: Edward Elgar Publishing, 2001.

Froot, K.A., and R. Thaler. “Anomalies: Foreign Exchange.” Journal of Economic Perspectives 4, no. 3 (1990): 179–192. Anomalies: Foreign Exchange.pdf

Reprinted in Current Issues in the International Economy: A Reader, edited by L. Goldberg and M. Klein. New York: Harper Collins Publishers, 1992; Speculation and Financial Markets, edited by M. Taylor and L. Gallagher. Cheltenham, U.K.: Edward Elgar Publishing, 2001; and in Open Economy Macroeconomics, Volume II, Part I, Article 4 edited by Norman Miller. Cheltenham, U.K. and Northampton, Mass., U.S.: Edward Elgar Publishing, March 2006: 74-87.

1991
Froot, Kenneth A., and M. Obstfeld. “Intrinsic Bubbles: The Case of Stock Prices.” American Economic Review 81, no. 5 (1991): 1189–1214. Intrinsic Bubbles: The Case of Stock Prices

Revised from NBER Working Paper No. 3091, March 1992. Reprinted in Speculation and Financial Markets, edited by M. Taylor and L. Gallagher. Cheltenham, U.K.: Edward Elgar Publishing, 2001.

Froot, K.A., and M. Obstfeld. “Stochastic Process Switching: Some Simple Solutions.” Econometrica 59, no. 1 (1991): 241–250. Stochastic Process Switching: Some Simple Solutions
  • Revised from NBER Working Paper No. 2998, July 1989.
  • Reprinted in Exchange Rates and Currency Bonds, edited by P. Krugman and M. Miller. London: CEPR, 1991.
Froot, K.A., and Jeremy Stein. “Exchange Rates and Foreign Direct Investment: An Imperfect Capital Markets Approach.” Quarterly Journal of Economics 106, no. 4 (1991): 1191–1217. Exchange Rates and Foreign Direct Investment: An Imperfect Capital Markets Approach

Revised from NBER Working Paper No. 2914, March 1989.

Froot, K.A., and M. Obstfeld. “Exchange-rate Dynamics under Stochastic Regime Shifts: A Unified Approach.” Journal of International Economics 31, no. 3-4 (1991): 203–229. Exchange-rate Dynamics under Stochastic Regime Shifts: A Unified Approach

Revised from NBER Working Paper No. 2835, February 1989.

1992
Froot, Kenneth A., David S. Scharfstein, and Jeremy Stein. “Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation.” Journal of Finance 47, no. 4 (1992): 1461–1484. Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation

Revised from NBER Working Paper No. 3250, February 1990.

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