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Portfolio Construction

1989
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.

1995
Froot, Kenneth A. “Hedging Portfolios with Real Assets.” Journal of Portfolio Management 21, no. 4 (1995): 60-77. Hedging Portfolios with Real Assets

Harvard Business School Working Paper 95-045.

1999
Froot, K.A., and E. Dabora. “How Are Stock Prices Affected by the Location of Trade?” Journal of Financial Economics 53, no. 2 (1999): 189–216. How are Stock Prices Affected by the Location of Trade?

Reprinted in International Capital Markets, R. Stulz and A. Karolyi, eds. Edward Elgar Publishing, 2003. Also reprinted in Advances in Behavioral Finance, Vol. 2, edited by Richard Thaler. New Jersey: Princeton University Press; New York: Russell Sage Foundation, July 2005, 102-129.

2008
Froot, K.A., and P. O'Connell. “On the Pricing of Intermediated Risks: Theory and Application to Catastrophe Reinsurance.” Journal of Banking and Finance 32, no. 1 (2008): 69–85. On the Pricing of Intermediated Risks: Theory and Application to Catastrophe Reinsurance
  • Special Issue on Dynamics of Insurance Markets: Structure, Conduct, and Performance in the 21st Century
  • Revised from NBER Working Paper No. 6011, April 1997, Harvard Business School Working Paper No. 98-024, 1997.
Froot, K.A., and T. Ramadorai. “Institutional Portfolio Flows and International Investments.” Review of Financial Studies 21, no. 2 (2008): 937–971. Publisher's Version Institutional Portfolio Flows and International Investments

Formerly The Information Content of International Portfolio Flows, revised from NBER Working Paper No. 8472, September 2001, Harvard Business School Working Paper No. 03-006, 2002, revised December 2005.

2011
Froot, Kenneth A., John Arabadjis, Sonya Cates, and Stephen Lawrence. “How Institutional Investors Frame Their Losses: Evidence on Dynamic Loss Aversion from Currency Portfolios.” Journal of Portfolio ​Management 38, no. 1 (Fall 2011): 60-68 (2011). Publisher's Version How Institutional Investors Frame Their Losses: Evidence on Dynamic Loss Aversion from Currency Portfolios
2014
Froot, Kenneth A., R. Bhargava, E. Cuipa, and J. Arabadjis. “Multi-Asset Sentiment and Institutional Investor Behavior: A Cross-Asset Perspective.” Journal of Portfolio Management 40, no. 4 (2014): 144-156. Multi-Asset Sentiment and Institutional Investor Behavior: A Cross-Asset Perspective