Recent Working Papers
Published & Forthcoming Papers
Book Chapter
Case Studies
- "Market Predictability and Non-Informational Trading" 2008 (with Terrence
Hendershott.) Version: 11-Mar-2009.
- "Common Factors, Information, and Portfolio Choice" 2009 (with Sonia
Jimenez-Garces, and Patrice Fontaine.) Version: 23-Dec-2009.
- "Risk and the Cross-Section of Stock Returns" 2009 (with Radu Burlacu, Sonia
Jimenez-Garces, and Patrice Fontaine.)
- Version: 01-Nov-2000.
Published & Forthcoming Papers
- "Individual Investors and Local Bias" 2009 (with Ning Zhu)
- Version: 30-Nov-2009
Accepted: Journal of Finance
- "Time Variation in Liquidity: The Role of Market Maker Inventories and
Revenues" 2010 (with Comerton-Forde, Hendershott, Jones, and Moulton).
Journal of Finance, 65 (1), 295-331. FMA Best Paper Award in Market
Microstructure 2007
- "Trading Imbalances, Predictable Reversals, and Cross-Stock Price Pressure"
2008 (with Sandro Andrade and Charles Chang). Journal of Financial
Economics, 88 (2), May, 406-423.
- "Market Maker Inventories and Stock Prices" 2007 (with Terry Hendershott).
American Economic Review Papers and Proceedings, 97 (2), May, 210-214.
- "Firm Specific Attributes and the Cross-Section of Momentum" 2007 (with
Jacob Sagi). Journal of Financial Economics 84 (2), 389-434.
- "Predictable Behavior, Profits, and Attention" 2007 (with Guojun Wu). Journal
of Empirical Finance, 14, 590-610. Lead Article in Issue.
- "Individual Investors and Gender Similarities in an Emerging Stock Market"
2008 (with Lei Feng). Pacific Basin Finance Journal, 16 (1-2), 44-60.
- "Do Investor Sophistication and Trading Experience Eliminate Behavioral Biases
in Finance Markets?" 2005 (with Lei Feng). Review of Finance, 9, 3,
September, 305-351. Winner of 2006 GSAM Best Research Paper. Lead Article
in Issue.
- "Correlated Trading and Location" 2004 (with Lei Feng). Journal of Finance,
LIX, 5, October, 2117-2144. Nominated for the Smith Breeden Prize.
- "Bailing-In" 2004 (with Matthew McBrady). Journal of Restructuring Finance,
1, 1, 49-78. Winner Best Paper Award, Global Finance Conference, 2001.
- "The Portfolio Flows of International Investors" 2001 (Kenneth A. Froot and
Paul G. J. O'Connell). Journal of Financial Economics 59, 151-193. Lead
Article in Issue.
Book Chapter
- "Social Interactions and Investing," in H. Kent Baker and John Nofsinger (eds.)
Behavioral Finance. Hoboken, NJ: John Wiley & Sons, Inc., forthcoming 2010.
- - Associated discussion questions to accompany above chapter
Case Studies
- Froot, Kenneth A. and Mark S. Seasholes, 2000, "USAA: Catastrophe Risk
Financing," HBS Case: N9-298-007
- Froot, Kenneth A. and Mark S. Seasholes, 2000, "Telmex PRIDES," HBS Case:
N9-296-009
- Froot, Kenneth A., Matthew McBrady, and Mark S. Seasholes, 2000, "Futures
on the Mexican Peso," HBS Case: N9-296-004
Papers
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