Recent Working Papers
- "Dual-Listed Shares and Trading" 2011 (with C. Liu). Version 15-Dec-2011.
- "Common Factors, Information, and Portfolio Choice" 2011 (with P. Fontaine
and S. Jimenez-Garces) Version: 10-Oct-2011.
- "Individual Investors and Portfolio Choice" 2011 (with M. Tai and Z. Yang)
Version: 21-Sep-2011.
- "Risk Sharing, Costly Participation, and Monthly Returns" 2010 (with T.
Hendershott, S. Li, and A. Menkveld). Version: 10-Dec-2010.
- "Risk and the Cross-Section of Stock Returns" 2012 (with R. Burlacu, P.
Fontaine, and S. Jimenez-Garces) Journal of Financial Economics 105, 511-
522.
- "Investing in What You Know: The Case of Individual Investors and Local
Stocks" 2012 (with N. Zhu) Journal of Investment Management Forthcoming.
- "Trading Imbalances and the Law of One Price" 2011 (with C. Liu).
Economics Letters, 112, 132-134.
- "Individual Investors and Local Bias" 2010 (with N. Zhu) Journal of Finance,
65(5) October, 1987-2011.
- "Time Variation in Liquidity: The Role of Market Maker Inventories and
Revenues" 2010 (with C. Comerton-Forde, T. Hendershott, Jones, and P.
Moulton). Journal of Finance, 65 (1), 295-331.
- -- FMA Best Paper Award in Market Microstructure 2007
-- Associated Internet Appendix for the above paper.
- "Trading Imbalances, Predictable Reversals, and Cross-Stock Price Pressure"
2008 (with S. Andrade and C. Chang). Journal of Financial Economics, 88 (2),
May, 406-423.
- "Market Maker Inventories and Stock Prices" 2007 (with T. Hendershott).
American Economic Review Papers and Proceedings, 97 (2), May, 210-214.
- "Firm Specific Attributes and the Cross-Section of Momentum" 2007 (with J.
Sagi). Journal of Financial Economics 84 (2), 389-434.
- "Predictable Behavior, Profits, and Attention" 2007 (with G. Wu). Journal of
Empirical Finance, 14, 590-610. Lead Article in Issue.
- "Individual Investors and Gender Similarities in an Emerging Stock Market"
2008 (with L. Feng). Pacific Basin Finance Journal, 16 (1-2), 44-60.
- "Do Investor Sophistication and Trading Experience Eliminate Behavioral
Biases in Finance Markets?" 2005 (with L. 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 L. Feng). Journal of Finance,
LIX, 5, October, 2117-2144. Nominated for the Smith Breeden Prize.
- "Bailing-In" 2004 (with M. McBrady). Journal of Restructuring Finance, 1, 1,
49-78. Winner Best Paper Award, Global Finance Conference, 2001.
- "The Portfolio Flows of International Investors" 2001 (K. Froot and P.
O'Connell). Journal of Financial Economics 59, 151-193. Lead Article in Issue.
- "Social Interactions and Investing," in H. Kent Baker and John Nofsinger
(eds.) Behavioral Finance. Hoboken, NJ: John Wiley & Sons, Inc., forthcoming
2010.
- 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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