Froot and Stein Revisited Once Again
6 Pages Posted: 2 Jan 2007 Last revised: 1 Dec 2008
Date Written: November 29, 2006
Abstract
H¿gh, Linton and Nielsen (2006) showed that the famous result in the reward winning paper of Froot and Stein (1998) is not correct in the sense that their result does not follow from their assumptions. In this paper we show that the economic intuition behind the paper of Froot and Stein (1998) is correct and that their result can be obtained when the market is reformulated in a discrete time setting, where modern market theory is employed.
JEL Classification: G30, G31, G32
Suggested Citation: Suggested Citation
Høgh, Nils and Nielsen, Jens Perch and Guillen, Montserrat and Perez-Marin, Ana Maria, Froot and Stein Revisited Once Again (November 29, 2006). Available at SSRN: https://ssrn.com/abstract=954542 or http://dx.doi.org/10.2139/ssrn.954542
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