Froot and Stein Revisited Once Again

6 Pages Posted: 2 Jan 2007 Last revised: 1 Dec 2008

See all articles by Nils Høgh

Nils Høgh

Nordea Markets

Jens Perch Nielsen

City University London - Cass Business School

Montserrat Guillen

Ana Maria Perez-Marin

University of Barcelona

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

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

Nils Høgh (Contact Author)

Nordea Markets ( email )

Christiansbro, Strandgade 3
Copenhagen, 0900C
Denmark

Jens Perch Nielsen

City University London - Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Ana Maria Perez-Marin

University of Barcelona ( email )

Gran Via de les Corts Catalanes, 585
Barcelona, 08007
Spain

No contact information is available for Montserrat Guillen

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
348
Abstract Views
2,810
Rank
157,801
PlumX Metrics