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The Froot and Stein Model Revisited

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  • Nils Hogh

    (Codan)

  • Oliver Linton

    (LSE)

  • Jens Nielsen

    (Codan)

Abstract

We investigate the model of Froot and Stein (1998), a model that has very strong implications for risk management. We argue that their conclusions are too strong and need to be qualified. Also, there are some unusual consequences of their model, which may be linked to the chosen pricing formula.

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File URL: http://128.118.178.162/eps/fin/papers/0401/0401004.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0401004.

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Date of creation: 15 Jan 2004
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Handle: RePEc:wpa:wuwpfi:0401004

Note: Type of Document - pdf; prepared on win2000; to print on HP;
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Web page: http://128.118.178.162

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Keywords: G20 and G31 and G32;

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  1. Kenneth A. Froot & Jeremy C. Stein, 1996. "Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach," NBER Working Papers 5403, National Bureau of Economic Research, Inc.
  2. Elroy Dimson & Paul Marsh & Mike Staunton, 2003. "Global Evidence On The Equity Risk Premium," Journal of Applied Corporate Finance, Morgan Stanley, vol. 15(4), pages 27-38.
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