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Robert E. Whaley · Study
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Author
Robert E. Whaley
56 works
· latest 2016
· 7 institutions
cluster: provisional
ORCID 0000-0001-9456-7734
Works
56 shown
Tail Wags Dog: Intraday Price Discovery in VIX Markets
Journal of Futures Markets
·
2016
·
3 authors
54
citations
Trading Volatility: At What Cost?
The Journal of Portfolio Management
·
2013
·
1 author
80
citations
Using Option Prices to Infer Overpayments and Synergies in M&A Transactions
Review of Financial Studies
·
2012
·
4 authors
·
Open access
93
citations
Early Exercise of Put Options on Stocks
The Journal of Finance
·
2012
·
2 authors
·
Open access
63
citations
Understanding the VIX
The Journal of Portfolio Management
·
2009
·
1 author
·
Open access
650
citations
Hedge Fund Risk Dynamics: Implications for Performance Appraisal
The Journal of Finance
·
2009
·
2 authors
·
Open access
253
citations
Political regimes, business cycles, seasonalities, and returns
Journal of Banking & Finance
·
2009
·
3 authors
·
Open access
30
citations
Commodity Index Investing and Commodity Futures Prices
SSRN Electronic Journal
·
2009
·
2 authors
·
preprint
·
Open access
273
citations
Elementary Statistics
Handbook of Finance
·
2008
·
1 author
·
other
36
citations
Regulation Fair Disclosure and the Cost of Adverse Selection
Journal of Accounting Research
·
2008
·
4 authors
·
Open access
104
citations
Failure to exercise call options: An anomaly and a trading game
Journal of Financial Markets
·
2007
·
3 authors
·
Open access
64
citations
The Persistent Presidential Dummy
The Journal of Portfolio Management
·
2007
·
3 authors
·
Open access
41
citations
Ownership, Competition, and Financial Disclosure
Australian Journal of Management
·
2006
·
4 authors
·
Open access
103
citations
Derivatives: Markets, Valuation, and Risk Management
·
2006
·
1 author
·
other
103
citations
Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?
The Journal of Finance
·
2004
·
2 authors
·
Open access
991
citations
Modeling the bid/ask spread: measuring the inventory-holding premium
Journal of Financial Economics
·
2003
·
3 authors
·
Open access
166
citations
Optimal contract design: For whom?
Journal of Futures Markets
·
2003
·
3 authors
53
citations
Stock splits: implications for investor trading costs
Journal of Empirical Finance
·
2003
·
3 authors
38
citations
Implied volatility functions: empirical tests
IEEE Conference on Computational Intelligence for Financial Engineering & Economics
·
2002
·
2 authors
·
other
101
citations
Return and Risk of CBOE Buy Write Monthly Index
The Journal of Derivatives
·
2002
·
1 author
114
citations
S&P 500 Index Replacements
The Journal of Portfolio Management
·
2002
·
2 authors
52
citations
The Investor Fear Gauge
The Journal of Portfolio Management
·
2000
·
1 author
1,097
citations
Regime switching in foreign exchange rates:
Journal of Econometrics
·
2000
·
3 authors
222
citations
Do expirations of Hang Seng Index derivatives affect stock market volatility?
Pacific-Basin Finance Journal
·
1999
·
2 authors
53
citations
Reset Put Options: Valuation, Risk Characteristics, and an Application
Australian Journal of Management
·
1999
·
2 authors
52
citations
Implied Volatility Functions: Empirical Tests
The Journal of Finance
·
1998
·
3 authors
1,248
citations
Are “Teenies” Better?
The Journal of Portfolio Management
·
1998
·
2 authors
99
citations
Expiration‐Day Effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures
Australian Journal of Management
·
1997
·
2 authors
75
citations
Valuing S&P 500 Bear Market Warrants With a Periodic Reset
The Journal of Derivatives
·
1997
·
2 authors
44
citations
Assessing Goodness-Of-Fit of Asset Pricing Models: The Distribution of the Maximal R 2
The Journal of Finance
·
1997
·
3 authors
218
citations
An Anatomy of the "S & P Game": The Effects of Changing the Rules
The Journal of Finance
·
1996
·
2 authors
334
citations
Trading costs and the relative rates of price discovery in stock, futures, and option markets
Journal of Futures Markets
·
1996
·
3 authors
424
citations
Predicting stock market volatility: A new measure
Journal of Futures Markets
·
1995
·
3 authors
538
citations
Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion?
The Journal of Finance
·
1994
·
3 authors
303
citations
Estimating the effective BID/ASK spread from time and sales data
Journal of Futures Markets
·
1994
·
2 authors
87
citations
Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage-Induced or Statistical Illusion?
The Journal of Finance
·
1994
·
3 authors
65
citations
The Value of Wildcard Options
The Journal of Finance
·
1994
·
2 authors
48
citations
Derivatives on Market Volatility
The Journal of Derivatives
·
1993
·
1 author
473
citations
Futures and Options: Theory and Applications.
The Journal of Finance
·
1993
·
3 authors
·
other
71
citations
One Market? Stocks, Futures, and Options During October 1987
The Journal of Finance
·
1992
·
2 authors
66
citations
Dividends and S&P 100 index option valuation
Journal of Futures Markets
·
1992
·
2 authors
116
citations
Market volatility prediction and the efficiency of the S & P 100 index option market
Journal of Financial Economics
·
1992
·
2 authors
297
citations
S&P 100 Index Option Volatility
The Journal of Finance
·
1991
·
2 authors
135
citations
Expiration-Day Effects: What Has Changed?
Financial Analysts Journal
·
1991
·
2 authors
110
citations
The Dynamics of Stock Index and Stock Index Futures Returns
Journal of Financial and Quantitative Analysis
·
1990
·
2 authors
803
citations
Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets
The Journal of Finance
·
1990
·
2 authors
444
citations
Stock Market Structure and Volatility
Review of Financial Studies
·
1990
·
2 authors
544
citations
Program Trading and Individual Stock Returns: Ingredients of the Triple-Witching Brew
The Journal of Business
·
1990
·
2 authors
·
other
61
citations
Volatility and futures
The Journal of Portfolio Management
·
1988
·
2 authors
40
citations
Efficient Analytic Approximation of American Option Values
The Journal of Finance
·
1987
·
2 authors
1,128
citations
Program Trading and Expiration-Day Effects
Financial Analysts Journal
·
1987
·
2 authors
207
citations
The valuation of American call options and the expected ex-dividend stock price decline
Journal of Financial Economics
·
1986
·
2 authors
55
citations
Valuation of American Futures Options: Theory and Empirical Tests
The Journal of Finance
·
1986
·
1 author
175
citations
Transaction costs and the small firm effect
Journal of Financial Economics
·
1983
·
2 authors
529
citations
Valuation of American call options on dividend-paying stocks
Journal of Financial Economics
·
1982
·
1 author
319
citations
On the valuation of American call options on stocks with known dividends
Journal of Financial Economics
·
1981
·
1 author
267
citations