Robert Whitelaw

New York University

Professor

Stern School of Business

44 West 4th Street

New York, NY 10012-1126

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

40

DOWNLOADS
Rank 3,176

SSRN RANKINGS

Top 3,176

in Total Papers Downloads

15,142

SSRN CITATIONS
Rank 355

SSRN RANKINGS

Top 355

in Total Papers Citations

988

CROSSREF CITATIONS

1,522

Scholarly Papers (40)

1.

The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk

Number of pages: 12 Posted: 07 Jan 1998
Matthew P. Richardson, Jacob Boudoukh and Robert Whitelaw
New York University (NYU) - Department of Finance, Interdisciplinary Center (IDC) Herzliyah and New York University
Downloads 3,493 (4,027)
Citation 1

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Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

Number of pages: 49 Posted: 03 Sep 2008 Last Revised: 27 Feb 2012
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and New York University
Downloads 1,677 (13,115)
Citation 36

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expected stock returns, maximum returns, idiosyncratic volatility, skewness

Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

NYU Working Paper No. FIN-08-025
Number of pages: 44 Posted: 09 Mar 2009 Last Revised: 27 Feb 2012
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and New York University
Downloads 238 (164,169)
Citation 98

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Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

Number of pages: 50 Posted: 24 Mar 2009 Last Revised: 14 Jun 2021
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and New York University
Downloads 83 (379,028)

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3.
Downloads 1,055 ( 26,824)
Citation 16

The Real Value of China's Stock Market

Number of pages: 41 Posted: 14 Nov 2014
Jennifer N. Carpenter, Fangzhou Lu and Robert Whitelaw
New York University (NYU) - Department of Finance, The University of Hong Kong - Department of Finance and New York University
Downloads 506 (70,888)
Citation 12

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financial system development, economic growth, market segmentation, cross-sectional pricing, shadow banking

The Real Value of China's Stock Market

Number of pages: 41 Posted: 22 Jan 2018 Last Revised: 18 Nov 2021
Jennifer N. Carpenter, Fangzhou Lu and Robert Whitelaw
New York University (NYU) - Department of Finance, The University of Hong Kong - Department of Finance and New York University
Downloads 454 (80,958)
Citation 8

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capital allocation, price informativeness, market integration, global investing

The Real Value of China&Apos;S Stock Market

Number of pages: 47 Posted: 23 Feb 2015 Last Revised: 07 Oct 2021
Jennifer N. Carpenter, Fangzhou Lu and Robert Whitelaw
New York University (NYU) - Department of Finance, The University of Hong Kong - Department of Finance and New York University
Downloads 95 (348,006)
Citation 1

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Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

Number of pages: 41 Posted: 11 Aug 1999
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 694 (47,287)

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Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

NYU Working Paper No. FIN-99-040
Number of pages: 41 Posted: 11 Nov 2008
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 81 (384,744)

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Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

Number of pages: 42 Posted: 12 Jul 2000 Last Revised: 19 Sep 2021
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 54 (477,503)

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5.
Downloads 792 ( 40,104)
Citation 7

Time-Varying Sharpe Ratios and Market Timing

Number of pages: 30 Posted: 06 Oct 2011
Yi Tang and Robert Whitelaw
Fordham University - Gabelli School of Business and New York University
Downloads 563 (61,978)
Citation 7

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Sharpe ratio, predictability, stock market

Time-Varying Sharpe Ratios and Market Timing

NYU Working Paper No. 2451/29951
Number of pages: 30 Posted: 11 Nov 2008
Robert Whitelaw
New York University
Downloads 229 (170,402)

Abstract:

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Maxvar: Long Horizon Value at Risk in a Mark-to-Market Environment

Number of pages: 9 Posted: 26 Mar 2004
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business, New York University (NYU) - Department of Finance and New York University
Downloads 700 (46,806)
Citation 6

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Value at risk, drawdown risk, long horizon risk

Maxvar - Long Horizon Value at Risk in a Mark-to-Market Environment

Journal of Investment Management, Vol. 2, No. 3, Third Quarter 2004
Posted: 16 Sep 2004
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

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A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

Number of pages: 43 Posted: 13 Aug 1999
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business, New York University (NYU) - Department of Finance and New York University
Downloads 560 (62,399)

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A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

Number of pages: 44 Posted: 08 Jul 2000 Last Revised: 18 Sep 2021
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 43 (527,031)

Abstract:

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A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

NYU Working Paper No. FIN-99-042
Number of pages: 43 Posted: 11 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 36 (563,836)

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8.
Downloads 636 ( 53,736)
Citation 125

The Myth of Long-Horizon Predictability

Number of pages: 39 Posted: 05 Dec 2005
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 435 (85,183)
Citation 1

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long-horizon, predictability, joint tests, persistent regressors

The Myth of Long-Horizon Predictability

NYU Working Paper No. SC-AM-05-11
Number of pages: 40 Posted: 03 Nov 2008
Jacob Boudoukh and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah and New York University
Downloads 79 (390,479)

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The Myth of Long-Horizon Predictability

Number of pages: 39 Posted: 29 Mar 2006 Last Revised: 10 Nov 2021
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 77 (396,396)
Citation 18

Abstract:

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The Myth of Long-Horizon Predictability

NYU Working Paper No. FIN-05-031
Number of pages: 39 Posted: 03 Nov 2008
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 45 (517,416)
Citation 1

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The Myth of Long-Horizon Predictability

The Review of Financial Studies, Vol. 21, Issue 4, pp. 1577-1605, 2008
Posted: 08 Aug 2008
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University

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G12, G14, C12

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Number of pages: 54 Posted: 09 Oct 2011 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and New York University
Downloads 204 (190,258)

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tail risk, downside risk, under-diversification, expected stock returns

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

NYU Working Paper No. FIN-11-007
Number of pages: 54 Posted: 15 Oct 2011 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and New York University
Downloads 85 (373,609)

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Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Georgetown McDonough School of Business Research Paper No. 1993287
Number of pages: 54 Posted: 30 Jan 2012 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and New York University
Downloads 84 (376,297)

Abstract:

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tail risk, downside risk, under-diversification, expected stock returns

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Number of pages: 54 Posted: 15 Mar 2012 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and New York University
Downloads 78 (393,432)

Abstract:

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tail risk, downside risk, under-diversification, expected stock returns

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

NYU Working Paper No. FIN-11-007
Number of pages: 54 Posted: 06 Nov 2011 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and New York University
Downloads 71 (415,203)

Abstract:

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Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

NYU Working Paper No. 2451/31271, Georgetown McDonough School of Business Research Paper
Number of pages: 54 Posted: 10 Sep 2013 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and New York University
Downloads 53 (481,631)

Abstract:

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Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Number of pages: 47 Posted: 20 Sep 2013 Last Revised: 04 Sep 2021
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and New York University
Downloads 31 (593,106)
Citation 7

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On the Interest Rate Sensitivity of Corporate Securities

Number of pages: 69 Posted: 12 Sep 2013 Last Revised: 08 Mar 2021
Jaewon Choi, Matthew P. Richardson and Robert Whitelaw
University of Illinois at Urbana-Champaign - Department of Finance, New York University (NYU) - Department of Finance and New York University
Downloads 532 (66,603)

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On the Fundamental Relation between Equity Returns and Interest Rates

Number of pages: 51 Posted: 11 Jun 2014 Last Revised: 28 Feb 2021
Jaewon Choi, Matthew P. Richardson and Robert Whitelaw
University of Illinois at Urbana-Champaign - Department of Finance, New York University (NYU) - Department of Finance and New York University
Downloads 29 (605,996)

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11.

Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations

Number of pages: 45 Posted: 11 May 2001
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 479 (76,807)
Citation 13

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Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU-Stern, Finance Working Paper No. FIN-03-011
Number of pages: 54 Posted: 10 Jun 2003
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, JP Morgan Fleming Asset Management and New York University
Downloads 267 (146,382)

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excess volatility, nonlinear, state dependence

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU Working Paper No. S-DRP-03-05
Number of pages: 25 Posted: 07 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 32 (587,025)

Abstract:

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Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

Number of pages: 54 Posted: 26 Feb 2003 Last Revised: 31 Oct 2010
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, JP Morgan Fleming Asset Management and New York University
Downloads 26 (626,611)
Citation 1

Abstract:

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Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU Working Paper No. FIN-03-011
Number of pages: 55 Posted: 11 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 24 (641,362)
Citation 3

Abstract:

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Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU Working Paper No. SC-AM-03-04
Number of pages: 54 Posted: 04 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 18 (687,782)

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13.
Downloads 268 (146,413)
Citation 119

Uncovering the Risk Return Relation in the Stock Market

NYU Working Paper No. SC-AM-03-06
Number of pages: 42 Posted: 04 Nov 2008
Hui Guo and Robert Whitelaw
University of Cincinnati - Department of Finance - Real Estate and New York University
Downloads 119 (297,988)
Citation 3

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Uncovering the Risk-Return Relation in the Stock Market

NYU Working Paper No. FIN-03-021
Number of pages: 43 Posted: 11 Nov 2008
Hui Guo and Robert Whitelaw
University of Cincinnati - Department of Finance - Real Estate and New York University
Downloads 57 (465,646)
Citation 33

Abstract:

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Uncovering the Risk-Return Relation in the Stock Market

Number of pages: 42 Posted: 25 Aug 2003 Last Revised: 18 Aug 2021
Hui Guo and Robert Whitelaw
University of Cincinnati - Department of Finance - Real Estate and New York University
Downloads 49 (498,849)
Citation 12

Abstract:

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Uncovering the Risk-Return Relation in the Stock Market

NYU Working Paper No. S-MF-03-11
Number of pages: 42 Posted: 12 Nov 2008
Hui Guo and Robert Whitelaw
University of Cincinnati - Department of Finance - Real Estate and New York University
Downloads 43 (527,031)

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Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets

Number of pages: 54 Posted: 10 Jan 2003 Last Revised: 07 Oct 2021
Eli Ofek, Matthew P. Richardson and Robert Whitelaw
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University
Downloads 161 (234,585)
Citation 21

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Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets

NYU Working Paper No. S-DRP-02-08
Number of pages: 46 Posted: 07 Nov 2008
Eli Ofek, Matthew P. Richardson and Robert Whitelaw
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University
Downloads 99 (338,846)
Citation 1

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The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

Number of pages: 33 Posted: 27 Dec 2005 Last Revised: 08 Nov 2021
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 80 (387,612)
Citation 1

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The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. FIN-05-032
Number of pages: 33 Posted: 03 Nov 2008
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 62 (446,497)

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The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. S-DRP-05-06
Number of pages: 33 Posted: 13 Nov 2008
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 35 (575,231)

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The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. SC-AM-05-12
Number of pages: 34 Posted: 03 Nov 2008
Jacob Boudoukh and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah and New York University
Downloads 28 (612,722)

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The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. S-DRP-05-06
Number of pages: 33 Posted: 13 Nov 2008
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 25 (633,911)

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16.
Downloads 226 (173,779)
Citation 6

Optimal Risk Management Using Options

NYU Working Paper No. FIN-98-001
Number of pages: 24 Posted: 07 Nov 2008
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 146 (255,984)
Citation 1

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Optimal Risk Management Using Options

Number of pages: 45 Posted: 25 May 2006 Last Revised: 31 Oct 2021
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 80 (387,612)

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Optimal Risk Management Using Options

Posted: 21 Dec 1997
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University

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17.

An Explanation of the Forward Premium Puzzle: The Long and the Short of it

NYU Working Paper No. 2451/29950
Number of pages: 48 Posted: 09 Sep 2011
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 210 (186,213)

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18.

Stock Market Risk and Return: An Equilibrium Approach

NYU Working Paper No. FIN-98-073
Number of pages: 45 Posted: 11 Nov 2008
Robert Whitelaw
New York University
Downloads 181 (211,982)
Citation 63

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The Last Great Arbitrage: Exploiting the Buy-and-Hold Mutual Fund Investor

NYU Working Paper No. FIN-00-009
Number of pages: 37 Posted: 03 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business and New York University
Downloads 69 (421,813)

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Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

NYU Working Paper No. FIN-94-018
Number of pages: 48 Posted: 11 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 118 (299,778)
Citation 14

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Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

NYU Working Paper No. FIN-95-013
Number of pages: 52 Posted: 11 Nov 2008
Jacob Boudoukh, Richard Stanton and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business and New York University
Downloads 54 (481,631)
Citation 5

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Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

Posted: 21 Apr 1995
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

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Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

REVIEW OF FINANCIAL STUDIES, Vol. 10, No. 2
Posted: 02 Apr 1997
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

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21.

The Valuation and Hedging of Deferred Commission Asset Backed Securities

NYU Working Paper No. FIN-00-019
Number of pages: 32 Posted: 04 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, Lincoln Financial Group, New York University (NYU) - Department of Finance and New York University
Downloads 142 (260,970)

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Internet Message Board Activity and Market Efficiency: A Case Study of the Internet Service Sector Using Ragingbull.Com

NYU Working Paper No. 2451/25970
Number of pages: 23 Posted: 13 Oct 2008
Robert Tumarkin and Robert Whitelaw
UNSW Australia Business School, School of Banking and Finance and New York University
Downloads 123 (290,891)

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23.
Downloads 135 (270,185)

Risk and Return: Some New Evidence

NYU Working Paper No. S-AM-00-05
Number of pages: 43 Posted: 13 Nov 2008
Hui Guo and Robert Whitelaw
University of Cincinnati - Department of Finance - Real Estate and New York University
Downloads 61 (450,101)

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Risk and Return: Some New Evidence.

NYU Working Paper No. FIN-00-020
Number of pages: 43 Posted: 04 Nov 2008
Hui Guo and Robert Whitelaw
University of Cincinnati - Department of Finance - Real Estate and New York University
Downloads 41 (536,997)

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Risk and Return: Some New Evidence

NYU Working Paper No. S-MF-00-08
Number of pages: 43 Posted: 12 Nov 2008
Hui Guo and Robert Whitelaw
University of Cincinnati - Department of Finance - Real Estate and New York University
Downloads 33 (581,107)

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A New Strategy for Dynamically Hedging Mortgage-Backed Securities

NYU Working Paper No. FIN-94-019
Number of pages: 34 Posted: 11 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 128 (282,193)

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A New Strategy for Dynamically Hedging Mortgage-Backed Securities

Posted: 28 Apr 1998
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

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25.

The Valuation of Mutual Fund Contracts

NYU Working Paper No. SC-AM-03-09
Number of pages: 48 Posted: 04 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 119 (298,333)

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26.
Downloads 111 (311,527)
Citation 8

Comovement Revisited

Number of pages: 53 Posted: 19 Jun 2015
Honghui Chen, Vijay Singal and Robert Whitelaw
Department of Finance, University of Central Florida, Virginia Tech and New York University
Downloads 95 (348,006)

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market efficiency, non-fundamental comovement, asset class demand, time-varying betas

Comovement Revisited

Number of pages: 53 Posted: 22 Jun 2015 Last Revised: 26 Aug 2021
Honghui Chen, Vijay Singal and Robert Whitelaw
Department of Finance, University of Central Florida, Virginia Tech and New York University
Downloads 16 (703,842)
Citation 2

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27.

Do Asset Prices Reflect Fundamentals?

NYU Working Paper No. FIN-02-043
Number of pages: 51 Posted: 03 Nov 2008
Jacob Boudoukh, YuQing Shen and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, affiliation not provided to SSRN and New York University
Downloads 109 (319,495)

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28.

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Fcoj Market

NYU Working Paper No. SC-AM-02-07
Number of pages: 51 Posted: 13 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 97 (347,681)
Citation 1

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29.
Downloads 90 (357,375)

Regime Shifts and Bond Returns

NYU Working Paper No. S-MF-99-12
Number of pages: 41 Posted: 12 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of Queensland - Faculty of Business, Economics and Law and New York University
Downloads 62 (446,497)

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Regime Shifts and Bond Returns

NYU Working Paper No. FIN-99-010
Number of pages: 41 Posted: 07 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of Queensland - Faculty of Business, Economics and Law and New York University
Downloads 28 (612,722)

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Risk and Return: An Equilibrium Approach

NYU Working Paper No. FIN-95-033
Number of pages: 39 Posted: 11 Nov 2008
Robert Whitelaw
New York University
Downloads 51 (490,148)

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Risk and Return: An Equilibrium Approach

NYU Working Paper No. FIN-94-051
Number of pages: 30 Posted: 11 Nov 2008
Robert Whitelaw
New York University
Downloads 26 (626,611)

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31.

Ex Ante Bond Returns and the Yield Curve

NYU Working Paper No. FIN-96-017
Number of pages: 33 Posted: 07 Nov 2008
affiliation not provided to SSRN, New York University (NYU) - Department of Finance, University of Queensland - Faculty of Business, Economics and Law and New York University
Downloads 70 (413,450)

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The Price and Quantity of Interest Rate Risk

NYU Stern School of Business Forthcoming
Number of pages: 35 Posted: 21 Nov 2020
Jennifer N. Carpenter, Fangzhou Lu and Robert Whitelaw
New York University (NYU) - Department of Finance, The University of Hong Kong - Department of Finance and New York University
Downloads 64 (439,173)

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bond risk premia, bond Sharpe ratios, interest rate volatility, US Treasury bonds, Chinese government bonds, no arbitrage, principal components analysis

The Price and Quantity of Interest Rate Risk

Number of pages: 40 Posted: 08 Feb 2021 Last Revised: 18 Nov 2021
Jennifer N. Carpenter, Fangzhou Lu and Robert Whitelaw
New York University (NYU) - Department of Finance, The University of Hong Kong - Department of Finance and New York University
Downloads 3 (815,011)
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33.

Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets

NYU Working Paper No. FIN-02-034
Number of pages: 46 Posted: 03 Nov 2008
Eli Ofeka, Matthew P. Richardson and Robert Whitelaw
affiliation not provided to SSRN, New York University (NYU) - Department of Finance and New York University
Downloads 53 (473,841)

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34.

Hedging the Interest Rate Risk of Brady Bonds

NYU Working Paper No. FIN-96-016
Number of pages: 26 Posted: 07 Nov 2008
Boudoukh Jacob and Robert Whitelaw
affiliation not provided to SSRN and New York University
Downloads 50 (486,081)

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35.

The Development of China's Stock Market and Stakes for the Global Economy

Annual Review of Financial Economics, Vol. 9, pp. 233-257, 2017
Posted: 03 Jan 2018
Jennifer N. Carpenter and Robert Whitelaw
New York University (NYU) - Department of Finance and New York University

Abstract:

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36.

Stale Prices and Strategies for Trading Mutual Funds

Posted: 16 Apr 2003
New York University (NYU) - Department of Finance, New York University, Interdisciplinary Center (IDC) Herzliyah and New York University (NYU) - Leonard N. Stern School of Business

Abstract:

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Portfolio Management: trading and execution, Portfolio Management: private client focus

37.

New or Noise? Internet Postings and Stock Prices

Posted: 01 Aug 2001
Robert Tumarkin and Robert Whitelaw
UNSW Australia Business School, School of Banking and Finance and New York University

Abstract:

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38.

A Tale of Three Schools: Insights on Autocorrelations of Short Horizon Stock Returns

REVIEW OF FINANCIAL STUDIES Vol. 7, No. 3, 1994
Posted: 31 Dec 1998
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University

Abstract:

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39.

New Strategy for Dynamically Hedging Mortgage-Backed Securities

JOURNAL OF DERIVATIVES, Vol 2 No 4
Posted: 25 May 1998
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business, New York University (NYU) - Department of Finance and New York University

Abstract:

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40.

Hedging the Interest Rate Risk of Brady Bonds

96-50
Posted: 22 Jan 1997
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University

Abstract:

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