David Weinbaum

Syracuse University

Associate Professor of Finance

Syracuse, NY

United States

SCHOLARLY PAPERS

13

DOWNLOADS
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14,271

CITATIONS
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Top 2,555

in Total Papers Citations

218

Scholarly Papers (13)

1.

Deviations from Put-Call Parity and Stock Return Predictability

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 51 Posted: 05 Mar 2007 Last Revised: 18 Jul 2008
Martijn Cremers and David Weinbaum
University of Notre Dame and Syracuse University
Downloads 3,465 (1,682)
Citation 54

Abstract:

options, predictability, put-call parity

2.

The Economic Consequences of Perk Disclosure

Johnson School Research Paper Series No. 06-2011, AFA 2011 Denver Meetings Paper
Number of pages: 55 Posted: 19 Mar 2008 Last Revised: 04 Apr 2015
Yaniv Grinstein, David Weinbaum and Nir Yehuda
Cornell University - Samuel Curtis Johnson Graduate School of Management, Syracuse University and University of Texas at Dallas - Department of Accounting & Information Management
Downloads 2,590 (3,361)
Citation 5

Abstract:

CEO Compensation, Perks

3.

Individual Stock-Option Prices and Credit Spreads

Yale ICF Working Paper No. 04-14; EFA 2004 Maastricht Meetings Paper No. 5147
Number of pages: 56 Posted: 30 Jun 2004
University of Notre Dame, Tilburg University - Department of Finance, INSEAD - Finance and Syracuse University
Downloads 2,119 (4,662)
Citation 69

Abstract:

4.

Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry

Yale ICF Working Paper No. 06-34
Number of pages: 41 Posted: 20 Mar 2005
University of Notre Dame, Tilburg University - Department of Finance, INSEAD - Finance and Syracuse University
Downloads 1,464 (8,538)
Citation 21

Abstract:

5.

Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns

Journal of Finance, Forthcoming
Number of pages: 62 Posted: 06 Mar 2010 Last Revised: 17 Apr 2014
Martijn Cremers, Michael Halling and David Weinbaum
University of Notre Dame, Swedish House of Finance and Syracuse University
Downloads 1,114 (9,682)
Citation 5

Abstract:

cross-sectional asset pricing, aggregate jump risk, aggregate volatility risk, option returns

6.

A Conditional Extreme Value Volatility Estimator Based on High-Frequency Returns

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 43 Posted: 22 Jan 2007
Turan G. Bali and David Weinbaum
Georgetown University - Robert Emmett McDonough School of Business and Syracuse University
Downloads 936 (18,052)
Citation 4

Abstract:

extreme value, realized volatility, high-frequency returns, GARCH, implied volatility

Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model

BIS Working Paper No. 191
Number of pages: 51 Posted: 20 Sep 2007
University of Notre Dame, Tilburg University - Department of Finance, INSEAD - Finance and Syracuse University
Downloads 232 (104,411)
Citation 49

Abstract:

8.

Investor Heterogeneity, Asset Pricing and Volatility Dynamics

Journal of Economic Dynamics and Control, Forthcoming, Johnson School Research Paper Series No. #13-09
Number of pages: 34 Posted: 24 Dec 2008 Last Revised: 14 Apr 2009
David Weinbaum
Syracuse University
Downloads 497 (43,278)
Citation 5

Abstract:

Preference heterogeneity, volatility, general equilibrium

9.

Preference Heterogeneity and Asset Prices: An Exact Solution

Journal of Banking and Finance, Forthcoming
Number of pages: 29 Posted: 24 Nov 2009 Last Revised: 06 Apr 2010
David Weinbaum
Syracuse University
Downloads 299 (79,222)
Citation 6

Abstract:

10.

Where Do Informed Traders Trade First? Option Trading Activity, News Releases, and Stock Return Predictability

11th Annual Mid-Atlantic Research Conference in Finance (MARC)
Number of pages: 48 Posted: 02 Jan 2015 Last Revised: 15 Dec 2015
Martijn Cremers, Andy Fodor and David Weinbaum
University of Notre Dame, Ohio University and Syracuse University
Downloads 257 (47,302)

Abstract:

option trading, news releases, informed investors, information processing, asymmetric information

11.

News Content, Investor Misreaction, and Stock Return Predictability

Number of pages: 33 Posted: 02 Sep 2015
Muris Hadzic, David Weinbaum and Nir Yehuda
Whitman School of Management, Syracuse University, Syracuse University and University of Texas at Dallas - Department of Accounting & Information Management
Downloads 129 (85,271)

Abstract:

media, news, stock return predictability, delayed reaction

12.

Inferring Aggregate Market Expectations from the Cross-Section of Stock Prices

Number of pages: 57 Posted: 16 Nov 2016 Last Revised: 14 Mar 2017
D. Craig Nichols and David Weinbaum
Cornell University - Samuel Curtis Johnson Graduate School of Management and Syracuse University
Downloads 0 (243,328)

Abstract:

equity premium, stock return predictability, valuation models

13.

News Dispersion, Asymmetric Verification and Conservatism

Posted: 05 Oct 2014
Joseph Comprix, Huichi Huang, David Weinbaum and Nir Yehuda
Syracuse University, Oregon State University - College of Business, Syracuse University and University of Texas at Dallas - Department of Accounting & Information Management

Abstract:

Conservatism, Bad News, Good News, Dispersion