David Weinbaum

Syracuse University

Associate Professor of Finance

Syracuse, NY

United States

SCHOLARLY PAPERS

13

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CITATIONS
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32

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 4,213 (1,985)
Citation 100

Abstract:

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options, predictability, put-call parity

2.

The Economic Consequences of Perk Disclosure

Contemporary Accounting Research, Forthcoming, AFA 2011 Denver Meetings Paper
Number of pages: 49 Posted: 19 Mar 2008 Last Revised: 17 Jul 2017
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 2,631 (4,466)
Citation 16

Abstract:

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Perks, disclosure, executive compensation, governance

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 - Center and Faculty of Economics and Business Administration, INSEAD - Finance and Syracuse University
Downloads 2,199 (6,027)
Citation 54

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4.

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, Stockholm School of Economics & Swedish House of Finance and Syracuse University
Downloads 1,595 (10,334)
Citation 38

Abstract:

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

5.

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 - Center and Faculty of Economics and Business Administration, INSEAD - Finance and Syracuse University
Downloads 1,566 (10,672)
Citation 17

Abstract:

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6.

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

11th Annual Mid-Atlantic Research Conference in Finance (MARC), 28th Annual Conference on Financial Economics and Accounting
Number of pages: 56 Posted: 02 Jan 2015 Last Revised: 08 Feb 2019
University of Notre Dame, Ohio University, Boston College - Department of Finance and Syracuse University
Downloads 971 (22,269)
Citation 3

Abstract:

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Option Trading, News Releases, Informed Traders

7.

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 944 (23,187)
Citation 6

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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 - Center and Faculty of Economics and Business Administration, INSEAD - Finance and Syracuse University
Downloads 255 (117,808)
Citation 74

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9.

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 507 (53,740)
Citation 14

Abstract:

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Preference heterogeneity, volatility, general equilibrium

10.

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 331 (89,433)

Abstract:

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media, news, stock return predictability, delayed reaction

11.

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 304 (98,152)
Citation 10

Abstract:

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12.

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

Number of pages: 49 Posted: 25 Jul 2017 Last Revised: 14 Nov 2018
Turan G. Bali, Craig Nichols and David Weinbaum
Georgetown University - Robert Emmett McDonough School of Business, Syracuse University and Syracuse University
Downloads 202 (148,603)

Abstract:

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equity premium; future earnings response coefficients; 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:

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Conservatism, Bad News, Good News, Dispersion