Paul Whelan

The Chinese University of Hong Kong

Associate Professor

The Chinese University of Hong Kong

Finance Department

Copenhagen, DC 1854

Hong Kong

SCHOLARLY PAPERS

10

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Top 9,542

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9,322

SSRN CITATIONS
Rank 12,043

SSRN RANKINGS

Top 12,043

in Total Papers Citations

103

CROSSREF CITATIONS

32

Scholarly Papers (10)

1.
Downloads 3,157 ( 7,564)
Citation 4

The Overnight Drift

FRB of New York Staff Report No. 917, February 2020, Rev. August 2022
Number of pages: 98 Posted: 02 Mar 2020 Last Revised: 16 Aug 2022
Federal Reserve Banks - Federal Reserve Bank of New York, Copenhagen Business School and The Chinese University of Hong Kong
Downloads 3,156 (7,437)
Citation 1

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overnight returns, immediacy, inventory risk, volatility risk

The Overnight Drift

CEPR Discussion Paper No. DP14462
Number of pages: 66 Posted: 25 Mar 2020
Federal Reserve Banks - Federal Reserve Bank of New York, Copenhagen Business School and The Chinese University of Hong Kong
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Equity Risk, Intraday Immediacy, Inventory management, Overnight Returns

2.

The Derivative Payoff Bias

Number of pages: 70 Posted: 20 Sep 2023 Last Revised: 30 May 2024
Erasmus University Rotterdam (EUR), Copenhagen Business School and The Chinese University of Hong Kong
Downloads 1,787 (18,641)

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Stocks, Derivatives, Futures, Market Microstructure, Market Design

3.
Downloads 1,466 (25,239)
Citation 44

Central Bank Communication and the Yield Curve

Number of pages: 85 Posted: 22 Nov 2016 Last Revised: 15 Jun 2020
Stanford University, Boston University - Department of Finance & Economics, Warwick Business School and The Chinese University of Hong Kong
Downloads 1,465 (24,858)
Citation 83

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interest rates, monetary policy, central bank communication, risk premia, Eurozone

Central Bank Communication and the Yield Curve

CEPR Discussion Paper No. DP12970
Number of pages: 63 Posted: 11 Jun 2018
Stanford University, Boston University - Department of Finance & Economics, Warwick Business School and The Chinese University of Hong Kong
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central bank communication, Eurozone, interest rates, monetary policy, risk premia

4.

Foreign Exchange Fixings and Returns Around the Clock

Journal of Finance forthcoming, Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2022
Number of pages: 69 Posted: 11 Feb 2020 Last Revised: 28 May 2024
Ingomar Krohn, Philippe Mueller and Paul Whelan
Bank of Canada, Warwick Business School Finance Group and The Chinese University of Hong Kong
Downloads 955 (46,822)
Citation 8

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foreign-exchange, fixings, high-frequency returns, inventory management, intermediation

5.
Downloads 910 (46,695)
Citation 19

Speculation, Sentiment, and Interest Rates

Number of pages: 49 Posted: 17 Jul 2011 Last Revised: 12 Jun 2023
Andrea Buraschi and Paul Whelan
Imperial College Business School and The Chinese University of Hong Kong
Downloads 910 (49,318)
Citation 19

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Fixed income, Bond Risk Premia, Heterogeneous Agents, Speculation

Macroeconomic Uncertainty, Difference in Beliefs, and Bond Risk Premia

CAREFIN Research Paper No. 27/2010
Posted: 05 Apr 2011
Andrea Buraschi and Paul Whelan
Imperial College Business School and The Chinese University of Hong Kong

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Fixed income, difference in beliefs, heterogeneous economies, term structure

6.

Subjective Bond Returns and Belief Aggregation

Saïd Business School WP 2016-36
Number of pages: 45 Posted: 25 Apr 2019 Last Revised: 11 Aug 2021
Andrea Buraschi, Ilaria Piatti and Paul Whelan
Imperial College Business School, Queen Mary University of London - School of Economics and Finance and The Chinese University of Hong Kong
Downloads 424 (131,873)
Citation 14

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Forecasting, Forecast Combinations, Heterogeneous Beliefs, Bond Returns.

7.

Bond Markets and Monetary Policy

Handbook of Fixed-Income Securities, First Edition. Edited by Pietro Veronesi. 2015 John Wiley Sons, Inc.
Number of pages: 25 Posted: 24 Jun 2015 Last Revised: 02 Jul 2015
Andrea Buraschi and Paul Whelan
Imperial College Business School and The Chinese University of Hong Kong
Downloads 281 (206,134)

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interest rates, conventional, monetary policy, taylor rules, FOMC, risk premia

8.

Bond Markets and Unconventional Monetary Policy

Handbook of Fixed-Income Securities, First Edition. Edited by Pietro Veronesi. c 2015 John Wiley Sons, Inc.
Number of pages: 40 Posted: 24 Jun 2015 Last Revised: 02 Jul 2015
Andrea Buraschi and Paul Whelan
Imperial College Business School and The Chinese University of Hong Kong
Downloads 275 (210,810)
Citation 1

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Interest Rates, Monetary Policy, Quantitative Easing, LSAPs, Financial Crisis

9.

Subjective Risk Premia in Bond and FX Markets

Number of pages: 88 Posted: 30 May 2024
Ilaria Piatti, Paul Whelan and Daniel Pesch
Queen Mary University of London - School of Economics and Finance, The Chinese University of Hong Kong and University of Oxford - Said Business School
Downloads 43 (774,781)

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JEL classification: D9, E3, E4, G12 Subjective Beliefs, Bond Risk Premia. Exchange Rate Risk Premia, International Finance, Forecast Errors, Rational Expectations

10.

Money as Options

Number of pages: 44 Posted: 30 May 2024
Paul Whelan and Carsten Sørensen
The Chinese University of Hong Kong and Copenhagen Business School - Department of Finance
Downloads 24 (931,891)

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Interest rates, inflation, deflation, money, lower bound, general equilibrium.