Robert Brooks

University of Alabama - Department of Economics, Finance and Legal Studies

Wallace D. Malone, Jr. Endowed Chair of Financial Management

P.O. Box 870244

Tuscaloosa, AL 35487

United States

http://www.frmhelp.com

SCHOLARLY PAPERS

25

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Scholarly Papers (25)

1.

A Life Cycle View of Enterprise Risk Management: The Case of Southwest Airlines Jet Fuel Hedging

Journal of Financial Education, Vol. 38, No. 3/4, 2012.
Number of pages: 17 Posted: 20 Feb 2010 Last Revised: 03 Nov 2012
Robert Brooks
University of Alabama - Department of Economics, Finance and Legal Studies
Downloads 792 (30,195)
Citation 2

Abstract:

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Hedging, Jet Fuel, Risk Management

2.

A General Option Valuation Approach to Discount for Lack of Marketability

Number of pages: 32 Posted: 15 Jan 2014 Last Revised: 08 Nov 2014
Robert Brooks
University of Alabama - Department of Economics, Finance and Legal Studies
Downloads 633 (40,925)

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Discount for lack of marketability, derivatives, put options, lookback options

3.

Structured Risk Assessment and Value-at-Risk

UA EFLS Working Paper No. 02-06-01
Number of pages: 23 Posted: 23 Jan 2003
University of Alabama - Department of Economics, Finance and Legal Studies, Mississippi State University - Department of Marketing, Quantitative Analysis and Business Law and Rutgers, The State University of New Jersey - Management Science & Information Systems
Downloads 613 (42,687)

Abstract:

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Risk management, value-at-risk, real-time assessment

4.

Basis Options Delta Hedging

Number of pages: 21 Posted: 06 Oct 2005
Robert Brooks and Brandon N. Cline
University of Alabama - Department of Economics, Finance and Legal Studies and Mississippi State University
Downloads 585 (45,434)

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Options, Options on Futures Spreads, Lognormal, Normal

5.

Private Information and the Exercise of Executive Stock Options

Number of pages: 45 Posted: 28 Sep 2005 Last Revised: 30 Oct 2007
Robert Brooks, Don M. Chance and Brandon N. Cline
University of Alabama - Department of Economics, Finance and Legal Studies, Louisiana State University, Baton Rouge - Department of Finance and Mississippi State University
Downloads 543 (49,914)
Citation 5

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Executive stock options, stock options, option exercises, private information, executive compensation, insider trading, insider information

6.

Information in the Term Structure of Libor Interest Rates

Number of pages: 28 Posted: 29 Sep 2005
Robert Brooks and Brandon N. Cline
University of Alabama - Department of Economics, Finance and Legal Studies and Mississippi State University
Downloads 330 (90,913)

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Term structure, expectations hypothesis, Eurodollar futures, LIBOR

7.

Option Valuation Based on Arithmetic Brownian Motion: Justification and Implementation Issues

Number of pages: 26 Posted: 05 Mar 2013 Last Revised: 03 Nov 2016
Robert Brooks and Joshua Andrew Brooks
University of Alabama - Department of Economics, Finance and Legal Studies and Lander University
Downloads 280 (108,634)

Abstract:

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Arithmetic Brownian Motion, Geometric Brownian Motion, Option Valuation, Black-Scholes-Merton option pricing model

History of the Forecasters: An Assessment of the Semi-Annual U.S. Treasury Bond Yield Forecast Survey as Reported in the Wall Street Journal

UA Finance Working Paper No. 03-06-01
Number of pages: 12 Posted: 01 Dec 2003
Robert Brooks and J. Brian Gray
University of Alabama - Department of Economics, Finance and Legal Studies and University of Alabama
Downloads 275 (110,244)
Citation 1

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Economic forecasts, Interest Rates, Treasury bonds

History of the Forecasters: An Assessment of the Semi-Annual U.S. Treasury Bond Yield Forecast Survey as Reported in the Wall Street Journal

Journal of Portfolio Management, Forthcoming
Posted: 21 Jan 2004
Robert Brooks and J. Brian Gray
University of Alabama - Department of Economics, Finance and Legal Studies and University of Alabama

Abstract:

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Economic forecasts, Interest Rates, Treasury bonds

9.

A Distributional Approach for Single Factor Option Valuation Models

Number of pages: 43 Posted: 14 Oct 2002
Robert Brooks
University of Alabama - Department of Economics, Finance and Legal Studies
Downloads 233 (131,315)

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Options, option valuation models, derivatives securities

10.

The Securities Litigation Reform and its Impact on Analyst Research

Number of pages: 51 Posted: 20 Oct 2004
Robert Brooks and Huabing Barbara Wang
University of Alabama - Department of Economics, Finance and Legal Studies and University of Alabama - Department of Economics, Finance and Legal Studies
Downloads 173 (173,297)
Citation 1

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Securities Litigation, Safe Harbor Provisions, Analysts Recommendations

11.

Ethics in Academic Finance: A Normative Apology

Number of pages: 25 Posted: 12 Jul 2013 Last Revised: 08 Nov 2014
Robert Brooks
University of Alabama - Department of Economics, Finance and Legal Studies
Downloads 125 (226,238)

Abstract:

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Ethics, Finance, Philosophy, Worldviews

12.

A Comparison of the Information in the LIBOR and CMT Term Structures of Interest Rates

Number of pages: 41 Posted: 12 Feb 2014
Robert Brooks, Brandon N. Cline and Walter Enders
University of Alabama - Department of Economics, Finance and Legal Studies, Mississippi State University and University of Alabama - Department of Economics, Finance and Legal Studies
Downloads 116 (239,182)

Abstract:

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Term Structure, Expectations Hypothesis, LIBOR, Forward Rates

13.

Covered Calls on the S&P 500: Resolution of an Anomaly

Number of pages: 45 Posted: 20 Mar 2018
Robert Brooks, Don M. Chance and Michael Lee Hemler
University of Alabama - Department of Economics, Finance and Legal Studies, Louisiana State University, Baton Rouge - Department of Finance and University of Notre Dame - Department of Finance (deceased)
Downloads 115 (240,680)

Abstract:

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options, call options, covered call writing, performance evaluation, alpha

14.

Smooth Volatility Shifts and Spillovers in U.S. Crude Oil and Corn Futures Markets

Journal of Empirical Finance, Vol. 38, Part A, September 2016, Pages 22-36, ISSN 0927-5398, DOI 10.1016/j.jempfin.2016.05.005.
Number of pages: 33 Posted: 12 Dec 2016
Pavel Teterin, Robert Brooks and Walter Enders
University of Alabama - Department of Economics, Finance and Legal Studies, University of Alabama - Department of Economics, Finance and Legal Studies and University of Alabama - Department of Economics, Finance and Legal Studies
Downloads 87 (290,241)

Abstract:

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corn futures, crude oil futures, multivariate GARCH, volatility breaks, Fourier flexible form, variance impulse response function

15.

Some Subtle Relationships and Results in Option Pricing

Journal of Applied Finance (Formerly Financial Practice and Education), Vol. 24, No. 1, 2014
Number of pages: 17 Posted: 31 Oct 2015
Robert Brooks and Don M. Chance
University of Alabama - Department of Economics, Finance and Legal Studies and Louisiana State University, Baton Rouge - Department of Finance
Downloads 68 (334,862)

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An Enterprise Perspective of Performance Attribution: Introducing the Keel Model

Number of pages: 44 Posted: 23 May 2015
Robert Brooks
University of Alabama - Department of Economics, Finance and Legal Studies
Downloads 55 (378,225)

Abstract:

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Enterprise risk management, Performance attribution, Return decomposition, Term structure of interest rates, Duration, Convexity

An Enterprise Perspective of Performance Attribution: Introducing the Keel Model

Journal of Risk, Vol. 20, No. 2, 2017
Number of pages: 32 Posted: 07 Dec 2017
Robert Brooks
University of Alabama - Department of Economics, Finance and Legal Studies
Downloads 1 (685,416)
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enterprise risk management, performance attribution, return decomposition, term structure of interest rates, duration, convexity

17.

Samuelson Hypothesis of the Maturity Effect and Carry Arbitrage: U. S. and China

Number of pages: 51 Posted: 13 Dec 2018
Robert Brooks
University of Alabama - Department of Economics, Finance and Legal Studies
Downloads 38 (433,065)

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Samuelson Hypothesis, Carry Arbitrage, Maturity Effect, Volatility

18.

Information in the U.S. Treasury Term Structure of Interest Rates

Financial Review, Vol. 47, Issue 2, pp. 247-272, 2012
Number of pages: 26 Posted: 21 Apr 2012
Robert Brooks, Brandon N. Cline and Walter Enders
University of Alabama - Department of Economics, Finance and Legal Studies, Mississippi State University and University of Alabama - Department of Economics, Finance and Legal Studies
Downloads 1 (653,079)
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term structure, expectations hypothesis, U.S. Treasury yields, forward rates

19.

Bond Holding Period Return Decomposition

Posted: 21 May 2019
Robert Brooks
University of Alabama - Department of Economics, Finance and Legal Studies

Abstract:

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Bonds, Return decomposition, Term structure of interest rates, Duration, Convexity

20.

Pricing of the Option to Delay the Purchase of Extended Service Contracts

Journal of Retailing and Consumer Services, Vol. 3, No. 4, October 1996
Posted: 12 Mar 2012
Robert Brooks and Darin W. White
University of Alabama - Department of Economics, Finance and Legal Studies and Samford University - Brock School of Business

Abstract:

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Extended Service Contracts, Warranties, Automotive Retailing

21.

Samuelson Hypothesis and Carry Arbitrage

Journal of Derivatives, Vol. 20, No. 2, 2012
Posted: 15 Mar 2010 Last Revised: 03 Nov 2012
Robert Brooks
University of Alabama - Department of Economics, Finance and Legal Studies

Abstract:

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Samuelson hypothesis, carry arbitrage, futures markets

22.

The Pricing of Index Options When the Underlying Assets All Follow a Lognormal Diffusion

ADVANCES IN FUTURES AND OPTIONS RESEARCH, Volume 7, 1994
Posted: 18 Jul 2001
Robert Brooks, Jon Corson and J. Donal Wales
University of Alabama - Department of Economics, Finance and Legal Studies, University of Alabama - Department of Mathematics and affiliation not provided to SSRN

Abstract:

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23.

Components of the Bid-Ask Spread of Default-Risky Interest Rate Swaps

ADVANCES IN FUTURES AND OPTIONS RESEARCH, Volume 7, 1994
Posted: 12 May 2000
Robert Brooks and Davinder K. Malhotra
University of Alabama - Department of Economics, Finance and Legal Studies and Thomas Jefferson University

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24.

A Lattice Approach to Interest Rate Spread Options

JOURNAL OF FINANCIAL ENGINEERING, Vol 4 No 3, September 1995
Posted: 28 Apr 1998
Robert Brooks
University of Alabama - Department of Economics, Finance and Legal Studies

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25.

Computing Yields on Enhanced CDS

J. OF FINANCIAL SERVICES REVIEW, Vol. 5 No. 1, 1996
Posted: 10 Oct 1996
Robert Brooks
University of Alabama - Department of Economics, Finance and Legal Studies

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