Robert E. Whaley

Vanderbilt University - Finance

Valere Blair Potter Professor of Management

401 21st Avenue South

Nashville, TN 37203

United States

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 971

SSRN RANKINGS

Top 971

in Total Papers Downloads

21,889

CITATIONS
Rank 1,029

SSRN RANKINGS

Top 1,029

in Total Papers Citations

526

Scholarly Papers (23)

1.

Understanding VIX

Number of pages: 13 Posted: 09 Nov 2008 Last Revised: 08 Dec 2008
Robert E. Whaley
Vanderbilt University - Finance
Downloads 9,771 (252)
Citation 13

Abstract:

VIX, market volatitility, fear gauge, barometer of fear

2.
Downloads 1,389 ( 10,517)
Citation 29

Commodity Index Investing and Commodity Futures Prices

Number of pages: 69 Posted: 25 Sep 2009
Hans R. Stoll and Robert E. Whaley
Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 1,039 (16,262)
Citation 28

Abstract:

commodity index investing, excessive speculation, investment flows, index rolls

Commodity Index Investing and Commodity Futures Prices

Journal of Applied Finance (Formerly Financial Practice and Education), Vol. 20, No. 1, 2010
Number of pages: 40 Posted: 04 Dec 2015
Hans R. Stoll and Robert E. Whaley
Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 350 (70,537)
Citation 29

Abstract:

3.

Hedge Fund Risk Dynamics: Implications for Performance Appraisal

AFA 2008 New Orleans Meetings Paper
Number of pages: 63 Posted: 04 Mar 2007
Nicolas P. B. Bollen and Robert E. Whaley
Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 1,233 (11,617)
Citation 32

Abstract:

hedge funds, factor models, time-varying beta

4.

Modeling the Bid/ask Spread: Measuring the Inventory-holding Premium

Number of pages: 57 Posted: 05 Dec 2002
Nicolas P. B. Bollen, Robert E. Whaley and Tom Smith
Vanderbilt University - Finance, Vanderbilt University - Finance and University of Queensland
Downloads 1,035 (15,157)
Citation 24

Abstract:

market microstructure, determinants of spread, option value

Trading Relative Performance with Alpha Indexes

Number of pages: 38 Posted: 16 Oct 2010 Last Revised: 23 Nov 2012
Jacob S. Sagi and Robert E. Whaley
University of North Carolina Kenan-Flagler Business School and Vanderbilt University - Finance
Downloads 986 (17,623)

Abstract:

Options and Futures on Relative Performance, Trading Correlation, Alpha Indexes

Trading Relative Performance with Alpha Indexes

Financial Analysts Journal, Vol. 67, No. 6, 2011
Posted: 23 Nov 2011
Jacob S. Sagi and Robert E. Whaley
University of North Carolina Kenan-Flagler Business School and Vanderbilt University - Finance

Abstract:

Derivatives: Futures Markets and Instruments, Options Markets and Instruments

6.

Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?

AFA 2003 Washington, DC Meetings
Number of pages: 54 Posted: 08 Aug 2002
Nicolas P. B. Bollen and Robert E. Whaley
Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 927 (18,725)
Citation 141

Abstract:

Option valuation, market efficiency, limits to arbitrage

7.

Failure to Exercise Call Options: An Anomaly and a Trading Game

Number of pages: 52 Posted: 20 Mar 2007
Veronika Krepely Pool, Hans R. Stoll and Robert E. Whaley
Indiana University - Kelley School of Business - Department of Finance, Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 734 (23,285)
Citation 8

Abstract:

Ex-dividend, call option exercise, dividend spread

8.

Commodity Index Investing: Speculation or Diversification?

Number of pages: 27 Posted: 05 Jul 2010
Hans R. Stoll and Robert E. Whaley
Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 656 (26,058)
Citation 5

Abstract:

commodity index investing, speculation, futures prices

9.

Stock Option Contract Adjustments: The Case of Special Dividends

Number of pages: 42 Posted: 15 Nov 2009 Last Revised: 17 Nov 2012
Kathryn Barraclough, Hans R. Stoll and Robert E. Whaley
Vanderbilt University - Finance, Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 487 (43,615)
Citation 1

Abstract:

stock option, special dividend, contract adjustment, displaced diffusion process, nested binomial lattices

10.

Ownership, Competition, and Financial Disclosure

Number of pages: 34 Posted: 17 Jun 2006
Chris Bilson, Jacqueline Birt, Tom Smith and Robert E. Whaley
Australian National University (ANU) - Faculty of Economics & Commerce, Australian National University (ANU) - School of Business and Information Management, University of Queensland and Vanderbilt University - Finance
Downloads 486 (45,977)
Citation 4

Abstract:

competition, ownership, financial disclosure

11.

Regulation Fair Disclosure and the Cost of Adverse Selection

Journal of Accounting Research, Vol. 46, Issue 3, pp. 697–728, June 2008,
Number of pages: 40 Posted: 20 Jul 2006 Last Revised: 28 Nov 2012
UNSW Australia Business School, School of Accounting, University of Queensland, Vanderbilt University - Finance and Vanderbilt University - Accounting
Downloads 403 (56,094)
Citation 20

Abstract:

adverse selection, Reg FD, bid/ask spread, private information

12.

Using Option Prices to Infer Overpayments and Synergies in M&A Transactions

Vanderbilt Owen Graduate School of Management Research Paper No. 2012-02
Number of pages: 47 Posted: 12 Oct 2011 Last Revised: 12 Dec 2012
Vanderbilt University - Finance, Fuqua School of Business, Duke University, University of Queensland and Vanderbilt University - Finance
Downloads 392 (53,503)
Citation 4

Abstract:

takeover offers, option-implied values for bidder and target gains and news

13.

Early Exercise of Put Options on Stocks

Journal of Finance, Forthcoming
Number of pages: 58 Posted: 17 Aug 2011 Last Revised: 17 Nov 2012
Kathryn Barraclough and Robert E. Whaley
Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 347 (57,439)
Citation 1

Abstract:

put options on stocks, early exercise, failure to exercise

14.

Political Regimes, Business Cycles, Seasonalities, and Returns

Number of pages: 61 Posted: 17 Jun 2006 Last Revised: 22 Dec 2008
John G. Powell, Jing Shi, Tom Smith and Robert E. Whaley
Massey University - Department of Finance Banking and Property, RMIT University - School of Economics, Finance and Marketing, University of Queensland and Vanderbilt University - Finance
Downloads 329 (70,224)
Citation 5

Abstract:

persistent regimes, regime difference tests, spurious regression, dummy variable

15.

The Persistent Presidential Dummy

Number of pages: 31 Posted: 17 Jun 2006
John G. Powell, Jing Shi, Tom Smith and Robert E. Whaley
Massey University - Department of Finance Banking and Property, RMIT University - School of Economics, Finance and Marketing, University of Queensland and Vanderbilt University - Finance
Downloads 320 (66,044)
Citation 9

Abstract:

spurious regression, persistence, data mining, dummy variable

16.

Implied Volatility Functions: Empirical Tests

NBER Working Paper No. w5500
Number of pages: 36 Posted: 01 Jul 1998
Bernard Dumas, Jeff Fleming and Robert E. Whaley
INSEAD, Rice University - Jesse H. Jones Graduate School of Business and Vanderbilt University - Finance
Downloads 256 (100,408)
Citation 219

Abstract:

17.

Common Divisors, Payout Persistence, and Return Predictability

International Review of Finance, Vol. 9, No. 4, pp. 335-357, December 2009
Number of pages: 23 Posted: 08 Dec 2009
John G. Powell, Jing Shi, Tom Smith and Robert E. Whaley
Massey University - Department of Finance Banking and Property, RMIT University - School of Economics, Finance and Marketing, University of Queensland and Vanderbilt University - Finance
Downloads 2 (544,931)
Citation 4
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Abstract:

18.

Trading Volatility: At What Cost?

Posted: 07 May 2013
Robert E. Whaley
Vanderbilt University - Finance

Abstract:

volatility trading, VIX ETPs, contango

Put Option Exercise and Short Stock Interest Arbitrage

Journal of Investment Management, Forthcoming, Vanderbilt Owen Graduate School of Management Research Paper No. 2144456
Posted: 10 Sep 2012 Last Revised: 19 Jun 2013
Kathryn Barraclough and Robert E. Whaley
Vanderbilt University - Finance and Vanderbilt University - Finance

Abstract:

Put options on stocks, early exercise, failure to exercise

Put Option Exercise and Short Stock Interest Arbitrage

Journal of Investment Management (JOIM), First Quarter 2013
Posted: 20 May 2013
Kathryn Barraclough and Robert E. Whaley
Vanderbilt University - Finance and Vanderbilt University - Finance

Abstract:

Put options on stocks, early exercise, failure to exercise

20.

Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets

Posted: 24 Oct 1999
Jeff Fleming, Barbara Ostdiek and Robert E. Whaley
Rice University - Jesse H. Jones Graduate School of Business, Rice University - Jesse H. Jones Graduate School of Business and Vanderbilt University - Finance

Abstract:

21.

Implied Volatility Smiles: Empirical Tests

Posted: 10 Oct 1998
Bernard Dumas, Jeff Fleming and Robert E. Whaley
INSEAD, Rice University - Jesse H. Jones Graduate School of Business and Vanderbilt University - Finance

Abstract:

22.

Innovations: Valuing S&P 500 Bear Market Warrants with a Periodic Reset

J. OF DERIVATIVES, Fall 1997
Posted: 06 Nov 1997
Stephen Gray and Robert E. Whaley
affiliation not provided to SSRN and Vanderbilt University - Finance

Abstract:

23.

Assessing Goodness-of-Fit of Asset Pricing Models: The Distribution of the Maximal R2

JOURNAL OF FINANCE, Vol 52 No 2, June 1997
Posted: 10 Mar 1997
F. Douglas Foster, Tom Smith and Robert E. Whaley
The University of Sydney - Discipline of Finance, University of Queensland and Vanderbilt University - Finance

Abstract: