Robert E. Whaley

Vanderbilt University - Finance

Valere Blair Potter Professor of Management

401 21st Avenue South

Nashville, TN 37203

United States

SCHOLARLY PAPERS

26

DOWNLOADS
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Top 4,297

in Total Papers Downloads

11,947

SSRN CITATIONS
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SSRN RANKINGS

Top 2,766

in Total Papers Citations

225

CROSSREF CITATIONS

263

Scholarly Papers (26)

1.
Downloads 2,004 ( 9,802)
Citation 80

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 1,094 (24,585)
Citation 90

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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 910 (32,057)

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2.

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 1,380 (17,688)
Citation 12

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hedge funds, factor models, time-varying beta

3.

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 - Faculty of Business, Economics and Law
Downloads 1,317 (18,953)
Citation 20

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market microstructure, determinants of spread, option value

4.

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

Number of pages: 54 Posted: 08 Aug 2002
Nicolas P. B. Bollen and Robert E. Whaley
Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 1,119 (24,148)
Citation 113

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Option valuation, market efficiency, limits to arbitrage

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 1,031 (26,795)

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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

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Derivatives: Futures Markets and Instruments, Options Markets and Instruments

6.

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
Vanderbilt University - Finance, Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 898 (33,110)
Citation 9

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Ex-dividend, call option exercise, dividend spread

7.

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
Independent, Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 656 (50,637)

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

8.

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 - Faculty of Business, Economics and Law and Vanderbilt University - Finance
Downloads 525 (67,193)
Citation 7

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competition, ownership, financial disclosure

9.

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
Independent, Fuqua School of Business, Duke University, University of Queensland - Faculty of Business, Economics and Law and Vanderbilt University - Finance
Downloads 515 (68,874)
Citation 10

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

10.

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
Independent and Vanderbilt University - Finance
Downloads 478 (75,451)
Citation 8

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put options on stocks, early exercise, failure to exercise

11.

Implied Volatility Functions: Empirical Tests

NBER Working Paper No. w5500
Number of pages: 36 Posted: 01 Jul 1998 Last Revised: 14 Jul 2021
Bernard Dumas, Jeff Fleming and Robert E. Whaley
INSEAD, Rice University - Jesse H. Jones Graduate School of Business and Vanderbilt University - Finance
Downloads 466 (77,810)
Citation 3

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12.

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, Macquarie University, University of Queensland - Faculty of Business, Economics and Law and Vanderbilt University - Finance
Downloads 459 (79,260)
Citation 2

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spurious regression, persistence, data mining, dummy variable

13.

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 - Faculty of Business, Economics and Law, Vanderbilt University - Finance and Vanderbilt University - Accounting
Downloads 448 (81,529)
Citation 6

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

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, Macquarie University, University of Queensland - Faculty of Business, Economics and Law and Vanderbilt University - Finance
Downloads 375 (100,240)
Citation 2

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

15.

Levered and Inverse ETPs: Blessing or Curse?

Financial Analysts Journal (forthcoming)
Number of pages: 33 Posted: 06 May 2020 Last Revised: 25 Sep 2020
Colby Pessina and Robert E. Whaley
Vanderbilt University - Owen Graduate School of Management and Vanderbilt University - Finance
Downloads 200 (190,819)
Citation 1

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Levered and inverse funds, geared investments, front-running, futures indexes, contango July 17, 2020 *Corresponding

16.

Levered and Inverse Vix Etp Option Contract Adjustments: No Harm, No Foul?

Accounting and Finance (Forthcoming)
Number of pages: 30 Posted: 11 Nov 2020
Angel Tengulov and Robert E. Whaley
University of Kansas - School of Business and Vanderbilt University - Finance
Downloads 46 (495,738)

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levered and inverse ETPs, option contract adjustments, wealth transfers

17.

Effects of nondiscretionary trading on futures prices

Number of pages: 71 Posted: 08 Jul 2021
Michael O'Neill and Robert E. Whaley
Bond University - Bond Business School and Vanderbilt University - Finance
Downloads 28 (587,792)

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VIX ETPs, VIX futures, contango, natural counterparties, product replication, market evolution

18.

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, Macquarie University, University of Queensland - Faculty of Business, Economics and Law and Vanderbilt University - Finance
Downloads 2 (781,097)
Citation 2
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19.

Commodity Index Investing: Speculation or Diversification?

Posted: 22 May 2019
Hans R. Stoll and Robert E. Whaley
Vanderbilt University - Finance and Vanderbilt University - Finance

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commodity index investing, speculation, futures prices

20.

Understanding the VIX

Posted: 21 May 2019
Robert E. Whaley
Vanderbilt University - Finance

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VIX, market volatitility, fear gauge, barometer of fear

21.

Trading Volatility: At What Cost?

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

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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
Independent and Vanderbilt University - Finance

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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
Independent and Vanderbilt University - Finance

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Put options on stocks, early exercise, failure to exercise

23.

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

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24.

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

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25.

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

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26.

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 - Faculty of Business, Economics and Law and Vanderbilt University - Finance

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