Author Page for Robert Whitelaw

The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk

Number of pages: 12 Posted: 07 Jan 1998

Matthew P. Richardson, Jacob Boudoukh and Robert Whitelaw

Department of Finance, Leonard N. Stern School of Business, New York University, Reichman University - Interdisciplinary Center (IDC) Herzliyah and New York University

Downloads 3,974 (5,302)

Citation 11

Abstract:

2.

Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

Downloads 2,306 (12,751)

Citation 541

3

Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

Number of pages: 49 Posted: 03 Sep 2008 Last Revised: 27 Feb 2012

Turan G. Bali, Nusret Cakici and Robert Whitelaw

Georgetown University - McDonough School of Business, Fordham university and New York University

Downloads 1,906 (16,950)

Citation 69

Abstract:

Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

NYU Working Paper No. FIN-08-025

Number of pages: 44 Posted: 09 Mar 2009 Last Revised: 27 Feb 2012

Turan G. Bali, Nusret Cakici and Robert Whitelaw

Georgetown University - McDonough School of Business, Fordham university and New York University

Downloads 265 (222,168)

Citation 66

Abstract:

Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

NBER Working Paper No. w14804

Number of pages: 50 Posted: 24 Mar 2009 Last Revised: 15 Dec 2022

Turan G. Bali, Nusret Cakici and Robert Whitelaw

Georgetown University - McDonough School of Business, Fordham university and New York University

Downloads 135 (409,213)

Abstract:

3.

The Real Value of China's Stock Market

Downloads 1,333 (29,741)

Citation 113

3

The Real Value of China's Stock Market

BOFIT Discussion Paper No. 2/2018

Number of pages: 41 Posted: 22 Jan 2018 Last Revised: 18 Nov 2021

Jennifer N. Carpenter, Fangzhou Lu and Robert Whitelaw

New York University (NYU) - Department of Finance, The University of Hong Kong - Department of Finance and New York University

Downloads 651 (78,638)

Citation 8

Abstract:

The Real Value of China's Stock Market

Number of pages: 41 Posted: 14 Nov 2014

Jennifer N. Carpenter, Fangzhou Lu and Robert Whitelaw

New York University (NYU) - Department of Finance, The University of Hong Kong - Department of Finance and New York University

Downloads 567 (93,712)

Citation 13

Abstract:

The Real Value of China's Stock Market

NBER Working Paper No. w20957

Number of pages: 47 Posted: 23 Feb 2015 Last Revised: 07 Apr 2023

Jennifer N. Carpenter, Fangzhou Lu and Robert Whitelaw

New York University (NYU) - Department of Finance, The University of Hong Kong - Department of Finance and New York University

Downloads 115 (463,876)

Citation 6

Abstract:

4.

Time-Varying Sharpe Ratios and Market Timing

Downloads 951 (48,173)

Citation 11

2

Time-Varying Sharpe Ratios and Market Timing

Number of pages: 30 Posted: 06 Oct 2011

Yi Tang and Robert Whitelaw

Fordham University - Gabelli School of Business and New York University

Downloads 695 (72,279)

Citation 11

Abstract:

Time-Varying Sharpe Ratios and Market Timing

NYU Working Paper No. 2451/29951

Number of pages: 30 Posted: 11 Nov 2008

Robert Whitelaw

New York University

Downloads 256 (229,873)

Abstract:

5.

Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

Downloads 904 (51,645)

3

Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

Number of pages: 41 Posted: 11 Aug 1999

Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

University of North Carolina at Chapel Hill, Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 721 (68,899)

Abstract:

Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

NYU Working Paper No. FIN-99-040

Number of pages: 41 Posted: 11 Nov 2008

Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

University of North Carolina at Chapel Hill, Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 104 (500,090)

Abstract:

Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

NBER Working Paper No. w7214

Posted: 12 Jul 2000 Last Revised: 04 Apr 2022

Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

University of North Carolina at Chapel Hill, Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 79 (598,346)

Abstract:

6.

Maxvar: Long Horizon Value at Risk in a Mark-to-Market Environment

Downloads 861 (55,327)

Citation 6

2

Maxvar: Long Horizon Value at Risk in a Mark-to-Market Environment

Number of pages: 9 Posted: 26 Mar 2004

Jacob Boudoukh, Richard Stanton, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 861 (54,453)

Citation 6

Abstract:

Maxvar - Long Horizon Value at Risk in a Mark-to-Market Environment

Journal of Investment Management, Vol. 2, No. 3, Third Quarter 2004

Posted: 16 Sep 2004

Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University

Abstract:

7.

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Downloads 771 (64,090)

Citation 31

7

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Number of pages: 54 Posted: 09 Oct 2011 Last Revised: 06 Aug 2014

Turan G. Bali, Nusret Cakici and Robert Whitelaw

Georgetown University - McDonough School of Business, Fordham university and New York University

Downloads 231 (254,406)

Abstract:

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Georgetown McDonough School of Business Research Paper No. 1993287

Number of pages: 54 Posted: 30 Jan 2012 Last Revised: 06 Aug 2014

Turan G. Bali, Nusret Cakici and Robert Whitelaw

Georgetown University - McDonough School of Business, Fordham university and New York University

Downloads 102 (507,171)

Abstract:

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Number of pages: 54 Posted: 15 Mar 2012 Last Revised: 06 Aug 2014

Turan G. Bali, Nusret Cakici and Robert Whitelaw

Georgetown University - McDonough School of Business, Fordham university and New York University

Downloads 100 (514,249)

Abstract:

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

NYU Working Paper No. FIN-11-007

Number of pages: 54 Posted: 15 Oct 2011 Last Revised: 06 Aug 2014

Turan G. Bali, Nusret Cakici and Robert Whitelaw

Georgetown University - McDonough School of Business, Fordham university and New York University

Downloads 99 (517,886)

Abstract:

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

NYU Working Paper No. FIN-11-007

Number of pages: 54 Posted: 06 Nov 2011 Last Revised: 06 Aug 2014

Turan G. Bali, Nusret Cakici and Robert Whitelaw

Georgetown University - McDonough School of Business, Fordham university and New York University

Downloads 95 (532,482)

Abstract:

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

NYU Working Paper No. 2451/31271, Georgetown McDonough School of Business Research Paper

Number of pages: 54 Posted: 10 Sep 2013 Last Revised: 06 Aug 2014

Turan G. Bali, Nusret Cakici and Robert Whitelaw

Georgetown University - McDonough School of Business, Fordham university and New York University

Downloads 80 (593,846)

Abstract:

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

NBER Working Paper No. w19460

Number of pages: 47 Posted: 20 Sep 2013 Last Revised: 05 Mar 2023

Turan G. Bali, Nusret Cakici and Robert Whitelaw

Georgetown University - McDonough School of Business, Fordham university and New York University

Downloads 64 (673,103)

Citation 19

Abstract:

8.

The Myth of Long-Horizon Predictability

Downloads 749 (66,524)

Citation 155

5

The Myth of Long-Horizon Predictability

Number of pages: 39 Posted: 05 Dec 2005

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 466 (119,114)

Citation 1

Abstract:

The Myth of Long-Horizon Predictability

NBER Working Paper No. w11841

Number of pages: 39 Posted: 29 Mar 2006 Last Revised: 10 Nov 2022

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 120 (448,921)

Citation 55

Abstract:

The Myth of Long-Horizon Predictability

NYU Working Paper No. SC-AM-05-11

Number of pages: 40 Posted: 03 Nov 2008

Jacob Boudoukh and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah and New York University

Downloads 93 (540,021)

Abstract:

The Myth of Long-Horizon Predictability

NYU Working Paper No. FIN-05-031

Number of pages: 39 Posted: 03 Nov 2008

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 70 (641,328)

Citation 1

Abstract:

The Myth of Long-Horizon Predictability

The Review of Financial Studies, Vol. 21, Issue 4, pp. 1577-1605, 2008

Posted: 08 Aug 2008

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Abstract:

9.

A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

Downloads 724 (69,547)

Citation 1

3

A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

Number of pages: 43 Posted: 13 Aug 1999

Jacob Boudoukh, Richard Stanton, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 582 (90,604)

Abstract:

A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

NBER Working Paper No. w7213

Number of pages: 44 Posted: 08 Jul 2000 Last Revised: 18 Sep 2022

Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University

Downloads 92 (543,916)

Abstract:

A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

NYU Working Paper No. FIN-99-042

Number of pages: 43 Posted: 11 Nov 2008

Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University

Downloads 50 (757,001)

Abstract:

10.

Capital Structure Priority Effects in Durations, Stock-Bond Comovements and Factor-Pricing Models

Downloads 721 (69,926)

Citation 4

2

Capital Structure Priority Effects in Durations, Stock-Bond Comovements and Factor-Pricing Models

Review of Asset Pricing Studies, forthcoming

Number of pages: 78 Posted: 12 Sep 2013 Last Revised: 15 Feb 2022

Jaewon Choi, Matthew P. Richardson and Robert Whitelaw

Seoul National University - Department of Economics, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 663 (76,759)

Citation 4

Abstract:

On the Fundamental Relation between Equity Returns and Interest Rates

NBER Working Paper No. w20187

Number of pages: 51 Posted: 11 Jun 2014 Last Revised: 27 Feb 2023

Jaewon Choi, Matthew P. Richardson and Robert Whitelaw

Seoul National University - Department of Economics, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 58 (706,758)

Abstract:

11.

Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations

Number of pages: 45 Posted: 11 May 2001

Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

University of North Carolina at Chapel Hill, Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 566 (94,987)

Citation 15

Abstract:

12.

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

Downloads 479 (116,558)

Citation 16

5

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU-Stern, Finance Working Paper No. FIN-03-011

Number of pages: 54 Posted: 10 Jun 2003

Jacob Boudoukh, Matthew P. Richardson, Jeffrey YuQing Shen and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, JP Morgan Fleming Asset Management and New York University

Downloads 288 (203,900)

Abstract:

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU Working Paper No. S-DRP-03-05

Number of pages: 25 Posted: 07 Nov 2008

Jacob Boudoukh, Matthew P. Richardson, YuQing Shen and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, affiliation not provided to SSRN and New York University

Downloads 52 (743,766)

Abstract:

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NBER Working Paper No. w9515

Number of pages: 54 Posted: 26 Feb 2003 Last Revised: 03 Jul 2022

Jacob Boudoukh, Matthew P. Richardson, Jeffrey YuQing Shen and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, JP Morgan Fleming Asset Management and New York University

Downloads 50 (757,001)

Citation 4

Abstract:

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU Working Paper No. FIN-03-011

Number of pages: 55 Posted: 11 Nov 2008

Jacob Boudoukh, Matthew P. Richardson, YuQing Shen and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, affiliation not provided to SSRN and New York University

Downloads 47 (777,401)

Citation 2

Abstract:

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU Working Paper No. SC-AM-03-04

Number of pages: 54 Posted: 04 Nov 2008

Jacob Boudoukh, Matthew P. Richardson, YuQing Shen and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, affiliation not provided to SSRN and New York University

Downloads 42 (814,310)

Abstract:

13.

Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets

Downloads 378 (153,345)

Citation 189

2

Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets

NBER Working Paper No. w9423

Number of pages: 54 Posted: 10 Jan 2003 Last Revised: 02 Oct 2022

Eli Ofek, Matthew P. Richardson and Robert Whitelaw

New York University (NYU) - Department of Finance, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 257 (229,062)

Citation 70

Abstract:

Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets

NYU Working Paper No. S-DRP-02-08

Number of pages: 46 Posted: 07 Nov 2008

Eli Ofek, Matthew P. Richardson and Robert Whitelaw

New York University (NYU) - Department of Finance, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 121 (445,976)

Citation 1

Abstract:

14.

Uncovering the Risk Return Relation in the Stock Market

Downloads 364 (159,907)

Citation 145

4

Uncovering the Risk Return Relation in the Stock Market

NYU Working Paper No. SC-AM-03-06

Number of pages: 42 Posted: 04 Nov 2008

Hui Guo and Robert Whitelaw

University of Cincinnati - Department of Finance - Real Estate and New York University

Downloads 144 (388,558)

Citation 3

Abstract:

Uncovering the Risk-Return Relation in the Stock Market

NBER Working Paper No. w9927

Number of pages: 42 Posted: 25 Aug 2003 Last Revised: 18 Aug 2022

Hui Guo and Robert Whitelaw

University of Cincinnati - Department of Finance - Real Estate and New York University

Downloads 87 (564,027)

Citation 12

Abstract:

Uncovering the Risk-Return Relation in the Stock Market

NYU Working Paper No. FIN-03-021

Number of pages: 43 Posted: 11 Nov 2008

Hui Guo and Robert Whitelaw

University of Cincinnati - Department of Finance - Real Estate and New York University

Downloads 78 (603,092)

Citation 32

Abstract:

Uncovering the Risk-Return Relation in the Stock Market

NYU Working Paper No. S-MF-03-11

Number of pages: 42 Posted: 12 Nov 2008

Hui Guo and Robert Whitelaw

University of Cincinnati - Department of Finance - Real Estate and New York University

Downloads 55 (724,738)

Abstract:

15.

The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

Downloads 357 (163,332)

Citation 4

5

The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NBER Working Paper No. w11840

Number of pages: 33 Posted: 27 Dec 2005 Last Revised: 09 Nov 2022

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 114 (466,809)

Citation 1

Abstract:

The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. FIN-05-032

Number of pages: 33 Posted: 03 Nov 2008

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 92 (543,916)

Abstract:

The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. S-DRP-05-06

Number of pages: 33 Posted: 13 Nov 2008

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 60 (695,183)

Abstract:

The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. SC-AM-05-12

Number of pages: 34 Posted: 03 Nov 2008

Jacob Boudoukh and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah and New York University

Downloads 47 (777,401)

Abstract:

The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. S-DRP-05-06

Number of pages: 33 Posted: 13 Nov 2008

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 44 (799,100)

Abstract:

16.

An Explanation of the Forward Premium Puzzle: The Long and the Short of it

NYU Working Paper No. 2451/29950

Number of pages: 48 Posted: 09 Sep 2011

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 326 (180,100)

Abstract:

17.

Optimal Risk Management Using Options

Downloads 301 (195,918)

Citation 8

3

Optimal Risk Management Using Options

NYU Working Paper No. FIN-98-001

Number of pages: 24 Posted: 07 Nov 2008

Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

University of North Carolina at Chapel Hill, Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 199 (292,716)

Citation 1

Abstract:

Optimal Risk Management Using Options

NBER Working Paper No. w6158

Number of pages: 45 Posted: 25 May 2006 Last Revised: 01 May 2022

Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

University of North Carolina at Chapel Hill, Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 102 (507,171)

Citation 1

Abstract:

Optimal Risk Management Using Options

Posted: 21 Dec 1997

Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

University of North Carolina at Chapel Hill, Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Abstract:

18.

The Valuation and Hedging of Deferred Commission Asset Backed Securities

NYU Working Paper No. FIN-00-019

Number of pages: 32 Posted: 04 Nov 2008

Jacob Boudoukh, Patrick McAllister, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Lincoln Financial Group, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 239 (247,284)

Citation 1

Abstract:

19.

The Last Great Arbitrage: Exploiting the Buy-and-Hold Mutual Fund Investor

Downloads 100 (253,372)

1

The Last Great Arbitrage: Exploiting the Buy-and-Hold Mutual Fund Investor

NYU Working Paper No. FIN-00-009

Number of pages: 37 Posted: 03 Nov 2008

Jacob Boudoukh, Matthew P. Richardson, Marti G. Subrahmanyam and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, New York University (NYU) - Leonard N. Stern School of Business and New York University

Downloads 100 (514,249)

Abstract:

20.

Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

Downloads 232 (254,420)

Citation 39

4

Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

NYU Working Paper No. FIN-94-018

Number of pages: 48 Posted: 11 Nov 2008

Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University

Downloads 151 (373,902)

Citation 14

Abstract:

Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

NYU Working Paper No. FIN-95-013

Number of pages: 52 Posted: 11 Nov 2008

Jacob Boudoukh, Richard Stanton and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business and New York University

Downloads 81 (589,357)

Citation 5

Abstract:

Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

Posted: 21 Apr 1995

Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University

Abstract:

Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

REVIEW OF FINANCIAL STUDIES, Vol. 10, No. 2

Posted: 02 Apr 1997

Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University

Abstract:

21.

Stock Market Risk and Return: An Equilibrium Approach

NYU Working Paper No. FIN-98-073

Number of pages: 45 Posted: 11 Nov 2008

Robert Whitelaw

New York University

Downloads 216 (272,156)

Citation 63

Abstract:

22.

The Valuation of Mutual Fund Contracts

NYU Working Paper No. SC-AM-03-09

Number of pages: 48 Posted: 04 Nov 2008

Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University

Downloads 209 (280,695)

Abstract:

23.

Risk and Return: Some New Evidence.

Downloads 196 (297,604)

3

Risk and Return: Some New Evidence.

NYU Working Paper No. FIN-00-020

Number of pages: 43 Posted: 04 Nov 2008

Hui Guo and Robert Whitelaw

University of Cincinnati - Department of Finance - Real Estate and New York University

Downloads 74 (621,572)

Abstract:

Risk and Return: Some New Evidence

NYU Working Paper No. S-AM-00-05

Number of pages: 43 Posted: 13 Nov 2008

Hui Guo and Robert Whitelaw

University of Cincinnati - Department of Finance - Real Estate and New York University

Downloads 70 (641,328)

Abstract:

Risk and Return: Some New Evidence

NYU Working Paper No. S-MF-00-08

Number of pages: 43 Posted: 12 Nov 2008

Hui Guo and Robert Whitelaw

University of Cincinnati - Department of Finance - Real Estate and New York University

Downloads 52 (743,766)

Abstract:

24.

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Fcoj Market

NYU Working Paper No. SC-AM-02-07

Number of pages: 51 Posted: 13 Nov 2008

Jacob Boudoukh, Matthew P. Richardson, YuQing Shen and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, affiliation not provided to SSRN and New York University

Downloads 190 (306,167)

Citation 2

Abstract:

25.

Do Asset Prices Reflect Fundamentals?

NYU Working Paper No. FIN-02-043

Number of pages: 51 Posted: 03 Nov 2008

Jacob Boudoukh, YuQing Shen and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, affiliation not provided to SSRN and New York University

Downloads 190 (306,167)

Abstract:

26.

A New Strategy for Dynamically Hedging Mortgage-Backed Securities

Downloads 186 (312,092)

2

A New Strategy for Dynamically Hedging Mortgage-Backed Securities

NYU Working Paper No. FIN-94-019

Number of pages: 34 Posted: 11 Nov 2008

Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University

Downloads 186 (311,548)

Abstract:

A New Strategy for Dynamically Hedging Mortgage-Backed Securities

Posted: 28 Apr 1998

Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University

Abstract:

27.

Internet Message Board Activity and Market Efficiency: A Case Study of the Internet Service Sector Using Ragingbull.Com

NYU Working Paper No. 2451/25970

Number of pages: 23 Posted: 13 Oct 2008

Robert Tumarkin and Robert Whitelaw

UNSW Australia Business School, School of Banking and Finance and New York University

Downloads 156 (363,617)

Abstract:

28.

Regime Shifts and Bond Returns

Downloads 149 (377,595)

2

Regime Shifts and Bond Returns

NYU Working Paper No. S-MF-99-12

Number of pages: 41 Posted: 12 Nov 2008

Jacob Boudoukh, Matthew P. Richardson, Tom Smith and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of Queensland - Faculty of Business, Economics and Law and New York University

Downloads 97 (525,052)

Abstract:

Regime Shifts and Bond Returns

NYU Working Paper No. FIN-99-010

Number of pages: 41 Posted: 07 Nov 2008

Jacob Boudoukh, Matthew P. Richardson, Tom Smith and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of Queensland - Faculty of Business, Economics and Law and New York University

Downloads 52 (743,766)

Abstract:

29.

Comovement Revisited

Downloads 146 (383,812)

Citation 22

2

Comovement Revisited

Number of pages: 53 Posted: 19 Jun 2015

Honghui Chen, Vijay Singal and Robert Whitelaw

Department of Finance, University of Central Florida, Virginia Tech and New York University

Downloads 111 (476,505)

Abstract:

Comovement Revisited

NBER Working Paper No. w21281

Number of pages: 53 Posted: 22 Jun 2015 Last Revised: 24 Feb 2023

Honghui Chen, Vijay Singal and Robert Whitelaw

Department of Finance, University of Central Florida, Virginia Tech and New York University

Downloads 35 (871,286)

Citation 12

Abstract:

30.

The Price and Quantity of Interest Rate Risk

Downloads 131 (417,960)

2

The Price and Quantity of Interest Rate Risk

NYU Stern School of Business Forthcoming

Number of pages: 35 Posted: 21 Nov 2020

Jennifer N. Carpenter, Fangzhou Lu and Robert Whitelaw

New York University (NYU) - Department of Finance, The University of Hong Kong - Department of Finance and New York University

Downloads 108 (486,210)

Abstract:

The Price and Quantity of Interest Rate Risk

NBER Working Paper No. w28444

Number of pages: 40 Posted: 08 Feb 2021 Last Revised: 22 Mar 2023

Jennifer N. Carpenter, Fangzhou Lu and Robert Whitelaw

New York University (NYU) - Department of Finance, The University of Hong Kong - Department of Finance and New York University

Downloads 23 (986,676)

Abstract:

31.

Risk and Return: An Equilibrium Approach

Downloads 121 (444,077)

2

Risk and Return: An Equilibrium Approach

NYU Working Paper No. FIN-95-033

Number of pages: 39 Posted: 11 Nov 2008

Robert Whitelaw

New York University

Downloads 79 (598,346)

Abstract:

Risk and Return: An Equilibrium Approach

NYU Working Paper No. FIN-94-051

Number of pages: 30 Posted: 11 Nov 2008

Robert Whitelaw

New York University

Downloads 42 (814,310)

Abstract:

32.

Ex Ante Bond Returns and the Yield Curve

NYU Working Paper No. FIN-96-017

Number of pages: 33 Posted: 07 Nov 2008

Boudoukh Jacob, Matthew P. Richardson, Tom Smith and Robert Whitelaw

affiliation not provided to SSRN, Department of Finance, Leonard N. Stern School of Business, New York University, University of Queensland - Faculty of Business, Economics and Law and New York University

Downloads 107 (486,292)

Abstract:

33.

Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets

NYU Working Paper No. FIN-02-034

Number of pages: 46 Posted: 03 Nov 2008

Eli Ofeka, Matthew P. Richardson and Robert Whitelaw

affiliation not provided to SSRN, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 76 (603,459)

Abstract:

34.

Hedging the Interest Rate Risk of Brady Bonds

NYU Working Paper No. FIN-96-016

Number of pages: 26 Posted: 07 Nov 2008

Boudoukh Jacob and Robert Whitelaw

affiliation not provided to SSRN and New York University

Downloads 75 (607,911)

Abstract:

35.

The Development of China's Stock Market and Stakes for the Global Economy

Annual Review of Financial Economics, Vol. 9, pp. 233-257, 2017

Posted: 03 Jan 2018

Jennifer N. Carpenter and Robert Whitelaw

New York University (NYU) - Department of Finance and New York University

Abstract:

36.

Stale Prices and Strategies for Trading Mutual Funds

Posted: 16 Apr 2003

Matthew P. Richardson, Robert Whitelaw, Jacob Boudoukh and Marti G. Subrahmanyam

Department of Finance, Leonard N. Stern School of Business, New York University, New York University, Reichman University - Interdisciplinary Center (IDC) Herzliyah and New York University (NYU) - Leonard N. Stern School of Business

Abstract:

37.

New or Noise? Internet Postings and Stock Prices

Posted: 01 Aug 2001

Robert Tumarkin and Robert Whitelaw

UNSW Australia Business School, School of Banking and Finance and New York University

Abstract:

38.

A Tale of Three Schools: Insights on Autocorrelations of Short Horizon Stock Returns

REVIEW OF FINANCIAL STUDIES Vol. 7, No. 3, 1994

Posted: 31 Dec 1998

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Abstract:

39.

New Strategy for Dynamically Hedging Mortgage-Backed Securities

JOURNAL OF DERIVATIVES, Vol 2 No 4

Posted: 25 May 1998

Jacob Boudoukh, Richard Stanton, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Abstract:

40.

Hedging the Interest Rate Risk of Brady Bonds

96-50

Posted: 22 Jan 1997

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Robert Whitelaw

New York University

Professor

National Bureau of Economic Research (NBER)

40

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Scholarly Papers (40)

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