Robert Whitelaw

New York University

Professor

Stern School of Business

44 West 4th Street

New York, NY 10012-1126

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

38

DOWNLOADS
Rank 2,472

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Top 2,472

in Total Papers Downloads

11,812

CITATIONS
Rank 882

SSRN RANKINGS

Top 882

in Total Papers Citations

601

Scholarly Papers (38)

1.

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
New York University (NYU) - Department of Finance, Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship and New York University
Downloads 2,437 (3,242)
Citation 7

Abstract:

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 - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 1,297 (11,392)
Citation 44

Abstract:

expected stock returns, maximum returns, idiosyncratic volatility, skewness

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 - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 193 (131,472)
Citation 44

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
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 55 (321,229)
Citation 44

Abstract:

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

Number of pages: 41 Posted: 11 Aug 1999
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 679 (30,046)
Citation 1

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
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 77 (267,604)
Citation 1

Abstract:

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

NBER Working Paper No. w7214
Number of pages: 42 Posted: 12 Jul 2000 Last Revised: 13 Oct 2010
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 48 (342,800)
Citation 1

Abstract:

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

Number of pages: 43 Posted: 13 Aug 1999
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, University of California, Berkeley - Finance Group, New York University (NYU) - Department of Finance and New York University
Downloads 554 (39,439)
Citation 6

Abstract:

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

NBER Working Paper No. w7213
Number of pages: 44 Posted: 08 Jul 2000
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of California, Berkeley - Finance Group and New York University
Downloads 40 (369,907)
Citation 6

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of California, Berkeley - Finance Group and New York University
Downloads 32 (401,716)
Citation 6

Abstract:

5.
Downloads 595 ( 36,465)
Citation 22

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 395 (60,563)
Citation 22

Abstract:

Sharpe ratio, predictability, stock market

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 200 (127,159)
Citation 22

Abstract:

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

Number of pages: 9 Posted: 26 Mar 2004
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, University of California, Berkeley - Finance Group, New York University (NYU) - Department of Finance and New York University
Downloads 593 (35,989)
Citation 2

Abstract:

Value at risk, drawdown risk, long horizon risk

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of California, Berkeley - Finance Group and New York University

Abstract:

7.
Downloads 560 ( 39,447)
Citation 74

The Myth of Long-Horizon Predictability

Number of pages: 39 Posted: 05 Dec 2005
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 414 (56,995)
Citation 73

Abstract:

long-horizon, predictability, joint tests, persistent regressors

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship and New York University
Downloads 70 (282,996)
Citation 74

Abstract:

The Myth of Long-Horizon Predictability

NBER Working Paper No. w11841
Number of pages: 39 Posted: 29 Mar 2006
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 51 (333,418)
Citation 74

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 25 (436,069)
Citation 74

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University

Abstract:

G12, G14, C12

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 - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 176 (143,243)

Abstract:

tail risk, downside risk, under-diversification, expected stock returns

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 - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 81 (259,474)

Abstract:

tail risk, downside risk, under-diversification, expected stock returns

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 - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 78 (265,500)

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 - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 66 (292,511)

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 - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 66 (292,511)

Abstract:

tail risk, downside risk, under-diversification, expected stock returns

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 - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 50 (336,559)

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
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 9 (528,108)

Abstract:

On the Interest Rate Sensitivity of Corporate Securities: Implications at the Firm and Index Level

Number of pages: 52 Posted: 12 Sep 2013 Last Revised: 15 Aug 2016
Jaewon Choi, Matthew P. Richardson and Robert Whitelaw
University of Illinois at Urbana-Champaign - Department of Finance, New York University (NYU) - Department of Finance and New York University
Downloads 437 (53,320)

Abstract:

On the Fundamental Relation between Equity Returns and Interest Rates

NBER Working Paper No. w20187
Number of pages: 51 Posted: 11 Jun 2014
Jaewon Choi, Matthew P. Richardson and Robert Whitelaw
University of Illinois at Urbana-Champaign - Department of Finance, New York University (NYU) - Department of Finance and New York University
Downloads 10 (522,610)

Abstract:

10.

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

EFMA 2001 Lugano Meetings
Number of pages: 45 Posted: 11 May 2001
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 403 (58,781)
Citation 16

Abstract:

11.
Downloads 390 ( 61,902)
Citation 1

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, Massachusetts Institute of Technology (MIT) - Sloan School of Management and New York University
Downloads 370 (65,188)
Citation 1

Abstract:

financial system development, economic growth, market segmentation, cross-sectional pricing, shadow banking

The Real Value of China's Stock Market

NBER Working Paper No. w20957
Number of pages: 47 Posted: 23 Feb 2015
Jennifer N. Carpenter, Fangzhou Lu and Robert Whitelaw
New York University (NYU) - Department of Finance, Massachusetts Institute of Technology (MIT) - Sloan School of Management and New York University
Downloads 20 (464,637)
Citation 1
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Abstract:

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, JP Morgan Fleming Asset Management and New York University
Downloads 256 (99,032)
Citation 7

Abstract:

excess volatility, nonlinear, state dependence

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, JP Morgan Fleming Asset Management and New York University
Downloads 24 (441,629)
Citation 7

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 24 (441,629)
Citation 7

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 20 (464,637)
Citation 7

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 16 (487,874)
Citation 7

Abstract:

13.
Downloads 237 (107,886)
Citation 77

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 109 (212,343)
Citation 77

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 53 (327,251)
Citation 77

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 38 (377,413)
Citation 77

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: 04 Nov 2010
Hui Guo and Robert Whitelaw
University of Cincinnati - Department of Finance - Real Estate and New York University
Downloads 37 (381,230)
Citation 77

Abstract:

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

NBER Working Paper No. w9423
Number of pages: 54 Posted: 10 Jan 2003
Eli Ofek, Matthew P. Richardson and Robert Whitelaw
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University
Downloads 104 (219,683)
Citation 100

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, New York University (NYU) - Department of Finance and New York University
Downloads 87 (247,981)
Citation 98

Abstract:

15.
Downloads 183 (138,420)

Optimal Risk Management Using Options

NYU Working Paper No. FIN-98-001
Number of pages: 24 Posted: 07 Nov 2008
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 117 (201,416)
Citation 18

Abstract:

Optimal Risk Management Using Options

NBER Working Paper No. w6158
Number of pages: 45 Posted: 25 May 2006
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 66 (292,511)
Citation 18

Abstract:

Optimal Risk Management Using Options

Journal of Finance, Vol. LIV, Issue No. 1
Posted: 21 Dec 1997
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University

Abstract:

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
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 57 (315,627)
Citation 12

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 52 (330,309)
Citation 12

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 31 (406,147)
Citation 12

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship and New York University
Downloads 26 (430,586)
Citation 12

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 16 (487,874)
Citation 12

Abstract:

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, New York University - Stern School of Business and New York University
Downloads 61 (304,849)
Citation 3

Abstract:

18.

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 138 (166,638)
Citation 74

Abstract:

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of California, Berkeley - Finance Group and New York University
Downloads 94 (235,737)
Citation 25

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, University of California, Berkeley - Finance Group and New York University
Downloads 43 (359,252)
Citation 25

Abstract:

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

Posted: 21 Apr 1995
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of California, Berkeley - Finance Group 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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of California, Berkeley - Finance Group and New York University

Abstract:

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 114 (205,460)
Citation 5

Abstract:

21.
Downloads 122 (194,371)
Citation 7

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 59 (310,170)
Citation 7

Abstract:

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 33 (397,481)
Citation 7

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 30 (410,666)
Citation 7

Abstract:

A New Strategy for Dynamically Hedging Mortgage-Backed Securities

NYU Working Paper No. FIN-94-019
Number of pages: 34 Posted: 11 Nov 2008
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of California, Berkeley - Finance Group and New York University
Downloads 106 (216,733)
Citation 4

Abstract:

A New Strategy for Dynamically Hedging Mortgage-Backed Securities

Posted: 28 Apr 1998
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of California, Berkeley - Finance Group and New York University

Abstract:

23.

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 91 (214,168)

Abstract:

24.
Downloads 88 (244,236)

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 80 (261,481)

Abstract:

market efficiency, non-fundamental comovement, asset class demand, time-varying betas

Comovement Revisited

NBER Working Paper No. w21281
Number of pages: 53 Posted: 22 Jun 2015 Last Revised: 24 Jun 2015
Honghui Chen, Vijay Singal and Robert Whitelaw
Department of Finance, University of Central Florida, Virginia Tech and New York University
Downloads 8 (533,632)
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Abstract:

25.
Downloads 72 (275,511)
Citation 7

Regime Shifts and Bond Returns

NYU Working Paper No. S-MF-99-12
Number of pages: 41 Posted: 12 Nov 2008
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of Queensland and New York University
Downloads 49 (339,684)
Citation 7

Abstract:

Regime Shifts and Bond Returns

NYU Working Paper No. FIN-99-010
Number of pages: 41 Posted: 07 Nov 2008
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of Queensland and New York University
Downloads 23 (447,337)
Citation 7

Abstract:

26.

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, Lincoln Financial Group, New York University (NYU) - Department of Finance and New York University
Downloads 71 (261,118)
Citation 1

Abstract:

27.
Downloads 70 (279,937)
Citation 71

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 47 (345,895)
Citation 71

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 23 (447,337)
Citation 71

Abstract:

28.

Ex Ante Bond Returns and the Yield Curve

NYU Working Paper No. FIN-96-017
Number of pages: 33 Posted: 07 Nov 2008
affiliation not provided to SSRN, New York University (NYU) - Department of Finance, University of Queensland and New York University
Downloads 57 (298,492)
Citation 1

Abstract:

29.

The Valuation of Mutual Fund Contracts

NYU Working Paper No. SC-AM-03-09
Number of pages: 48 Posted: 04 Nov 2008
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of California, Berkeley - Finance Group and New York University
Downloads 56 (303,474)
Citation 1

Abstract:

30.

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 47 (334,097)
Citation 7

Abstract:

31.

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, New York University (NYU) - Department of Finance and New York University
Downloads 47 (337,083)

Abstract:

32.

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, affiliation not provided to SSRN and New York University
Downloads 44 (325,212)
Citation 7

Abstract:

33.

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 42 (343,019)

Abstract:

34.

Stale Prices and Strategies for Trading Mutual Funds

Financial Analysts Journal, Vol. 58, No. 4, 2002
Posted: 16 Apr 2003
New York University (NYU) - Department of Finance, New York University, Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship and New York University - Stern School of Business

Abstract:

Portfolio Management: trading and execution, Portfolio Management: private client focus

35.

New or Noise? Internet Postings and Stock Prices

Financial Analysts Journal, Vol. 57, No. 3, May/June 2001
Posted: 01 Aug 2001
Robert Tumarkin and Robert Whitelaw
UNSW Australia Business School, School of Banking and Finance and New York University

Abstract:

36.

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
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University

Abstract:

37.

New Strategy for Dynamically Hedging Mortgage-Backed Securities

JOURNAL OF DERIVATIVES, Vol 2 No 4
Posted: 25 May 1998
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, University of California, Berkeley - Finance Group, New York University (NYU) - Department of Finance and New York University

Abstract:

38.

Hedging the Interest Rate Risk of Brady Bonds

96-50
Posted: 22 Jan 1997
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University

Abstract: