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 3,830 (4,761)

Citation 10

Abstract:

2.

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

Downloads 2,173 (11,927)

Citation 436

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 1,800 (15,794)

Citation 33

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 258 (196,790)

Citation 68

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 115 (397,519)

Abstract:

3.

The Real Value of China's Stock Market

Downloads 1,263 (27,481)

Citation 70

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 612 (73,224)

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 545 (84,665)

Citation 12

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 106 (421,957)

Citation 1

Abstract:

4.

Time-Varying Sharpe Ratios and Market Timing

Downloads 909 (43,924)

Citation 9

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 659 (66,736)

Citation 9

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 250 (203,138)

Abstract:

5.

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

Downloads 877 (46,068)

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 710 (60,430)

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 97 (449,136)

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 70 (549,136)

Abstract:

6.

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

Downloads 786 (53,518)

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 786 (52,767)

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.

The Myth of Long-Horizon Predictability

Downloads 713 (60,979)

Citation 147

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 456 (105,313)

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 106 (421,957)

Citation 45

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 87 (482,084)

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 64 (576,803)

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:

8.

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

Downloads 709 (61,440)

Citation 26

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 224 (226,153)

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 95 (455,488)

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 95 (455,488)

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 89 (475,201)

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 86 (485,716)

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 69 (553,525)

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 51 (645,383)

Citation 14

Abstract:

9.

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

Downloads 682 (64,636)

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 571 (79,846)

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 64 (576,803)

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 47 (669,366)

Abstract:

10.

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

Downloads 664 (66,850)

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

University of Illinois at Urbana-Champaign - Department of Finance, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 617 (72,476)

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

University of Illinois at Urbana-Champaign - Department of Finance, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 47 (669,366)

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 553 (84,178)

Citation 14

Abstract:

12.

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

Downloads 432 (113,302)

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 280 (181,156)

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 45 (681,933)

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 39 (722,436)

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 38 (729,704)

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 30 (791,616)

Abstract:

13.

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

Downloads 334 (151,264)

Citation 177

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 221 (229,059)

Citation 60

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 113 (402,742)

Citation 1

Abstract:

14.

Uncovering the Risk Return Relation in the Stock Market

Downloads 331 (153,168)

Citation 142

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 136 (352,132)

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 74 (531,953)

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 69 (553,525)

Citation 30

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 52 (639,434)

Abstract:

15.

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

Downloads 310 (163,657)

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 104 (427,817)

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 76 (523,736)

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 53 (633,752)

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 40 (715,424)

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 37 (736,920)

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 302 (168,322)

Abstract:

17.

Optimal Risk Management Using Options

Downloads 273 (186,815)

Citation 7

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 183 (272,540)

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 90 (471,835)

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 227 (224,010)

Abstract:

19.

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

Downloads 91 (236,832)

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 91 (468,603)

Abstract:

20.

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

Downloads 205 (246,248)

Citation 38

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 135 (352,132)

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 70 (549,136)

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.

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 200 (251,992)

Abstract:

22.

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 199 (253,110)

Citation 63

Abstract:

23.

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 184 (271,498)

Citation 2

Abstract:

24.

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 181 (275,316)

Abstract:

25.

Risk and Return: Some New Evidence

Downloads 174 (285,113)

3

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 66 (567,271)

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 60 (596,196)

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 48 (663,263)

Abstract:

26.

A New Strategy for Dynamically Hedging Mortgage-Backed Securities

Downloads 161 (304,452)

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 161 (304,582)

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 149 (324,859)

Abstract:

28.

Comovement Revisited

Downloads 133 (355,183)

Citation 16

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 106 (421,957)

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 27 (816,663)

Citation 10

Abstract:

29.

Regime Shifts and Bond Returns

Downloads 130 (361,367)

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 84 (493,008)

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 46 (675,658)

Abstract:

30.

The Price and Quantity of Interest Rate Risk

Downloads 109 (413,913)

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 93 (461,978)

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 16 (931,132)

Abstract:

31.

Risk and Return: An Equilibrium Approach

Downloads 108 (413,913)

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 71 (544,821)

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 37 (736,920)

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 96 (448,906)

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 68 (554,803)

Abstract:

34.

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 66 (559,037)

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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