Articles 1990-1999

Nicolas P.B. Bollen and Robert E. Whaley, 1999, Do expirations of the Hang Seng index derivatives affect stock market volatility? Pacific-Basin Finance Journal 7, 453-470.

Stephen Gray and Robert E. Whaley, 1999, Reset put options: Valuation, risk characteristics, and an application, Australian Journal of Management 22 (June), 1-20.

 

Bernard Dumas, Jeff Fleming and Robert E. Whaley, 1998, Implied volatility functions: Empirical tests, Journal of Finance 53 (December), 2059-2106. Also in The International Library of Critical Readings in Financial Economics: Options Markets, G.M. Constantinides and A.G. Malliaris (Editors), Edward Elgar Publishing Limited, 2001 and in Financial Markets, B. Biais and Marco Pagano (Editors), The Oxford University Press, 2002.

 

Nicolas P.B. Bollen and Robert E. Whaley, 1998, Simulating supply, Risk 11 (September), 143-147. Also in Corporate Hedging in Theory and Practice: Lessons from Metallgesellschaft, C.L. Culp and M.H. Miller (Editors), RISK Books, London, England, 1999.

 

Nicolas P.B. Bollen and Robert E. Whaley, 1998, Are teenies better? Journal of Portfolio Management 25 (Fall), 10-24.

Robert E. Whaley, 1997, Building on Black-Scholes, Risk 10 (December), 149-156. Also in Hedging with Trees: Advances in Pricing and Risk Managing Derivatives, M. Broadie and P. Glasserman (Editors), RISK Books, London, England, 1998.

 

Stephen Gray and Robert E. Whaley, 1997, Valuing S&P 500 bear market warrants with a periodic reset, Journal of Derivatives 5, 1 (Fall), 99-106.

Hans R. Stoll and Robert E. Whaley, 1997, Expiration-day effects of the All Ordinaries Share Price Index futures: Empirical evidence and alternative settlement procedures, Australian Journal of Management 22 (December), 139-174. Winner of 1998 E. Yetton Award for Best Paper in Australian Journal of Management during 1997.

 

F. Douglas Foster, Tom Smith and Robert E. Whaley, 1997, Assessing the goodness-of-fit of asset pricing models: The distribution of the maximal R2, Journal of Finance 52 (June), 591-607. Also in Financial Econometrics, A. Lo (Editor), Edward Elgar Publishing Ltd., Cheltenham, Glos, United Kingdom, 2006.

Messod D. Beneish and Robert E. Whaley, 1997, A scorecard from the S&P Game, Journal of Portfolio Management 23 (Winter), 16-23.

 

Messod D. Beneish and Robert E. Whaley, 1996, An anatomy of the ‘S&P Game’: The effects of changing the rules, Journal of Finance 51 (December), 1909-1930.

 

Robert E. Whaley, 1996, Valuing spread options, Energy in the News (Summer), 42-45.

 

Jeff Fleming, Barbara Ostdiek and Robert E. Whaley, 1996, Trading costs and the relative rates of price discovery in the stock, futures and options Markets, Journal of Futures Markets 16 (June), 353-387.

 

Jeff Fleming, Barbara Ostdiek and Robert E. Whaley, 1995, Predicting stock market volatility: A new measure, Journal of Futures Markets 15 (May), 265-302. Also in the Chicago Board of Trade’s Research Symposium Proceedings, December 1994, 155-200.

 

Merton Miller, Jay Muthuswamy and Robert E. Whaley, 1994, Mean reversion of S&P 500 index basis changes: Arbitrage-induced or statistical illusion? Journal of Finance 49 (June), 479-513.

 

Tom Smith and Robert E. Whaley, 1994, Estimating the effective bid/ask spread using time and sales data, Journal of Futures Markets 14 (June), 437-455.

 

Tom Smith and Robert E. Whaley, 1994, Assessing the costs of regulation: The case of dual trading, Journal of Law and Economics 37 (April), 215-246.

 

Jeff Fleming and Robert E. Whaley, 1994, The value of wildcard options, Journal of Finance 49 (March), 215-236.

 

Robert E. Whaley, 1993, Predictability of stock index basis changes, Review of Futures Markets 12, 503-508.

Robert E. Whaley, 1993, Intra-day price observations: On computing portfolio returns, Review of Futures Markets 12, 175-190.

Robert E. Whaley, 1993, Derivatives on market volatility: Hedging tools long overdue, Journal of Derivatives 1 (Fall), 71-84. Also in Volatility: New Techniques for Pricing Derivatives and Managing Financial Portfolios, Robert A. Jarrow (Editor), RISK Books, London, England, 1998.

Allan W. Kleidon and Robert E. Whaley, 1992, One market?  Stocks, futures and options during October 1987, Journal of Finance 47 (July), 851-877.

Campbell R. Harvey and Robert E. Whaley, 1992, Market volatility prediction and the efficiency of the S&P 100 index option market, Journal of Financial Economics 30 (February), 33-73.

Campbell R. Harvey and Robert E. Whaley, 1992, Dividends and S&P 100 index option valuation, Journal of Futures Markets 12 (April), 123-137.

Campbell R. Harvey and Robert E. Whaley, 1991, S&P 100 index option volatility, Journal of Finance 46 (September), 1551-1561.

Hans R. Stoll and Robert E. Whaley, 1991, Expiration-day effects: What has changed? Financial Analysts Journal 47 (January/February), 58-72.

Hans R. Stoll and Robert E. Whaley, 1990, The dynamics of stock index and stock index futures returns, Journal of Financial and Quantitative Analysis 25 (December), 441-468. Also in Futures Markets, A.G. Malliaris (Editor), Edward Elgar Publishing Limited, Cheltenham, United Kingdom, 1995.

Hans R. Stoll and Robert E. Whaley, 1990, Stock market structure and volatility, Review of Financial Studies 3 (Spring), 37-71.

Jens Stephen and Robert E. Whaley, 1990, Intraday price change and trading volume relations in the stock and stock option markets, Journal of Finance 45(March), 191-220.

Hans R. Stoll and Robert E. Whaley, 1990, Program trading and individual stock returns: Ingredients of the triple witching brew, Journal of Business 63 (January), S165-S192.

©2020 by Robert E. Whaley.