Articles 1980-1989
Hans R. Stoll and Robert E. Whaley, 1988, Futures and options on stock indexes: Economic purpose, arbitrage, and market structure, Review of Futures Markets 7, 224-248.
Giovanni Barone-Adesi and Robert E. Whaley, 1988, On the valuation of American put options on dividend-paying stocks, Advances in Futures and Options Research 3, 1-13.
Hans R. Stoll and Robert E. Whaley, 1988, Stock index futures and options: Economic impact and policy issues, International Journal of Securities Markets 2, 3-19.
Hans R. Stoll and Robert E. Whaley, 1988, Program trading and the Monday massacre, Investment Management Review 2 (January/February), 27-34.
Hans R. Stoll and Robert E. Whaley, 1988, Stock market volatility and index futures: Message versus messenger, Journal of
Portfolio Management 14 (Winter), 20-22.
Giovanni Barone-Adesi and Robert E. Whaley, 1987, Efficient analytic approximation of American option values, Journal of Finance 42 (June), 301-320. Also in Selected Writings on Futures Markets: The Interrelations Between Futures, Option and Futures Option Markets, Robert E. Whaley (Editor), The Chicago Board of Trade, Chicago, IL, 1992, in Currency Derivatives: Pricing Theory, Exotic Options, and Hedging Applications, D. DeRosa (Editor), John Wiley and Sons (1998), and 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.
Hans R. Stoll and Robert E. Whaley, 1987, Program trading and expiration day effects, Financial Analysts Journal 43 (March/April), 16-28. Also in CRSP Proceedings, The Seminar on Research in Security Prices (February 1987), 139-163, and CFA Readings in Derivative Securities, M.A. Berry and K.F. Sherrerd (Editors), The Institute for Chartered Financial Analysts (1988), 205-216. Winner of 1987 Graham and Dodd Scroll for Excellence in Financial Writing.
Hans R. Stoll and Robert E. Whaley, 1986, Program trading and the stock market, Financial Analysts Journal 42 (November/December), 8.
Robert E. Whaley, 1986, Expiration day effects of index futures and options—Empirical tests, Review of Research in Futures Markets 5 (November), 292-304.
Giovanni Barone-Adesi and Robert E. Whaley, 1986, The valuation of American call options and the expected ex-dividend stock price decline, Journal of Financial Economics 17 (September), 91-111. Abstract appears in Journal of Economic Literature 25 (June 1987), 1150.
Hans R. Stoll and Robert E. Whaley, 1986, New option instruments: Arbitrageable linkages and valuation, Advances in Futures and Options Research 1(A), 25-62.
Robert E. Whaley, 1986, On valuing American futures options, Financial Analysts Journal 42 (May/June), 49-59. Also in CFA Readings in Derivative Securities, M.A. Berry and K.F. Sherrerd (Editors), The Institute for Chartered Financial Analysts (1988), 194-204, and in Currency Derivatives: Pricing Theory, Exotic Options, and Hedging Applications, D. DeRosa (Editor), John Wiley and Sons (1998). Winner of 1986 Graham and Dodd Scroll for Excellence in Financial Writing.
Robert E. Whaley, 1986, Valuation of American futures options: Theory and empirical tests, Journal of Finance 41 (March), 127-150. Also in The Handbook of Financial Engineering: New Financial Product Innovations, Applications, and Analyses, Clifford W. Smith Jr. and Charles W. Smithson (Editors), Harper Business, A Division of Harper & Row, Publishers, New York, 1990; in The Financial Derivatives Reader, Robert W. Kolb (Editor), Kolb Publishing Company, Miami, FL, 1992; and in Selected Writings on Futures Markets: The Interrelations Between Futures, Option and Futures Option Markets, Robert E. Whaley (Editor), The Chicago Board of Trade, Chicago, IL, 1992. Abstract appears in Journal of Economic Literature 24 (September 1986), 1606.
Hans R. Stoll and Robert E. Whaley, 1985, The new options markets. In Futures Markets: Their Economic Role, Anne Peck (editor), Washington, D.C.: American Enterprise Institute, 205-289.
Hans R. Stoll and Robert E. Whaley, 1984, New options instruments: Arbitrageable linkages and valuation: An extended abstract, Proceedings of the Money, Banking and Insurance Symposium (December), 1067-1076.
Robert E. Whaley, 1984, Equity futures contracts: A new stock portfolio management tool, Advantage 6 (April), 119-120.
Hans R. Stoll and Robert E. Whaley, 1983, Transaction costs and the small firm effect, Journal of Financial Economics 12 (June), 57-79.
Robert E. Whaley and Joseph K. Cheung, 1982, Anticipation of quarterly earnings announcements: A test of option market efficiency, Journal of Accounting and Economics 4 (October), 57-83. Lead article.
Robert E. Whaley, 1982, Valuation of American call options on dividend-paying stocks: Empirical tests, Journal of Financial Economics 10 (March), 29-58. Also in Empirical Research in Capital Markets, G.William Schwert and Clifford W. Smith Jr. (Editors), McGraw-Hill Book Company (1991).
Robert E. Whaley, 1981, On the valuation of American call options on stocks with known dividends, Journal of Financial Economics 9 (June), 207-211. Also in CFA Readings in Derivative Securities, M.A. Berry and K.F. Sherrerd (Editors), The Institute for Chartered Financial Analysts (1988), 127-131; and in Selected Writings on Futures Markets: The Interrelations Between Futures, Option and Futures Option Markets, Robert E. Whaley (Editor), The Chicago Board of Trade, Chicago, IL, 1992.
