ROBERT E. WHALEY
21 catalog papers. Identity-linked publications and additional name matches are distinguished below.
ORCID: 0000-0001-9456-7734
Publications
- Using Option Prices to Infer Overpayments and Synergies in M&A Transactions — The Review of Financial Studies 2013
- Early Exercise of Put Options on Stocks — The Journal of Finance 2012
- Hedge Fund Risk Dynamics: Implications for Performance Appraisal — The Journal of Finance 2009
- Regulation Fair Disclosure and the Cost of Adverse Selection — Journal of Accounting Research 2008
- Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? — The Journal of Finance 2004
- Implied Volatility Functions: Empirical Tests — The Journal of Finance 1998
- Assessing Goodness-of-Fit of Asset Pricing Models: The Distribution of the MaximalR2 — The Journal of Finance 1997
- An Anatomy of the “S&P Game”: The Effects of Changing the Rules — The Journal of Finance 1996
- Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage-induced or Statistical Illusion? — The Journal of Finance 1994
- The Value of Wildcard Options — The Journal of Finance 1994
- One Market? Stocks, Futures, and Options During October 1987 — The Journal of Finance 1992
- S&P 100 Index Option Volatility — The Journal of Finance 1991
- Stock Market Structure and Volatility — The Review of Financial Studies 1990
- Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets — The Journal of Finance 1990
- The Dynamics of Stock Index and Stock Index Futures Returns — Journal of Financial and Quantitative Analysis 1990
- Efficient Analytic Approximation of American Option Values — The Journal of Finance 1987
- Valuation of American Futures Options: Theory and Empirical Tests — The Journal of Finance 1986
- Transaction costs and the small firm effect — Journal of Financial Economics 1983
- Anticipation of quarterly earnings announcements: A test of option market efficiency☆ — Journal of Accounting and Economics 1982
- Valuation of American call options on dividend-paying stocks — Journal of Financial Economics 1982
- On the valuation of American call options on stocks with known dividends — Journal of Financial Economics 1981