Professor Robert Whitelaw: Research Materials

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Send email: rwhitela@stern.nyu.edu

Working Papers

  1. "Time-Varying Sharpe Ratios and Market Timing"
  2. "A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility" (with Jacob Boudoukh, Matthew Richardson, and Richard Stanton) formerly "The Stochastic Behavior of Interest Rates: Implications from a Nonlinear, Continuous-Time, Multifactor Model"
  3. "Regime Shifts and Bond Returns" (with Jacob Boudoukh, Matthew Richardson, and Tom Smith)
  4. "The Valuation and Hedging of Deferred Commission Asset Backed Securities" (with Jacob Boudoukh, Patrick McAllister, and Matthew Richardson)
  5. "The Economics of Asset Management" (with Jacob Boudoukh, Matthew Richardson, and Richard Stanton) formerly "Valuing Mutual Fund Companies"
  6. "The Myth of Long-Horizon Predictability" (with Jacob Boudoukh and Matthew Richardson)
  7. "The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly" (with Jacob Boudoukh and Matthew Richardson)

Published Papers

  1. “The Myth of Long-Horizon Predictability” (with Jacob Boudoukh and Matthew Richardson), 2006, Review of Financial Studies, forthcoming.
  2. “Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the FCOJ Market” (with Jacob Boudoukh, Matthew Richardson, and YuQing Shen), 2006, Journal of Financial Economics, Vol. 83, No. 2, pp. 397-412.
  3. "Uncovering the Risk-Return Relation in the Stock Market" (with Hui Guo), 2006, Journal of Finance, Vol. 61, No. 3, pp. 1433-1463.
  4. "Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets" (with Eli Ofek and Matthew Richardson), 2004, Journal of Financial Economics, Vol. 74, No. 2, pp. 305-342.
  5. "MaxVaR: Long Horizon Value at Risk in a Mark-to-Market Environment" (with Jacob Boudoukh, Matthew Richardson, and Richard Stanton), 2004, Journal of Investment Management, Vol. 2, No. 3, pp. 14-19.
  6. "Stale Prices and Strategies for Trading Mutual Funds" (with Jacob Boudoukh, Matthew Richardson, and Marti Subrahmanyam), 2002, Financial Analysts Journal, Vol. 58, No. 4, pp. 53-71.
  7. "Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations" (with Dong-Hyun Ahn, Jacob Boudoukh, and Matthew Richardson), 2002, Review of Financial Studies, Vol. 15, No. 2, pp. 655-689.
  8. "News or Noise? Internet Postings and Stock Prices" (with Robert Tumarkin), 2001, Financial Analysts Journal, Vol. 57, No. 3, pp. 41-51.
  9. "Stock Market Risk and Return: An Equilibrium Approach" 2000, Review of Financial Studies, Vol. 13, No. 3, pp. 521-547.
  10. "Ex Ante Bond Returns and the Liquidity Preference Hypothesis" (with Jacob Boudoukh, Matthew Richardson, and Tom Smith), 1999, Journal of Finance, Vol. 54, No. 3, pp. 1153-1167.
  11. "Optimal Risk Management Using Options" (with Dong-Hyun Ahn, Jacob Boudoukh, and Matthew Richardson), 1999, Journal of Finance, Vol. 54, No. 1, pp. 359-375.
  12. "The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk" (with Jacob Boudoukh and Matthew Richardson), 1998, Risk, Vol. 11, No. 5, pp. 64-67.
  13. "Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach" (with Jacob Boudoukh, Matthew Richardson, and Richard Stanton), 1997, Review of Financial Studies, Vol. 10, No. 2, pp. 405-446.
  14. "Investigation of a Class of Volatility Estimators" (with Jacob Boudoukh and Matthew Richardson), 1997, Journal of Derivatives, Vol. 4, No. 3, pp. 63-71.
  15. "Nonlinearities in the Relation Between the Equity Risk Premium and the Term Structure" (with Jacob Boudoukh and Matthew Richardson), 1997, Management Science, Vol. 43, No. 3, pp. 371-385.
  16. "A New Strategy for Dynamically Hedging Mortgage-Backed Securities" (with Jacob Boudoukh, Matthew Richardson, and Richard Stanton), 1995, Journal of Derivatives, Vol. 2, No. 4, pp. 60-77.
  17. "Expect the Worst" (with Jacob Boudoukh and Matthew Richardson), 1995, Risk, Vol. 8, No. 9, pp. 100-101.
  18. "Industry Returns and the Fisher Effect" (with Jacob Boudoukh and Matthew Richardson), 1994, Journal of Finance, Vol. 49, No. 5, pp. 1595-1615.
  19. "A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns" (with Jacob Boudoukh and Matthew Richardson), 1994, Review of Financial Studies, Vol. 7, No. 3, pp. 539-573.
  20. "Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns" 1994, Journal of Finance, Vol. 49, No. 2, pp. 515-541.
  21. "Liquidity as a Choice Variable: A Lesson From the Japanese Government Bond Market" (with Jacob Boudoukh), 1993, Review of Financial Studies, Vol. 6, No. 2, pp. 265-292.
  22. "The Benchmark Effect in the Japanese Government Bond Market" (with Jacob Boudoukh), 1991, Journal of Fixed Income, Vol. 1, No. 2, pp. 52-59.