Výsledky vyhledávání - "Robert A. Whaley"

Levered and Inverse Exchange-Traded Products: Blessing or Curse?

Autor: Colby J. Pessina, Robert E. Whaley

Publikováno v: Financial Analysts Journal. 77:10-29

Levered and inverse exchange-trade products (ETPs) are designed to provide geared long and short exposures to the daily returns of various benchmark indexes. The benchmarks may be any reference ind...

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::78c2a6f09a1d1d469a5ff1e874bb263d
https://doi.org/10.1080/0015198x.2020.1830660

Zobrazit plný text záznamu

Levered and inverse VIX ETP option contract adjustments: No harm, no foul?

Autor: Robert E. Whaley, Angel Tengulov

Publikováno v: Accounting & Finance. 60:3253-3277

The terms of exchange‐traded stock option contracts are usually adjusted when corporate actions take place. These adjustments are made to safeguard the value of the outstanding option contracts. Recently, a new type of corporate event has appeared

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d86c2d1b2b5442f2a4fc45ceb110a315
https://doi.org/10.1111/acfi.12702

Zobrazit plný text záznamu

Plný text ve formátu HTML

Effects of Nondiscretionary Trading on Futures Prices

Autor: Michael J. O'Neill, Robert E. Whaley

Publikováno v: SSRN Electronic Journal.

This paper examines the effects of the nondiscretionary trading demands of VIX exchangetraded products (ETPs) issuers on the prices and volumes in the VIX futures. We find that the ETPs’ information-less, mechanical rebalancing of futures positions

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3ccada4ed556cafd62f85567e612cb6c
https://doi.org/10.2139/ssrn.4028483

Zobrazit plný text záznamu

Levered and Inverse ETPs: Blessing or Curse?

Autor: Robert E. Whaley, Colby J. Pessina

Publikováno v: SSRN Electronic Journal.

Levered and inverse ETPs are designed to provide geared long and short exposures to the daily returns of different benchmark indexes. The benchmarks can be any reference index. The popular ones are on stocks, bonds, commodities and volatility. The pr

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::0b394101311723eb0d555b3aab91814f
https://doi.org/10.2139/ssrn.3572981

Zobrazit plný text záznamu

The unpaid social cost of carbon

Autor: Martina K. Linnenluecke, Thomas J. Smith, Robert E. Whaley

Publikováno v: Accounting Research Journal. 31:122-134

Purpose This paper aims to examine the complex issue of the social cost of carbon. The authors review the existing literature and the strengths and deficiencies of existing approaches. They introduce a simple methodology that estimates the amount of

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::82a644c4aa7bd1bd3ef6a33271c49272
https://doi.org/10.1108/arj-08-2017-0138

Zobrazit plný text záznamu

EDITORIAL COMMENTS

Autor: Robert E. Whaley, François Cocquemas

Publikováno v: The Journal of Portfolio Management. 42:4-7

1. Francois Cocquemas 1. is The FMRC Research Scholar at Vanderbilt University in Nashville, TN and a PhD candidate at EDHEC Business School in Nice, France. (francois.cocquemas{at}owen.vanderbilt.edu) 2. Robert E. Whaley 1. is the Valere Blair Potte

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::2f4a29330434f6fb23a4ec5d0cb7c2d1
https://doi.org/10.3905/jpm.2016.42.4.004

Zobrazit plný text záznamu

Futures Market Volatility: What Has Changed?

Autor: Nicolas P. B. Bollen, Robert E. Whaley

Publikováno v: Journal of Futures Markets. 35:426-454

The evolution of trading practices in futures markets, including growth of high-frequency trading, has raised concerns about market quality. This study investigates whether excess futures return volatility, as an encompassing gauge of market quality,

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::5c77549b2cfbeabd75ef1419233de5a6
https://doi.org/10.1002/fut.21666

Zobrazit plný text záznamu

Using Option Prices to Infer Overpayments and Synergies in M&A Transactions

Autor: Robert E. Whaley, David Robinson, Thomas J. Smith, Kathryn Barraclough

Publikováno v: The Review of Financial Studies. 26(3):695-722

In this paper, we use call option prices to identify synergies and news from merger and acquisition (M&A) transaction announcements. We find that M&A announcements result in large and approximately equal gains to the bidder and the target on average,

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ef959f4916b2dfa2343b38406de71d92
http://hdl.handle.net/10.1093/rfs/hhs119

Zobrazit plný text záznamu

Early Exercise of Put Options on Stocks

Autor: Kathryn Barraclough, Robert E. Whaley

Publikováno v: The Journal of Finance. 67:1423-1456

U.S. exchange-traded stock options are exercisable before expiration. While put options should frequently be exercised early to earn interest, they are not. In this paper, we derive an early exercise decision rule and then examine actual exercise beh

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::bf7b06a9b0a949c9c76cb0bb7a019e3c
https://doi.org/10.1111/j.1540-6261.2012.01752.x

Zobrazit plný text záznamu

Vyhledávací nástroje:

Upřesnit hledání