User profiles for R. F. Whitelaw
Robert F. WhitelawNYU, Stern School of Business Verified email at stern.nyu.edu Cited by 9188 |
The econometrics of financial markets
…, AW Lo, AC MacKinlay, RF Whitelaw - Macroeconomic …, 1998 - cambridge.org
This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical finance. …
acknowledged void in the literature—a text covering the burgeoning field of empirical finance. …
The development of China's stock market and stakes for the global economy
JN Carpenter, RF Whitelaw - Annual Review of Financial …, 2017 - annualreviews.org
The rise of China and fivefold growth of its stock market over the past decade have fueled a
growing literature on this market in financial economics. On the corporate side, researchers …
growing literature on this market in financial economics. On the corporate side, researchers …
Maxing out: Stocks as lotteries and the cross-section of expected returns
Motivated by existing evidence of a preference among investors for assets with lottery-like
payoffs and that many investors are poorly diversified, we investigate the significance of …
payoffs and that many investors are poorly diversified, we investigate the significance of …
Time variations and covariations in the expectation and volatility of stock market returns
RF Whitelaw - The Journal of Finance, 1994 - Wiley Online Library
This article investigates empirically the comovements of the conditional mean and volatility
of stock returns. It extends the results in the literature by demonstrating the role of the …
of stock returns. It extends the results in the literature by demonstrating the role of the …
Limited arbitrage and short sales restrictions: Evidence from the options markets
E Ofek, M Richardson, RF Whitelaw - Journal of Financial Economics, 2004 - Elsevier
We investigate empirically the well-known put–call parity no-arbitrage relation in the presence
of short sales restrictions. Violations of put–call parity are asymmetric in the direction of …
of short sales restrictions. Violations of put–call parity are asymmetric in the direction of …
News or noise? Internet postings and stock prices
R Tumarkin, RF Whitelaw - Financial Analysts Journal, 2001 - Taylor & Francis
The anecdotal evidence is growing that postings in Internet financial forums affect stock
prices, either because the postings contain new information or because they represent …
prices, either because the postings contain new information or because they represent …
Uncovering the risk–return relation in the stock market
H Guo, RF Whitelaw - The Journal of Finance, 2006 - Wiley Online Library
There is ongoing debate about the apparent weak or negative relation between risk (conditional
variance) and expected returns in the aggregate stock market. We develop and estimate …
variance) and expected returns in the aggregate stock market. We develop and estimate …
The myth of long-horizon predictability
…, M Richardson, RF Whitelaw - The Review of Financial …, 2008 - academic.oup.com
The prevailing view in finance is that the evidence for long-horizon stock return predictability
is significantly stronger than that for short horizons. We show that for persistent regressors, a …
is significantly stronger than that for short horizons. We show that for persistent regressors, a …
Stock market risk and return: An equilibrium approach
RF Whitelaw - The Review of Financial Studies, 2000 - academic.oup.com
Empirical evidence that expected stock returns are weakly related to volatility at the market
level appears to contradict the intuition that risk and return are positively related. We …
level appears to contradict the intuition that risk and return are positively related. We …
The real value of China's stock market
What capital allocation role can China’s stock market play? Counter to perception, stock prices
in China have become as informative about future profits as they are in the US. This rise …
in China have become as informative about future profits as they are in the US. This rise …