Robert E. Whaley | Academic Influence

Robert E. Whaley's AcademicInfluence.com Rankings

Robert E. Whaley

Business

#102

World Rank

#116

Historical Rank

Risk Management

#24

World Rank

#24

Historical Rank

Finance

#30

World Rank

#33

Historical Rank

Management

#61

World Rank

#66

Historical Rank

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Business

Robert E. Whaley's Degrees

PhD Finance University of Chicago
Masters Finance University of Chicago
Bachelors Economics University of Chicago

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Why Is Robert E. Whaley Influential?

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According to Wikipedia, Robert E. Whaley is Valere Blair Potter Professor of Management and Director of the Financial Markets Research Center at the Owen Graduate School of Management at Vanderbilt University. Whaley developed the Market Volatility Index for the Chicago Board Options Exchange in 1993.

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Robert E. Whaley's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Implied volatility functions: empirical tests (1996) (1264)
Efficient Analytic Approximation of American Option Values (1987) (1152)
The Investor Fear Gauge (2000) (932)
Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2002) (887)
The Dynamics of Stock Index and Stock Index Futures Returns (1990) (861)
Transaction costs and the small firm effect (1983) (615)
Stock Market Structure and Volatility (1990) (593)
Predicting stock market volatility: A new measure (1995) (571)
Understanding the VIX (2009) (548)
Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets (1996) (465)
Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets (1990) (463)
An Anatomy of the “S&P Game”: The Effects of Changing the Rules (1996) (406)
Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion? (1994) (370)
Commodity Index Investing and Commodity Futures Prices (2009) (352)
Valuation of American call options on dividend-paying stocks: Empirical tests (1982) (344)
Market volatility prediction and the efficiency of the S & P 100 index option market (1992) (332)
Derivatives on Market Volatility (1993) (316)
On the valuation of American call options on stocks with known dividends (1981) (267)
Regime switching in foreign exchange rates : Evidence from currency option prices (2000) (237)
Assessing goodness-of-fit of asset pricing models: The distribution of the maximal R2 (1997) (227)
Hedge Fund Risk Dynamics: Implications for Performance Appraisal (2007) (223)
Program Trading and Expiration-Day Effects (1987) (216)
Valuation of American Futures Options: Theory and Empirical Tests (1986) (187)
Modeling the bid/ask spread: measuring the inventory-holding premium ☆ (2004) (171)
S&P 100 Index Option Volatility (1991) (148)
Dividends and S&P 100 index option valuation (1992) (118)
Are “Teenies” Better? (1998) (115)
Expiration-Day Effects: What Has Changed? (1991) (113)
Return and Risk of CBOE Buy Write Monthly Index (2002) (107)
Ownership, Competition, and Financial Disclosure (2006) (99)
Regulation Fair Disclosure and the Cost of Adverse Selection (2007) (98)
Estimating the effective BID/ASK spread from time and sales data (1994) (94)
Derivatives: Markets, Valuation, and Risk Management (2006) (89)
Using Option Prices to Infer Overpayments and Synergies in M&A Transactions (2011) (86)
Trading Volatility: At What Cost? (2013) (84)
Expiration‐Day Effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures (1997) (78)
Program Trading and Individual Stock Returns: Ingredients of the Triple-Witching Brew (1990) (73)
One Market? Stocks, Futures, and Options During October 1987 (1992) (72)
The valuation of American call options and the expected ex-dividend stock price decline (1986) (58)
Optimal Contract Design: For Whom? (2003) (55)
Reset Put Options: Valuation, Risk Characteristics, and an Application (1999) (53)
Early Exercise of Put Options on Stocks (2011) (52)
Stock splits: implications for investor trading costs (2003) (51)
The Persistent Presidential Dummy (2006) (51)
S&P 500 Index Replacements (2002) (50)
Commodity Index Investing: Speculation or Diversification? (2011) (50)
Tail Wags Dog: Intraday Price Discovery in VIX Markets (2017) (48)
The Value of Wildcard Options (1994) (47)
Failure to Exercise Call Options: An Anomaly and a Trading Game (2007) (47)
Two-Sided Markets in Asset Management: Exchange-Traded Funds and Securities Lending (2016) (40)
A Scorecard from the S&P Game (1997) (40)
Do expirations of Hang Seng Index derivatives affect stock market volatility (1999) (39)
Valuing S&P 500 Bear Market Warrants With a Periodic Reset (1997) (39)
Volatility and futures (1988) (37)
Political Regimes, Business Cycles, Seasonalities, and Returns (2008) (36)
Anticipation of quarterly earnings announcements: A test of option market efficiency (1982) (35)
Common Divisors, Payout Persistence, and Return Predictability (2009) (27)
Implied Volatility Smiles: Empirical Tests (1998) (27)
Futures Market Volatility: What Has Changed? (2015) (24)
On Valuing American Futures Options (1986) (22)
Assessing the Costs of Regulation: The Case of Dual Trading (1994) (21)
Taxes, Financial Policy, and Small Business (1985) (19)
Passive Investing: The Role of Securities Lending (2014) (15)
Transactions Costs on Government Bonds: A Respecification (1978) (11)
On the Supply of and Demand for Volatility (2013) (7)
The unpaid social cost of carbon: Introducing a framework to estimate “legal looting” in the fossil fuel industry (2018) (7)
The New Option Markets (1985) (5)
The persistent presidential dummy; differences turn out to be insignificant (2007) (4)
Stock Option Contract Adjustments: The Case of Special Dividends (2009) (3)
Effects of nondiscretionary trading on futures prices (2021) (3)
Chapter 19 Derivatives (2003) (3)
Modeling the bid/ask spread: On the effects of hedging costs and competition (2001) (3)
Levered and Inverse Exchange-Traded Products: Blessing or Curse? (2020) (3)
Levered and Inverse ETPs: Blessing or Curse? (2020) (2)
Levered and Inverse Vix Etp Option Contract Adjustments: No Harm, No Foul? (2020) (2)
EDITORIAL COMMENTS (1985) (2)
Trading Relative Performance with Alpha Indexes (2011) (1)
Selected writings on futures markets : interrelations among futures, option, and futures option markets (1992) (1)
Modeling the Bid/Ask Spread: Measuring the Inventory-Holding Premium (2002) (1)
No‐Arbitrage Price Relations for Forwards, Futures, and Swaps (2012) (1)
Risk Management Strategies: Futures (2012) (0)
Stock Index Products: Futures and Options (2012) (0)
Risk Management Strategies: Options (2012) (0)
ptcy Prediction Using cia1 Neural Systems (2006) (0)
No‐Arbitrage Price Relations for Options (2012) (0)
Reducing the impact of staff reductions on unemployment costs (1993) (0)
Stock Index Products: Strategy Based (2012) (0)
Overwintering Black Spruce Container Stock Under a Styrofoam ® SM Insulating Blanket (1994) (0)
About the CD-ROM (2012) (0)
Valuing Interest Rate Products Numerically (2012) (0)
Interest Rate Products: Swaps (2012) (0)
Put Option Exercise and Short Stock Interest Arbitrage (2012) (0)
Valuing Nonstandard Options Analytically (2012) (0)
American Finance Association Assessing Goodness-OfFit of Asset Pricing Models : The Distribution of the Maximal R 2 Author ( s ) : (2007) (0)
Derivative Contracts and Markets (2012) (0)
Relation between Return and Risk (2012) (0)
Practical Applications of Trading Volatility: At What Cost? (2014) (0)
SPURIOUS REGRESSION, SPURIOUS CORRELATION, AND DIVIDEND YIELD RETURN PREDICTABILITY (2005) (0)
Interest Rate Products: Futures and Options (2012) (0)
Glossary of Derivatives-Related Terms (2012) (0)
On the Causality Between Price Movements in VIX Exchange-traded Funds (ETFs) and VIX Futures Contracts. Do ETFs Increase Volatility? (2018) (0)

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