Search Results - "WHALEY, ROBERT E."

Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? by Bollen, Nicolas P. B., Whaley, Robert E.

“…This paper examines the relation between net buying pressure and the shape of the implied volatility function (IVF) for index and individual stock options. We…”
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Tail Wags Dog: Intraday Price Discovery in VIX Markets by Bollen, Nicolas P.B., O'Neill, Michael J., Whaley, Robert E.

“…Beginning with VIX futures in 2004, followed by VIX options in 2006 and VIX ETPs in 2009, the daily open interest in volatility contracts is now in the tens of…”
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Implied Volatility Functions: Empirical Tests by Dumas, Bernard, Fleming, Jeff, Whaley, Robert E.

“…Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) hypothesize that asset return volatility is a deterministic function of asset price and time, and…”
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Understanding the VIX by Whaley, Robert E

“…Financial news services now routinely report the level of the Chicago Board Option Exchange's MarketVolatility Index, or VIX. This practice may be healthy in…”
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Futures Market Volatility: What Has Changed? by Bollen, Nicolas P.B., Whaley, Robert E.

“…The evolution of trading practices in futures markets, including growth of high‐frequency trading, has raised concerns about market quality. This study…”
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Modeling the bid/ask spread: measuring the inventory-holding premium by Bollen, Nicolas P.B., Smith, Tom, Whaley, Robert E.

“…The need to understand and measure the determinants of market maker bid/ask spreads is crucial in evaluating the merits of competing market structures and the…”
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Trading Volatility: At What Cost? by Whaley, Robert E.

“…Volatility trading is in vogue. Launched in January 2009, exchange-traded products (ETPs) linked to the CBOE Market Volatility Index (VIX) have enamored no…”
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Early Exercise of Put Options on Stocks by BARRACLOUGH, KATHRYN, WHALEY, ROBERT E.

“…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…”
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Using Option Prices to Infer Overpayments and Synergies in M&A Transactions by Barraclough, Kathryn, Robinson, David T., Smith, Tom, Whaley, Robert E.

“…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…”
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Levered and inverse VIX ETP option contract adjustments: No harm, no foul? by Tengulov, Angel, Whaley, Robert E.

“…The terms of exchange‐traded stock option contracts are usually adjusted when corporate actions take place. These adjustments are made to safeguard the value…”
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Levered and Inverse Exchange-Traded Products: Blessing or Curse? by Pessina, Colby J., Whaley, Robert E.

“…Levered and inverse exchange-trade products (ETPs) are designed to provide geared long and short exposures to the daily returns of various benchmark indexes…”
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Effects of nondiscretionary trading on futures prices by O'Neill, Michael J., Whaley, Robert E.

“…This paper examines the effects of the nondiscretionary trading demands of volatility index (VIX) exchange‐traded products (ETPs) issuers on the prices and…”
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Ownership, competition, and financial disclosure by Birt, Jacqueline L., Bilson, Chris M., Smith, Tom, Whaley, Robert E.

“…A firm's incentive to disclose has been linked empirically to a range of variables, including information asymmetry, agency costs, political costs, and…”
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Hedge Fund Risk Dynamics: Implications for Performance Appraisal by BOLLEN, NICOLAS P.B., WHALEY, ROBERT E.

“…Accurate appraisal of hedge fund performance must recognize the freedom with which managers shift asset classes, strategies, and leverage in response to…”
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Efficient Analytic Approximation of American Option Values by BARONE-ADESI, GIOVANNI, WHALEY, ROBERT E.

“…This paper provides simple, analytic approximations for pricing exchange-traded American call and put options written on commodities and commodity futures…”
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The Dynamics of Stock Index and Stock Index Futures Returns by Stoll, Hans R., Whaley, Robert E.

“…In rational, efficiently functioning markets, the returns on stock index and stock index futures contracts should be perfectly, contemporaneously correlated…”
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Regulation Fair Disclosure and the Cost of Adverse Selection by SIDHU, BALJIT, SMITH, TOM, WHALEY, ROBERT E., WILLIS, RICHARD H.

“…Regulation Fair Disclosure (FD) , imposed by the Securities and Exchange Commission in October 2000, was designed to prohibit disclosure of material private…”
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Stock splits: implications for investor trading costs by Gray, Stephen F., Smith, Tom, Whaley, Robert E.

“…Stock splits are known to have a negative effect on market quality—while stock prices adjust consistently with the split's scale, the bid/ask spread and market…”
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An Anatomy of the "S&P Game": The Effects of Changing the Rules by BENEISH, MESSOD D., WHALEY, ROBERT E.

“…ABSTRACT This study analyzes the effects of changes in S&P 500 index composition from January 1986 through June 1994, a period during which Standard and Poor's…”
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Commodity Index Investing: Speculation or Diversification? by Stoll, Hans R., Whaley, Robert E.

“…A number of seemingly unrelated commodities experienced simultaneous price spikes in 2007 and 2008. Congress investigated the increase in prices and concluded…”
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