Robert E. Whaley

16.0k total citations · 6 hit papers
98 papers, 11.4k citations indexed

About

Robert E. Whaley is a scholar working on Finance, Economics and Econometrics and Accounting. According to data from OpenAlex, Robert E. Whaley has authored 98 papers receiving a total of 11.4k indexed citations (citations by other indexed papers that have themselves been cited), including 80 papers in Finance, 46 papers in Economics and Econometrics and 24 papers in Accounting. Recurrent topics in Robert E. Whaley's work include Financial Markets and Investment Strategies (69 papers), Stochastic processes and financial applications (27 papers) and Market Dynamics and Volatility (26 papers). Robert E. Whaley is often cited by papers focused on Financial Markets and Investment Strategies (69 papers), Stochastic processes and financial applications (27 papers) and Market Dynamics and Volatility (26 papers). Robert E. Whaley collaborates with scholars based in United States, Australia and New Zealand. Robert E. Whaley's co-authors include Hans R. Stoll, Nicolas P. B. Bollen, Jeff Fleming, Giovanni Barone‐Adesi, Bernard Dumas, Tom Smith, Barbara Ostdiek, Campbell R. Harvey, Jens A. Stephan and Messod D. Beneish and has published in prestigious journals such as The Journal of Finance, Journal of Financial Economics and Review of Financial Studies.

In The Last Decade

Robert E. Whaley

97 papers receiving 10.3k citations

Hit Papers

5 papers align trajectories

What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

Implied Volatility Functions: Empirical Tests

1998 884 citations Jeff Fleming, Robert E. Whaley et al. The Journal of Finance profile →
The Investor Fear Gauge

2000 822 citations Robert E. Whaley The Journal of Portfolio Management profile →
Efficient Analytic Approximation of American Option Values

1987 707 citations Robert E. Whaley et al. The Journal of Finance profile →
Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?

2004 670 citations Nicolas P. B. Bollen, Robert E. Whaley The Journal of Finance profile →
The Dynamics of Stock Index and Stock Index Futures Returns

1990 626 citations Hans R. Stoll, Robert E. Whaley Journal of Financial and Quantitative Analysis profile →
Understanding the VIX

2009 436 citations Robert E. Whaley The Journal of Portfolio Management profile →

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name	h						Papers	Cites
Robert E. Whaley United States	46	10.2k	6.5k	2.4k	2.1k	780	98	11.4k
Philippe Jorion United States	47	8.7k 0.9×	6.4k 1.0×	4.0k 1.7×	3.3k 1.6×	1.6k 2.0×	113	12.1k
John H. Cochrane United States	48	9.3k 0.9×	8.3k 1.3×	3.5k 1.5×	5.6k 2.7×	950 1.2×	127	13.6k
George Tauchen United States	41	8.4k 0.8×	7.1k 1.1×	1.1k 0.5×	3.2k 1.6×	613 0.8×	112	11.1k
Andrew Ang United States	42	14.0k 1.4×	9.5k 1.5×	3.8k 1.6×	4.7k 2.3×	1.4k 1.7×	157	16.4k
Francis A. Longstaff United States	50	11.9k 1.2×	5.2k 0.8×	2.3k 1.0×	2.2k 1.1×	774 1.0×	113	13.3k
Sydney C. Ludvigson United States	36	7.3k 0.7×	7.6k 1.2×	2.5k 1.1×	4.8k 2.3×	740 0.9×	68	10.8k
Pedro Santa‐Clara United States	35	5.4k 0.5×	3.7k 0.6×	1.2k 0.5×	1.7k 0.8×	828 1.1×	53	6.4k
Robert A. Jarrow United States	51	11.3k 1.1×	4.7k 0.7×	2.9k 1.2×	1.1k 0.5×	1.1k 1.4×	300	12.7k
David A. Hsieh United States	41	7.6k 0.7×	5.8k 0.9×	2.3k 1.0×	2.1k 1.0×	855 1.1×	68	9.2k
Matthew Richardson United States	42	6.7k 0.7×	4.6k 0.7×	2.5k 1.1×	1.7k 0.8×	627 0.8×	127	8.2k

Countries citing papers authored by Robert E. Whaley

Since Specialization

Citations

This map shows the geographic impact of Robert E. Whaley's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Robert E. Whaley with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Robert E. Whaley more than expected).

Fields of papers citing papers by Robert E. Whaley

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Robert E. Whaley. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Robert E. Whaley. The network helps show where Robert E. Whaley may publish in the future.

Co-authorship network of co-authors of Robert E. Whaley

This figure shows the co-authorship network connecting the top 25 collaborators of Robert E. Whaley. A scholar is included among the top collaborators of Robert E. Whaley based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Robert E. Whaley. Robert E. Whaley is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

Sort: Min cites: Since: Top N: Style:

20 of 20 papers shown

Whaley, Robert E., et al.. (2022). Effects of Nondiscretionary Trading on Futures Prices. SSRN Electronic Journal. 1 indexed citations

Whaley, Robert E., et al.. (2020). Levered and Inverse ETPs: Blessing or Curse?. SSRN Electronic Journal. 1 indexed citations

Bollen, Nicolas P. B., et al.. (2016). Tail Wags Dog: Intraday Price Discovery in VIX Markets. Journal of Futures Markets. 37(5). 431–451. 37 indexed citations

Whaley, Robert E., et al.. (2012). Early Exercise of Put Options on Stocks. The Journal of Finance. 67(4). 1423–1456. 7 indexed citations

Stoll, Hans R. & Robert E. Whaley. (2011). Commodity Index Investing: Speculation or Diversification?. The Journal of Alternative Investments. 14(1). 50–60. 43 indexed citations

Powell, John, Jing Shi, Tom Smith, & Robert E. Whaley. (2008). Political Regimes, Business Cycles, Seasonalities, and Returns. SSRN Electronic Journal. 4 indexed citations

Powell, John, Jing Shi, Tom Smith, & Robert E. Whaley. (2007). The persistent presidential dummy; differences turn out to be insignificant. The Journal of Portfolio Management. 4 indexed citations

Sidhu, Baljit K., Tom Smith, Robert E. Whaley, & Richard H. Willis. (2007). Regulation Fair Disclosure and the Cost of Adverse Selection. SSRN Electronic Journal. 18 indexed citations

Beneish, Messod D. & Robert E. Whaley. (2002). S&P 500 Index Replacements. The Journal of Portfolio Management. 29(1). 51–60. 43 indexed citations

10.

Gray, Stephen & Robert E. Whaley. (1997). Innovations: Valuing S&P 500 Bear Market Warrants with a Periodic Reset. SSRN Electronic Journal. 3 indexed citations

11.

Gray, Stephen & Robert E. Whaley. (1997). Valuing S&P 500 Bear Market Warrants With a Periodic Reset. The Journal of Derivatives. 5(1). 99–106. 30 indexed citations

12.

Foster, F. Douglas, Tom Smith, & Robert E. Whaley. (1997). Assessing Goodness-Of-Fit of Asset Pricing Models: The Distribution of the Maximal R 2. The Journal of Finance. 52(2). 591–591. 37 indexed citations

13.

Fleming, Jeff, Barbara Ostdiek, & Robert E. Whaley. (1996). Trading costs and the relative rates of price discovery in stock, futures, and option markets. Journal of Futures Markets. 16(4). 353–387. 320 indexed citations

14.

Fleming, Jeff, Barbara Ostdiek, & Robert E. Whaley. (1995). Predicting stock market volatility: A new measure. Journal of Futures Markets. 15(3). 265–302. 397 indexed citations

15.

Smith, Tom & Robert E. Whaley. (1994). Estimating the effective BID/ASK spread from time and sales data. Journal of Futures Markets. 14(4). 437–455. 73 indexed citations

16.

Miller, Merton H., Jayaram Muthuswamy, & Robert E. Whaley. (1994). Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion?. The Journal of Finance. 49(2). 479–513. 257 indexed citations

17.

Kleidon, Allan W. & Robert E. Whaley. (1992). One Market? Stocks, Futures, and Options During October 1987. The Journal of Finance. 47(3). 851–877. 51 indexed citations

18.

Stoll, Hans R. & Robert E. Whaley. (1990). The Dynamics of Stock Index and Stock Index Futures Returns. Journal of Financial and Quantitative Analysis. 25(4). 441–441. 626 indexed citations breakdown →

19.

Whaley, Robert E.. (1986). Valuation of American Futures Options: Theory and Empirical Tests. The Journal of Finance. 41(1). 127–150. 117 indexed citations

20.

Whaley, Robert E.. (1982). Valuation of American call options on dividend-paying stocks. Journal of Financial Economics. 10(1). 29–58. 223 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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