Robert Whitelaw - Academia.edu (original) (raw)

Papers by Robert Whitelaw

Evidence of excessive comovement among stocks following index additions (Barberis, Shleifer, and ... more Evidence of excessive comovement among stocks following index additions (Barberis, Shleifer, and Wurgler, 2005) and stock splits (Green and Hwang, 2009) challenges traditional finance theory. We show that the bivariate regressions in this literature provide little information about the economic magnitude of excess comovement, with coefficients that are sensitive to unrelated factors. Using robust univariate regressions and matched control samples, almost all evidence of excess comovement disappears. In both examples, the stocks exhibit strong returns prior to the event, akin to momentum winners. We document that winner stocks exhibit increases in betas, generating much of the apparent excess comovement. © 2016 Elsevier B.V. All rights reserved.

Annual Review of Financial Economics

The rise of China and fivefold growth of its stock market over the past decade have fueled a grow... more 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 have evaluated the progress of China's stages of privatization, analyzed biases in the selection of firms for listing, and documented massive underpricing of initial public offerings. On the asset pricing side, researchers have studied the price premium of domestic A shares over their foreign-share counterparts, analyzed the firm-specific information content of prices, provided new evidence on informational and behavioral effects in prices, and begun to identify systematic cross-sectional patterns in returns. Numerous areas are ripe for future research as China's stock market continues to grow in global influence and as ongoing reform provides new natural experiments. Challenges for the field will be to gain familiarity with China's distinctive financial system and to avoid overapplying r...

∗aStern School of Business, NYU, 40 West 4th Street, Suite 9-160, New York, NY 10012, email: jbou... more ∗aStern School of Business, NYU, 40 West 4th Street, Suite 9-160, New York, NY 10012, email: jboudouk@stern.nyu.edu; bStern School of Business, NYU and NBER, 40 West 4th Street, Suite 9-190, New York, NY 10012, email: mrichardson@stern.nyu.edu, phone #: ...

Fisher Center For Real Estate Urban Economics, Apr 29, 2004

Combining insights from the contingent claims and the asset-backed securities literatures, we stu... more Combining insights from the contingent claims and the asset-backed securities literatures, we study the economics of value creation in the asset management business. In particular, we provide a theoretical model and a closed form formula for the value of fund fees in the presence of the well known flow-performance relation, giving rise to interesting nonlinearities and volatility-related effects. The theoretical model sheds light on the role of fees, asset growth, asset and benchmark volatility, and the intensity of the flow-performance relation. To better understand the role of changing fund characteristics such as age and size on the fund value and fund risk, we estimate the empirical relation between returns and flows conditional on these characteristics for various asset classes. We study these effects using Monte Carlo simulations for various economically meaningful parameter values for specific asset classes. Measuring value as a fraction of assets under management, we find that both value and risk, systematic and idiosyncratic, decline in size and age. In addition, value is a complex, non-monotonic function of the fee charged on the fund.

We w ould like to thank Jamie Alexander and Mark Wolfson of Keystone, Inc. and Joe D'Anna of Cons... more We w ould like to thank Jamie Alexander and Mark Wolfson of Keystone, Inc. and Joe D'Anna of Constellation Financial Management for helpful comments and suggestions and Joe D'Anna for compiling the information for the case study. Contact: Matthew Richardson,

ABSTRACT We provide a test of the liquidity preference hypothesis (i.e., the monotonicity of ex a... more ABSTRACT We provide a test of the liquidity preference hypothesis (i.e., the monotonicity of ex ante term premiums), conditioning on the shape of the yield curve. The approach we use is general, and does not require a structural model for conditional expected returns. Using nonparametric estimates, the evidence supports previous conclusions in the literature regarding time-varying negative term premiums. For example, in periods in which the term structure is downward sloping, we find that the premiums can be significantly negative and are often monotonically decreasing in maturity. Interestingly, in these periods the volatility of the term premium is still increasing in maturity, indicating that bond return volatility is not a priced risk.

∗aStern School of Business, NYU, 40 West 4th Street, Suite 9-160, New York, NY 10012, email: jbou... more ∗aStern School of Business, NYU, 40 West 4th Street, Suite 9-160, New York, NY 10012, email: jboudouk@stern.nyu.edu; bStern School of Business, NYU and NBER, 40 West 4th Street, Suite 9-190, New York, NY 10012, email: mrichardson@stern.nyu.edu, phone #: ...

Review of Financial Studies, 1994

Page 1. A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns Jaco... more Page 1. A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns Jacob Boudoukh New York University Matthew P. Richardson University of Pennsylvania Robert F. Whitelaw New York University ...

New York University Leonard N Stern School Finance Department Working Paper Seires, Nov 1, 1999

Page 1. Regime Shifts and Bond Returns Jacob Boudoukha, Matthew Richardsona, Tom Smithb, and Robe... more Page 1. Regime Shifts and Bond Returns Jacob Boudoukha, Matthew Richardsona, Tom Smithb, and Robert F. Whitelawc* November 1, 1999 *aStern School of Business, New York University and the NBER; bAustralian Graduate ...

Http Dx Doi Org 10 3905 Jod 1997 407973, Feb 22, 2009

This paper reexamines frozen concentrated orange juice (FCOJ) futures returns as they relate to f... more This paper reexamines frozen concentrated orange juice (FCOJ) futures returns as they relate to fundamentals, in particular, temperature. We show that when theory clearly identifies the fundamental, i.e., at temperatures close to or below freezing, there is a close link between FCOJprices and that fundamental. Using a simple theoretical nonlinear model of the relation between FCOJ returns and temperature, we

The forward premium anomaly, i.e., the empirical evidence that exchangerate changes are negativel... more The forward premium anomaly, i.e., the empirical evidence that exchangerate changes are negatively related to interest rate differentials, isone of the most robust puzzles in financial economics. We add to thisliterature by recasting the underlying parity relation in terms ofcross-country differences between forward interest rates rather thanspot interest rates. The differences using spot and maturity-matchedforward rates are dramatic. As the maturity of the forward interest ratedifferential increases, the anomalous sign on the coefficient in thetraditional specification is reversed, and the explanatory powerincreases. We present a simple model of interest rates, inflation, andexchange rates that explains this novel empirical evidence. The model isbased on interest rate distortions due to Taylor rules and exchange ratedetermination involving not just purchasing power parity, but alsoeffects due to real rate differentials and subsequent reversion of theexchange rate to fundamentals. We develop and test additionalimplications of this model. A key finding is that the effect of currentinterest rate differentials on exchange rates can be decomposed into twooffsetting components, which, if used separately, greatly increase theexplanatory power of regression models for exchange rates.hry2451/25922hry 2451/25922

ABSTRACT This paper develops a new strategy for dynamically hedging mortgage-backed securities (M... more ABSTRACT This paper develops a new strategy for dynamically hedging mortgage-backed securities (MBSs).

While there is significant interest in investing in Brady bonds, the source of attraction is ofte... more While there is significant interest in investing in Brady bonds, the source of attraction is often the exposure to sovereign risk (and its yield compensation), while the exposure to U.S. interest rate risk is a â¬Snecessary evilâ¬?. This paper addresses the problem of determining the interest rate sensitivity of Brady debt. WE show that the most relevant state variables in

Evidence of excessive comovement among stocks following index additions (Barberis, Shleifer, and ... more Evidence of excessive comovement among stocks following index additions (Barberis, Shleifer, and Wurgler, 2005) and stock splits (Green and Hwang, 2009) challenges traditional finance theory. We show that the bivariate regressions in this literature provide little information about the economic magnitude of excess comovement, with coefficients that are sensitive to unrelated factors. Using robust univariate regressions and matched control samples, almost all evidence of excess comovement disappears. In both examples, the stocks exhibit strong returns prior to the event, akin to momentum winners. We document that winner stocks exhibit increases in betas, generating much of the apparent excess comovement. © 2016 Elsevier B.V. All rights reserved.

Annual Review of Financial Economics

The rise of China and fivefold growth of its stock market over the past decade have fueled a grow... more 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 have evaluated the progress of China's stages of privatization, analyzed biases in the selection of firms for listing, and documented massive underpricing of initial public offerings. On the asset pricing side, researchers have studied the price premium of domestic A shares over their foreign-share counterparts, analyzed the firm-specific information content of prices, provided new evidence on informational and behavioral effects in prices, and begun to identify systematic cross-sectional patterns in returns. Numerous areas are ripe for future research as China's stock market continues to grow in global influence and as ongoing reform provides new natural experiments. Challenges for the field will be to gain familiarity with China's distinctive financial system and to avoid overapplying r...

∗aStern School of Business, NYU, 40 West 4th Street, Suite 9-160, New York, NY 10012, email: jbou... more ∗aStern School of Business, NYU, 40 West 4th Street, Suite 9-160, New York, NY 10012, email: jboudouk@stern.nyu.edu; bStern School of Business, NYU and NBER, 40 West 4th Street, Suite 9-190, New York, NY 10012, email: mrichardson@stern.nyu.edu, phone #: ...

Fisher Center For Real Estate Urban Economics, Apr 29, 2004

Combining insights from the contingent claims and the asset-backed securities literatures, we stu... more Combining insights from the contingent claims and the asset-backed securities literatures, we study the economics of value creation in the asset management business. In particular, we provide a theoretical model and a closed form formula for the value of fund fees in the presence of the well known flow-performance relation, giving rise to interesting nonlinearities and volatility-related effects. The theoretical model sheds light on the role of fees, asset growth, asset and benchmark volatility, and the intensity of the flow-performance relation. To better understand the role of changing fund characteristics such as age and size on the fund value and fund risk, we estimate the empirical relation between returns and flows conditional on these characteristics for various asset classes. We study these effects using Monte Carlo simulations for various economically meaningful parameter values for specific asset classes. Measuring value as a fraction of assets under management, we find that both value and risk, systematic and idiosyncratic, decline in size and age. In addition, value is a complex, non-monotonic function of the fee charged on the fund.

We w ould like to thank Jamie Alexander and Mark Wolfson of Keystone, Inc. and Joe D'Anna of Cons... more We w ould like to thank Jamie Alexander and Mark Wolfson of Keystone, Inc. and Joe D'Anna of Constellation Financial Management for helpful comments and suggestions and Joe D'Anna for compiling the information for the case study. Contact: Matthew Richardson,

ABSTRACT We provide a test of the liquidity preference hypothesis (i.e., the monotonicity of ex a... more ABSTRACT We provide a test of the liquidity preference hypothesis (i.e., the monotonicity of ex ante term premiums), conditioning on the shape of the yield curve. The approach we use is general, and does not require a structural model for conditional expected returns. Using nonparametric estimates, the evidence supports previous conclusions in the literature regarding time-varying negative term premiums. For example, in periods in which the term structure is downward sloping, we find that the premiums can be significantly negative and are often monotonically decreasing in maturity. Interestingly, in these periods the volatility of the term premium is still increasing in maturity, indicating that bond return volatility is not a priced risk.

∗aStern School of Business, NYU, 40 West 4th Street, Suite 9-160, New York, NY 10012, email: jbou... more ∗aStern School of Business, NYU, 40 West 4th Street, Suite 9-160, New York, NY 10012, email: jboudouk@stern.nyu.edu; bStern School of Business, NYU and NBER, 40 West 4th Street, Suite 9-190, New York, NY 10012, email: mrichardson@stern.nyu.edu, phone #: ...

Review of Financial Studies, 1994

Page 1. A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns Jaco... more Page 1. A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns Jacob Boudoukh New York University Matthew P. Richardson University of Pennsylvania Robert F. Whitelaw New York University ...

New York University Leonard N Stern School Finance Department Working Paper Seires, Nov 1, 1999

Page 1. Regime Shifts and Bond Returns Jacob Boudoukha, Matthew Richardsona, Tom Smithb, and Robe... more Page 1. Regime Shifts and Bond Returns Jacob Boudoukha, Matthew Richardsona, Tom Smithb, and Robert F. Whitelawc* November 1, 1999 *aStern School of Business, New York University and the NBER; bAustralian Graduate ...

Http Dx Doi Org 10 3905 Jod 1997 407973, Feb 22, 2009

This paper reexamines frozen concentrated orange juice (FCOJ) futures returns as they relate to f... more This paper reexamines frozen concentrated orange juice (FCOJ) futures returns as they relate to fundamentals, in particular, temperature. We show that when theory clearly identifies the fundamental, i.e., at temperatures close to or below freezing, there is a close link between FCOJprices and that fundamental. Using a simple theoretical nonlinear model of the relation between FCOJ returns and temperature, we

The forward premium anomaly, i.e., the empirical evidence that exchangerate changes are negativel... more The forward premium anomaly, i.e., the empirical evidence that exchangerate changes are negatively related to interest rate differentials, isone of the most robust puzzles in financial economics. We add to thisliterature by recasting the underlying parity relation in terms ofcross-country differences between forward interest rates rather thanspot interest rates. The differences using spot and maturity-matchedforward rates are dramatic. As the maturity of the forward interest ratedifferential increases, the anomalous sign on the coefficient in thetraditional specification is reversed, and the explanatory powerincreases. We present a simple model of interest rates, inflation, andexchange rates that explains this novel empirical evidence. The model isbased on interest rate distortions due to Taylor rules and exchange ratedetermination involving not just purchasing power parity, but alsoeffects due to real rate differentials and subsequent reversion of theexchange rate to fundamentals. We develop and test additionalimplications of this model. A key finding is that the effect of currentinterest rate differentials on exchange rates can be decomposed into twooffsetting components, which, if used separately, greatly increase theexplanatory power of regression models for exchange rates.hry2451/25922hry 2451/25922

ABSTRACT This paper develops a new strategy for dynamically hedging mortgage-backed securities (M... more ABSTRACT This paper develops a new strategy for dynamically hedging mortgage-backed securities (MBSs).

While there is significant interest in investing in Brady bonds, the source of attraction is ofte... more While there is significant interest in investing in Brady bonds, the source of attraction is often the exposure to sovereign risk (and its yield compensation), while the exposure to U.S. interest rate risk is a â¬Snecessary evilâ¬?. This paper addresses the problem of determining the interest rate sensitivity of Brady debt. WE show that the most relevant state variables in