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Robert F. Whitelaw

Robert  F. Whitelaw

Joined Stern 1992

Leonard N. Stern School of Business
Kaufman Management Center
44 West Fourth Street, 9-96
New York, NY 10012

E-mail rwhitela@stern.nyu.edu
Personal website

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Biography

Robert F. Whitelaw is the Edward C. Johnson 3d Professor of Entrepreneurial Finance at the Leonard N. Stern School of Business, New York University.

Professor Whitelaw is best known for his comprehensive research on empirical asset pricing, including the resolution of the market-level risk-return puzzle, the role of information processing in explaining excess volatility, and the impact of frictions in generating apparent market inefficiency. His research also addresses the pricing and hedging of fixed income securities, and risk measurement and management. In addition, he is increasingly recognized for his developing expertise on China's evolving financial system.

His papers have been published in academic journals such as the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies, as well as practitioner journals such as the Journal of Derivatives, the Journal of Fixed Income, Risk, and the Financial Analysts Journal. His research has received awards from organizations including Goldman Sachs Asset Management and the Chicago Quantitative Alliance. In addition, he is a Research Associate at the National Bureau of Economic Research (NBER), Program on Asset Pricing, and a past Associate Editor of the Review of Financial Studies and the Journal of Finance. His work on The Real Value of China's Stock Market has been presented at venues including the NBER, the People's Bank of China, the China Securities Regulatory Commission, and the Shanghai and Shenzhen Stock Exchanges.

He has a PhD in Finance from Stanford University, Graduate School of Business, and a BS in Mathematics from MIT. Professor Whitelaw teaches portfolio management, investments/capital markets and international finance in the MBA, undergraduate and executive programs and asset pricing at the doctoral level.

Research Interests

  • Market efficiency
  • Stock return predictability
  • Risk and return in the stock and bond markets
  • Hedging and risk management

Courses Taught

  • Foundations of Finance
  • International Financial Management
  • Portfolio Management

Academic Background

Ph.D., Finance, 1993
Stanford University

B.S., Mathematics, 1984
Massachusetts Institute of Technology

Selected Publications

Boudoukh, J., M. Richardson, & R.F. Whitelaw (2014)
New Evidence on the Forward Premium Puzzle
Journal of Financial and Quantitative Analysis, forthcoming

Bali, T., N. Cakici, & R.F. Whitelaw (2011)
Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns
Journal of Financial Economics, Vol. 99, No. 2, pp. 427-446.

Boudoukh, J, M. Richardson & R.F. Whitelaw (2008)
The Myth of Long-Horizon Predictability
Review of Financial Studies, Vol. 24, No. 4, 1577-1605

Boudoukh, J, M. Richardson, Y. Shen & R.F. Whitelaw (2007)
Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the FCOJ Market
Journal of Financial Economics, Vol. 83, No. 2, pp. 397-412

Guo, H. & R.F. Whitelaw (2006)
Uncovering the Risk-Return Relation in the Stock Market
Journal of Finance, Vol. 61, No. 3, pp. 1433-1463

Ofek, E., M. Richardson & R.F. Whitelaw (2004)
Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets
Journal of Financial Economics, Vol. 74, No. 2, pp. 305-342

Related News & Research

In an op-ed, Professors Jennifer Carpenter and Robert Whitelaw argue that it's time to let China's stock market self-correct

Professor Jennifer Carpenter discusses her joint research with Professor Robert Whitelaw on China's stock market

In an op-ed, Professors Jennifer Carpenter and Robert Whitelaw share lessons learned from China's stock market crash

What Can We Learn From the Chinese Stock Market Crash?

Professor Robert Whitelaw discusses the global impact of China's financial markets

Professor Robert Whitelaw on China's government taking steps to stabilize the country's stock market

In an op-ed, Professors Jennifer Carpenter and Robert Whitelaw argue for a hands-off approach to China’s stock market

Hands Off China's Stock Market

Professor Robert Whitelaw on secondary market sales of private stock

CGEB-CREFR Conference on China's Real Estate Markets

Profs Jennifer Carpenter and Robert Whitelaw discuss China's stock market

Profs Jennifer Carpenter and Robert Whitelaw explain the advantages of local Chinese government bonds

Profs Jennifer Carpenter and Robert Whitelaw’s research on the Chinese stock market is cited

Prof. Robert Whitelaw on Meredith Whitney's hedge fund

China's stock market is not in a bubble

Prof. Robert Whitelaw on investing and transparency

Profs. Lasse Pedersen and Robert Whitelaw share their investment advice

Prof. Robert Whitelaw on the recent NYPD and FDNY pension payment error

The Real Value of China’s Stock Market

Prof. Robert Whitelaw on alternative investments

Areas of Expertise

Finance

  • Asset Management
  • Derivatives
  • High Frequency Trading
  • Risk Management
  • Stock Market