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Robert Brooks

Personal Details

First Name:Robert
Middle Name:
Last Name:Brooks
Suffix:
RePEc Short-ID:pbr447
http://www.cba.ua.edu/~rbrooks

Affiliation

Department of Economics, Finance and Legal Studies
Culverhouse College of Business
University of Alabama-Tuscaloosa

Tuscaloosa, Alabama (United States)
https://efls.culverhouse.ua.edu/

: (205)348-7842
(205)348-0590
200 Alston Hall, Box 870224, Tuscaloosa, AL 35487
RePEc:edi:defuaus (more details at EDIRC)

Research output

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Jump to: Articles

Articles

  1. Robert Brooks & Joshua A. Brooks, 2017. "An Option Valuation Framework Based On Arithmetic Brownian Motion: Justification And Implementation Issues," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(3), pages 401-427, September.
  2. Teterin, Pavel & Brooks, Robert & Enders, Walter, 2016. "Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 22-36.
  3. Brooks, Robert & Cline, Brandon N. & Enders, Walter, 2015. "A comparison of the information in the LIBOR and CMT term structures of interest rates," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 239-253.
  4. Robert Brooks & Brandon N. Cline & Walter Enders, 2012. "Information in the U.S. Treasury Term Structure of Interest Rates," The Financial Review, Eastern Finance Association, vol. 47(2), pages 247-272, May.
  5. Robert Brooks & Don M. Chance & Brandon Cline, 2012. "Private Information and the Exercise of Executive Stock Options," Financial Management, Financial Management Association International, vol. 41(3), pages 733-764, September.
  6. Clay M. Moffett & Robert Brooks & Jin Q. Jeon, 2012. "The efficacy of Regulation SHO in resolving naked shorts," Journal of Financial Regulation and Compliance, Emerald Group Publishing, vol. 20(1), pages 72-98, February.
  7. Robert Brooks, 2005. "A Surplus Optimization Approach to Managing Municipal Debt," Public Finance Review, , vol. 33(2), pages 236-254, March.
  8. Bhargava, Vivek & Brooks, Robert, 2002. "Exploration of the role of expectations in foreign exchange risk management," Journal of Multinational Financial Management, Elsevier, vol. 12(2), pages 171-189, April.
  9. Vivek Bhargava & Robert Brooks & D. K. Malhotra, 2001. "Implied volatilities, stochastic interest rates, and currency futures options valuation: an empirical investigation," The European Journal of Finance, Taylor & Francis Journals, vol. 7(3), pages 231-246.
  10. Brooks, Robert, 1999. "Municipal bonds: a contingent claims perspective," Financial Services Review, Elsevier, vol. 8(2), pages 71-85.
  11. Russell, Judson W. & Brooks, Robert, 1998. "Managing college tuition inflation using a surplus framework methodology," Financial Services Review, Elsevier, vol. 7(4), pages 257-271.
  12. Brooks, Robert & El-Keib, A. A., 1998. "A life-cycle view of electricity futures contracts," Journal of Energy Finance & Development, Elsevier, vol. 3(2), pages 171-183.
  13. Brooks, Robert, 1996. "Computing yields on enhanced CDs," Financial Services Review, Elsevier, vol. 5(1), pages 31-42.
  14. Brooks, Robert & Kroll, Yoram, 1995. "The Impact of Sampling Errors on the Choice of Portfolio Efficiency Analysis Rules with Borrowing and Lending of a Riskless Asset," The Financial Review, Eastern Finance Association, vol. 30(4), pages 663-683, November.
  15. Kim, Myung-Jig & Oh, Young-Ho & Brooks, Robert, 1994. "Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(04), pages 609-631, December.
  16. Radcliffe, Robert & Brooks, Robert & Levy, Haim, 1992. "Active timing decisions of equity mutual funds," Financial Services Review, Elsevier, vol. 2(1), pages 21-39.
  17. Robert Brooks, 1991. "Analyzing portfolios with derivative assets: A stochastic dominance approach using numerical integration," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(4), pages 411-440, August.
  18. Brooks, Robert & Livingston, Miles, 1990. "A note on the variance of spot interest rates," Journal of Banking & Finance, Elsevier, vol. 14(1), pages 215-225, March.
  19. Brooks, Robert & Helms, Billy, 1990. "An N-Stage, Fractional Period, Quarterly Dividend Discount Model," The Financial Review, Eastern Finance Association, vol. 25(4), pages 651-657, November.
  20. Brooks, Robert, 1989. "Investment Decision Making with Derivative Securities," The Financial Review, Eastern Finance Association, vol. 24(4), pages 511-527, November.
  21. Robert Brooks & Haim Levy & Miles Livingston, 1989. "The Coupon Effect On Term Premiums," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(1), pages 15-21, March.
  22. Levy, Haim & Brooks, Robert, 1989. "An empirical analysis of term premiums using stochastic dominance," Journal of Banking & Finance, Elsevier, vol. 13(2), pages 245-260, May.
  23. Robert Brooks, 1989. "Investment decision making with index futures and index futures options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(2), pages 143-162, April.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

  1. Robert Brooks & Joshua A. Brooks, 2017. "An Option Valuation Framework Based On Arithmetic Brownian Motion: Justification And Implementation Issues," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(3), pages 401-427, September.

    Cited by:

    1. Jaehyuk Choi & Chenru Liu & Byoung Ki Seo, 2018. "Hyperbolic normal stochastic volatility model," Papers 1809.04035, arXiv.org.

  2. Teterin, Pavel & Brooks, Robert & Enders, Walter, 2016. "Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 22-36.

    Cited by:

    1. Kun Ma & Gang Diao, 2017. "Study on spillover effect between international soybean market and China's domestic soybean market," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 35(84), pages 260-266, December.
    2. Kun Ma & Gang Diao, 2017. "Study on spillover effect between international soybean market and China's domestic soybean market," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República - ESPE, vol. 35(84), pages 260-266, December.
    3. Kun Ma & Gang Diao, 2017. "Study on spillover effect between international soybean market and China's domestic soybean market," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República - ESPE, vol. 35(84), pages 260-266, December.
    4. Heckelei, T. & Amrouk, E.M. & Grosche, S., 2018. "International interdependence between cash crop and staple food futures price indices: A wavelet-BEKK-GARCH assessment," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277376, International Association of Agricultural Economists.
    5. Zhang, Yue-Jun & Yao, Ting & He, Ling-Yun & Ripple, Ronald, 2019. "Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 302-317.
    6. Saban Nazlioglu & Rangan Gupta & Elie Bouri, 2019. "Movements in International Bond Markets: The Role of Oil Prices," Working Papers 201935, University of Pretoria, Department of Economics.

  3. Robert Brooks & Brandon N. Cline & Walter Enders, 2012. "Information in the U.S. Treasury Term Structure of Interest Rates," The Financial Review, Eastern Finance Association, vol. 47(2), pages 247-272, May.

    Cited by:

    1. Brooks, Robert & Cline, Brandon N. & Enders, Walter, 2015. "A comparison of the information in the LIBOR and CMT term structures of interest rates," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 239-253.
    2. Amit K. Sinha & Philip A. Horvath & Robert C. Scott, 2017. "The real miss-specification in the forward rate premium puzzle," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(3), pages 463-473, July.

  4. Robert Brooks & Don M. Chance & Brandon Cline, 2012. "Private Information and the Exercise of Executive Stock Options," Financial Management, Financial Management Association International, vol. 41(3), pages 733-764, September.

    Cited by:

    1. Brockman, Paul & Martin, Xiumin & Puckett, Andy, 2010. "Voluntary disclosures and the exercise of CEO stock options," Journal of Corporate Finance, Elsevier, vol. 16(1), pages 120-136, February.
    2. Chin-Chen Chien & Cheng-Few Lee & She Chih Chiu, 2016. "Does Corporate Governance Curb Managers’ Opportunistic Behavior of Exploiting Inside Information for Early Exercise of Executive Stock Options?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-22, March.
    3. Boyle, Glenn & Grace-Webb, Eli, 2007. "Sarbanes-Oxley and its Aftermath: A Review of the Evidence," Working Paper Series 3976, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    4. Bradley, Daniel & Cline, Brandon N. & Lian, Qin, 2014. "Class action lawsuits and executive stock option exercise," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 157-172.
    5. Tristan Boyd & Philip Brown & Alex Szimayer, 2007. "What determines early exercise of employee stock options in Australia?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 47(2), pages 165-185, June.
    6. Tung-Hsiao Yang & Don M. Chance, 2014. "The Price-Taker Effect On The Valuation Of Executive Stock Options," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 37(1), pages 27-54, February.
    7. Peter Cziraki & Prof. Dr. Luc Renneboog & Peter de Goeij, 2010. "Insider Trading, Option Exercises and Private Benefits of Control," IEHAS Discussion Papers 1006, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences.
    8. Vicky Henderson & Kamil Klad'ivko & Michael Monoyios, 2017. "Executive stock option exercise with full and partial information on a drift change point," Papers 1709.10141, arXiv.org, revised Oct 2018.
    9. Jain, Pawan & Jiang, Christine & Mekhaimer, Mohamed, 2016. "Executives' horizon, internal governance and stock market liquidity," Journal of Corporate Finance, Elsevier, vol. 40(C), pages 1-23.
    10. Abudy, Menachem (Meni) & Benninga, Simon, 2016. "Valuing restricted stock grants to non-executive employees," Journal of Economics and Business, Elsevier, vol. 86(C), pages 33-51.
    11. Susana Alvarez-Diez & J. Samuel Baixauli-Soler & Maria Belda-Ruiz, 2016. "Early Exercise Behaviour in Performance-vested Stock Option Grants," Annals of Economics and Finance, Society for AEF, vol. 17(1), pages 55-78, May.
    12. Xudong Fu & James A. Ligon, 2010. "Exercises of Executive Stock Options on the Vesting Date," Financial Management, Financial Management Association International, vol. 39(3), pages 1097-1126, September.
    13. Olaf Korn & Clemens Paschke & Marliese Uhrig-Homburg, 2012. "Robust stock option plans," Review of Quantitative Finance and Accounting, Springer, vol. 39(1), pages 77-103, July.
    14. Cziraki, P. & de Goeij, P. C. & Renneboog, L.D.R., 2010. "Insider Trading, Option Exercises and Private Benefits of Control (Revision of DP 2010-32)," Discussion Paper 2010-90, Tilburg University, Center for Economic Research.

  5. Bhargava, Vivek & Brooks, Robert, 2002. "Exploration of the role of expectations in foreign exchange risk management," Journal of Multinational Financial Management, Elsevier, vol. 12(2), pages 171-189, April.

    Cited by:

    1. Lam, Kin & Lean, Hooi Hooi & Wong, Wing-Keung, 2016. "Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets," MPRA Paper 74386, University Library of Munich, Germany.

  6. Brooks, Robert, 1996. "Computing yields on enhanced CDs," Financial Services Review, Elsevier, vol. 5(1), pages 31-42.

    Cited by:

    1. Gao, Feng & Xi He, Alex & He, Ping, 2018. "A theory of intermediated investment with hyperbolic discounting investors," Journal of Economic Theory, Elsevier, vol. 177(C), pages 70-100.

  7. Brooks, Robert & Kroll, Yoram, 1995. "The Impact of Sampling Errors on the Choice of Portfolio Efficiency Analysis Rules with Borrowing and Lending of a Riskless Asset," The Financial Review, Eastern Finance Association, vol. 30(4), pages 663-683, November.

    Cited by:

    1. Roger Best & Ronald Best & James Yoder, 2000. "Value stocks and market efficiency," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 24(1), pages 28-35, March.

  8. Kim, Myung-Jig & Oh, Young-Ho & Brooks, Robert, 1994. "Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(04), pages 609-631, December.

    Cited by:

    1. Yin Liao & Heather M. Anderson & Farshid Vahid, 2010. "Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps," Monash Econometrics and Business Statistics Working Papers 11/10, Monash University, Department of Econometrics and Business Statistics.
    2. Mandeep S. Chahal & Jun Wang, 1997. "Jump Diffusion Processes and Emerging Bond and Stock Markets: An Investigation Using Daily Data," Multinational Finance Journal, Multinational Finance Journal, vol. 1(3), pages 169-197, September.
    3. Chang, Kook-Hyun & Kim, Myung-Jig, 2001. "Jumps and time-varying correlations in daily foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 611-637, October.
    4. Chen, Ke & Vitiello, Luiz & Hyde, Stuart & Poon, Ser-Huang, 2018. "The reality of stock market jumps diversification," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 171-188.
    5. Consigli, Giorgio, 2002. "Tail estimation and mean-VaR portfolio selection in markets subject to financial instability," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1355-1382, July.
    6. Piccotti, Louis R., 2018. "Jumps, cojumps, and efficiency in the spot foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 49-67.
    7. Éric Jacquier & Cédric Okou, 2013. "Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships," CIRANO Working Papers 2013s-14, CIRANO.
    8. J.W. Nieuwenhuis & M.H. Vellekoop, 2004. "Weak convergence of tree methods, to price options on defaultable assets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(2), pages 87-107, December.
    9. Danielsson, Jon & Zigrand, Jean-Pierre, 2006. "On time-scaling of risk and the square-root-of-time rule," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2701-2713, October.
    10. Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736.
    11. Peter Fortune, 1998. "Weekends can be rough: revisiting the weekend effect in stock prices," Working Papers 98-6, Federal Reserve Bank of Boston.
    12. Tunaru, Radu & Zheng, Teng, 2017. "Parameter estimation risk in asset pricing and risk management: A Bayesian approach," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 80-93.
    13. Marcel Prokopczuk & Yingying Wu, 2013. "Estimating term structure models with the Kalman filter," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 4, pages 97-113 Edward Elgar Publishing.
    14. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    15. Peter Fortune, 1999. "Are stock returns different over weekends? a jump diffusion analysis of the "weekend effect"," New England Economic Review, Federal Reserve Bank of Boston, issue Sep, pages 3-19.
    16. Chilarescu, Constantin & Viasu, Iana Luciana, 2011. "Phénomènes financiers et mélange de lois : Une nouvelle méthode d’estimation des paramètres," MPRA Paper 33909, University Library of Munich, Germany.
    17. Marcel Prokopczuk, 2011. "Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 34(2), pages 141-168, November.
    18. Sanghoon Lee, 2004. "Approximation of A Jump-Diffusion Process," Econometric Society 2004 Far Eastern Meetings 412, Econometric Society.

  9. Robert Brooks, 1991. "Analyzing portfolios with derivative assets: A stochastic dominance approach using numerical integration," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(4), pages 411-440, August.

    Cited by:

    1. Lam, Kin & Lean, Hooi Hooi & Wong, Wing-Keung, 2016. "Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets," MPRA Paper 74386, University Library of Munich, Germany.
    2. Bhargava, Vivek & Brooks, Robert, 2002. "Exploration of the role of expectations in foreign exchange risk management," Journal of Multinational Financial Management, Elsevier, vol. 12(2), pages 171-189, April.
    3. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

  10. Brooks, Robert & Helms, Billy, 1990. "An N-Stage, Fractional Period, Quarterly Dividend Discount Model," The Financial Review, Eastern Finance Association, vol. 25(4), pages 651-657, November.

    Cited by:

    1. Guglielmo D'Amico, 2016. "Generalized semi-Markovian dividend discount model: risk and return," Papers 1605.02472, arXiv.org.
    2. Vlad Stefan Barbu & Guglielmo D’Amico & Riccardo Blasis, 2017. "Novel advancements in the Markov chain stock model: analysis and inference," Annals of Finance, Springer, vol. 13(2), pages 125-152, May.
    3. Foerster, Stephen R. & Sapp, Stephen G., 2011. "Back to fundamentals: The role of expected cash flows in equity valuation," The North American Journal of Economics and Finance, Elsevier, vol. 22(3), pages 320-343.
    4. Guglielmo D’Amico, 2013. "A semi-Markov approach to the stock valuation problem," Annals of Finance, Springer, vol. 9(4), pages 589-610, November.
    5. Mark Kamstra, 2003. "Pricing firms on the basis of fundamentals," Economic Review, Federal Reserve Bank of Atlanta, issue Q1, pages 49-70.

  11. Brooks, Robert, 1989. "Investment Decision Making with Derivative Securities," The Financial Review, Eastern Finance Association, vol. 24(4), pages 511-527, November.

    Cited by:

    1. Lam, Kin & Lean, Hooi Hooi & Wong, Wing-Keung, 2016. "Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets," MPRA Paper 74386, University Library of Munich, Germany.

  12. Robert Brooks & Haim Levy & Miles Livingston, 1989. "The Coupon Effect On Term Premiums," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(1), pages 15-21, March.

    Cited by:

    1. Domian, Dale L. & Reichenstein, William, 1998. "Term Spreads and Predictions of Bond and Stock Excess Returns," Financial Services Review, Elsevier, vol. 7(1), pages 25-44.

  13. Levy, Haim & Brooks, Robert, 1989. "An empirical analysis of term premiums using stochastic dominance," Journal of Banking & Finance, Elsevier, vol. 13(2), pages 245-260, May.

    Cited by:

    1. George Halkos & Stephanos Papadamou, 2007. "Significance of risk modelling in the term structure of interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 17(3), pages 237-247.
    2. Fisher, Gordon & Willson, Douglas & Xu, Kuan, 1998. "An empirical analysis of term premiums using significance tests for stochastic dominance," Economics Letters, Elsevier, vol. 60(2), pages 195-203, August.
    3. Halkos, George E. & Papadamou, Stephanos T., 2006. "An investigation of bond term premia in international government bond indices," Research in International Business and Finance, Elsevier, vol. 20(1), pages 45-61, March.

  14. Robert Brooks, 1989. "Investment decision making with index futures and index futures options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(2), pages 143-162, April.

    Cited by:

    1. Lam, Kin & Lean, Hooi Hooi & Wong, Wing-Keung, 2016. "Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets," MPRA Paper 74386, University Library of Munich, Germany.

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