Tom Arnold

University of Richmond - E. Claiborne Robins School of Business

Assistant Professor of Finance

1 Gateway Drive

Richmond, VA 23173

United States

  • University of Richmond - E. Claiborne Robins School of Business

    • Email
    • Tel: 804-287-6399
    • Fax: 804-289-8878
SCHOLARLY PAPERS

35

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CITATIONS
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65

Scholarly Papers (35)

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1.

A Simplified Approach to Understanding the Kalman Filter Technique

Number of pages: 24 Posted: 07 May 2005 Last Revised: 17 Apr 2008
Tom Arnold, Mark Bertus and Jonathan M. Godbey
University of Richmond - E. Claiborne Robins School of Business, Auburn University and Georgia State University - Department of Finance
Downloads 19,241 (120)

Abstract:

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Kalman Filter, time series, EM algorithm, Excel, Pedagogy

2.

Implied Binomial Trees in Excel Without Vba

Number of pages: 21 Posted: 08 May 2004
Tom Arnold, Timothy Falcon Crack and Adam Schwartz
University of Richmond - E. Claiborne Robins School of Business, University of Otago - Department of Accountancy and Finance and Washington and Lee University - Department of Business Administration
Downloads 4,601 (1,658)
Citation 2

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Option Pricing, Implied Binomial Tree, Excel

3.

Option Pricing in the Real World: A Generalized Binomial Model with Applications to Real Options

Number of pages: 54 Posted: 27 Dec 2000
Tom Arnold and Timothy Falcon Crack
University of Richmond - E. Claiborne Robins School of Business and University of Otago - Department of Accountancy and Finance
Downloads 4,188 (1,968)
Citation 6

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4.

A Practical Guide to GMM (with Applications to Option Pricing)

Number of pages: 74 Posted: 10 May 2001
Tom Arnold and Timothy Falcon Crack
University of Richmond - E. Claiborne Robins School of Business and University of Otago - Department of Accountancy and Finance
Downloads 2,831 (3,888)
Citation 1

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Generalized Method of Moments, GMM, Newey-West, Option Pricing, Black-Scholes

5.

Applying Altman's Z-Score in the Classroom

Number of pages: 11 Posted: 03 Jul 2005
Tom Arnold and John H. Earl
University of Richmond - E. Claiborne Robins School of Business and University of Richmond - E. Claiborne Robins School of Business
Downloads 2,281 (5,585)

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Z-Score, bankruptcy, pedogogy, excel, ratio analysis

6.

Real Option Valuation Using NPV

Number of pages: 16 Posted: 07 Jan 2005
Tom Arnold and Timothy Falcon Crack
University of Richmond - E. Claiborne Robins School of Business and University of Otago - Department of Accountancy and Finance
Downloads 1,979 (7,108)
Citation 1

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Real option valuation, NPV, risk-adjusted option valuation, risk-neutral option valuation

7.

Impact: What Influences Finance Research?

Downloads 1,794 ( 8,412)

Impact: What Influences Finance Research?

Number of pages: 43 Posted: 08 Jun 2001
Tom Arnold, Alexander W. Butler, Timothy Falcon Crack and Ayca Altintig
University of Richmond - E. Claiborne Robins School of Business, Rice University - Jesse H. Jones Graduate School of Business, University of Otago - Department of Accountancy and Finance and Claremont Colleges - Peter F. Drucker Graduate School of Management
Downloads 1,794 (8,253)
Citation 11

Abstract:

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Research Impact, Journal Ranking, citations

Impact: What Influences Finance Research?

Journal of Business, Vol. 76, No. 2, pp. 343-361, 2003
Posted: 22 Aug 2003
Tom Arnold, Alexander W. Butler, Timothy Falcon Crack and Ayca Altintig
University of Richmond - E. Claiborne Robins School of Business, Rice University - Jesse H. Jones Graduate School of Business, University of Otago - Department of Accountancy and Finance and Claremont Colleges - Peter F. Drucker Graduate School of Management

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Research Impact, Journal Ranking, citations

8.

Speculation or Insider Trading: Informed Trading in Options Markets Preceding Tender Offer Announcements

Number of pages: 40 Posted: 09 Aug 2000
Tom Arnold, Gayle R. Erwin, Lance A. Nail and Ted Bos
University of Richmond - E. Claiborne Robins School of Business, University of Virginia - McIntire School of Commerce, University of Alabama at Birmingham - Department of Finance, Economics, and Quantitative Methods and University of Alabama at Birmingham
Downloads 1,512 (11,115)
Citation 9

Abstract:

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Informed trading, insider trading, options, tender offer

9.

Using the Wacc to Value Real Options

Downloads 1,340 ( 13,478)

Using the Wacc to Value Real Options

Number of pages: 13 Posted: 08 May 2004
Tom Arnold and Timothy Falcon Crack
University of Richmond - E. Claiborne Robins School of Business and University of Otago - Department of Accountancy and Finance
Downloads 1,340 (13,203)
Citation 2

Abstract:

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Real Options, Risk-Neutral Valuation, WACC, Binomial Option Pricing, Volatility Estimation

Using the Wacc to Value Real Options

Financial Analysts Journal, Vol. 60, No. 6, pp. 78-82, November/December 2004
Posted: 30 Dec 2004
Tom Arnold and Timothy Falcon Crack
University of Richmond - E. Claiborne Robins School of Business and University of Otago - Department of Accountancy and Finance

Abstract:

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Derivatives Instruments, Other, Corporate Finance, Capital Investment Decisions, Equity Investments, Fundamental Analysis and Valuation Models, Quantitative Tools, Mathmatical Methods

10.

Valuing Real Options Using Implied Binomial Trees and Commodity Futures Options

Number of pages: 38 Posted: 08 Jan 2005
Tom Arnold, Timothy Falcon Crack and Adam Schwartz
University of Richmond - E. Claiborne Robins School of Business, University of Otago - Department of Accountancy and Finance and Washington and Lee University - Department of Business Administration
Downloads 1,002 (20,994)

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Real Options, Implied Binomial Trees, Commodity Futures Options, Commodities

11.

Introducing Linear Regression: An Example Using Basketball Statistics

Number of pages: 29 Posted: 09 Jan 2011
Tom Arnold and Jonathan M. Godbey
University of Richmond - E. Claiborne Robins School of Business and Georgia State University - Department of Finance
Downloads 781 (29,982)

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regression, pedagogy, basketball

12.

Valuing Real Options with Implied Binomial Trees

Number of pages: 13 Posted: 08 Jan 2005
Tom Arnold, Timothy Falcon Crack and Adam Schwartz
University of Richmond - E. Claiborne Robins School of Business, University of Otago - Department of Accountancy and Finance and Washington and Lee University - Department of Business Administration
Downloads 768 (30,668)

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Real Options, Implied Binomial Trees

13.

The Information Content of Short Interest: A Natural Experiment

Downloads 732 ( 32,755)

The Information Content of Short Interest: A Natural Experiment

Number of pages: 43 Posted: 08 Feb 2002
Tom Arnold, Alexander W. Butler, Timothy Falcon Crack and Yan Zhang
University of Richmond - E. Claiborne Robins School of Business, Rice University - Jesse H. Jones Graduate School of Business, University of Otago - Department of Accountancy and Finance and State University of New York at Binghamton - School of Management
Downloads 732 (32,267)
Citation 26

Abstract:

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Sort Interest, Short Sale Against the Box, Tax Payer Relief Act of 1997

The Information Content of Short Interest: A Natural Experiment

Journal of Business, Forthcoming
Posted: 19 Jan 2004
Tom Arnold, Alexander W. Butler, Timothy Falcon Crack and Yan Zhang
University of Richmond - E. Claiborne Robins School of Business, Rice University - Jesse H. Jones Graduate School of Business, University of Otago - Department of Accountancy and Finance and State University of New York at Binghamton - School of Management

Abstract:

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Short interest, Short sale against the box, Taxpayer Relief Act of 1997

14.

Margin Accounting for Stocks: an Excel Classroom Exercise

Number of pages: 17 Posted: 20 Apr 2006
Tom Arnold
University of Richmond - E. Claiborne Robins School of Business
Downloads 639 (39,284)

Abstract:

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Margin, Student-managed Funds, Excel, Pedagogy

15.

A Simple Model of Interest Rate Term Structure for the Classroom

Number of pages: 14 Posted: 22 Apr 2006
Tom Arnold
University of Richmond - E. Claiborne Robins School of Business
Downloads 576 (45,119)
Citation 1

Abstract:

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Interest Rate, Term Structure, Excel, Pedagogy

16.

Connecting Balance Sheet Plugs: A New Integrated Presentation of Pro Forma Analysis

Number of pages: 15 Posted: 07 Sep 2011
Tom Arnold
University of Richmond - E. Claiborne Robins School of Business
Downloads 574 (45,317)

Abstract:

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pro forma analysis, equity plug, debt plug, debt-to-equity ratio, additional funds needed, circularity

17.

Un-Intimidating Portfolio Theory and Statistics

Number of pages: 24 Posted: 26 May 2003
Tom Arnold and Lance A. Nail
University of Richmond - E. Claiborne Robins School of Business and University of Alabama at Birmingham - Department of Finance, Economics, and Quantitative Methods
Downloads 553 (47,544)

Abstract:

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Statistics, Portfolio Theory, Capital Allocation Line, Pedagogy

18.

Flattening the Volatility Smile: A Test of Option Pricing Models

Number of pages: 39 Posted: 02 Oct 2001
Tom Arnold
University of Richmond - E. Claiborne Robins School of Business
Downloads 552 (47,655)

Abstract:

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Options, SPX, Generalized Method of Moments, GMM,

19.

Implementing Risk-Averse Implied Binomial Trees: Additional Theory, Empirics, and Extensions

Number of pages: 46 Posted: 03 Jul 2005 Last Revised: 14 Jun 2009
Tom Arnold, Timothy Falcon Crack and Adam Schwartz
University of Richmond - E. Claiborne Robins School of Business, University of Otago - Department of Accountancy and Finance and Washington and Lee University - Department of Business Administration
Downloads 521 (51,291)

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Binomial Option Pricing, Implied Binomial Trees, Physical Probabilities, Risk-Neutral Probabilities, Calibration, Representative Agent, Risk-Averse Probabilities, Hedge Funds

20.

A Simple Pragmatic Justification for Risk-Neutral Option Pricing

Number of pages: 12 Posted: 02 Nov 2007
Tom Arnold and Timothy Falcon Crack
University of Richmond - E. Claiborne Robins School of Business and University of Otago - Department of Accountancy and Finance
Downloads 452 (61,283)

Abstract:

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Risk-Neutral Option Pricing, Binomial Option Pricing, Risk-Adjusted Option Pricing, Physical Probability Measure, RA-BT

21.

Debt Financing Does NOT Create Circularity Within Pro Forma Analysis

Number of pages: 13 Posted: 06 Mar 2007 Last Revised: 13 Oct 2007
Tom Arnold and Peter Charles Eisemann
University of Richmond - E. Claiborne Robins School of Business and Georgia State University - Department of Finance
Downloads 440 (63,306)
Citation 4

Abstract:

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Pro Forma, Financial Statement Analysis, Circularity, Sensitivity Analysis, Debt Plug, Slack Term

22.

Duration Measures for Corporate Project Valuation

Number of pages: 18 Posted: 04 Mar 2005
Tom Arnold and David S. North
University of Richmond - E. Claiborne Robins School of Business and University of Richmond - E. Claiborne Robins School of Business
Downloads 398 (71,413)

Abstract:

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sensitivity analysis, duration, NPV, payback period, adjusted payback period, cash flow

23.

Visual Portfolio Statistics

Number of pages: 18 Posted: 25 Jun 2006 Last Revised: 24 May 2010
Tom Arnold and Bonnie Buchanan
University of Richmond - E. Claiborne Robins School of Business and Seattle University - Albers School of Business and Economics
Downloads 304 (97,047)

Abstract:

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Correlation, Portfolio Statistics, Statistics, Potfolio Theory

24.

Inferring Risk-Averse Probability Distributions from Option Prices Using Implied Binomial Trees: Additional Theory and Extensions

Number of pages: 19 Posted: 01 Jun 2009
Tom Arnold, Timothy Falcon Crack and Adam Schwartz
University of Richmond - E. Claiborne Robins School of Business, University of Otago - Department of Accountancy and Finance and Washington and Lee University - Department of Business Administration
Downloads 204 (145,796)

Abstract:

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Binomial Option Pricing, Implied Binomial Trees, Physical Probabilities, Risk-Neutral Probabilities, Calibration, Representative Agent, Risk-Averse Probabilities

25.

Short Maturity Options and Jump Memory: An Empirical Analysis

Number of pages: 40 Posted: 26 Nov 2002
Tom Arnold, Jimmy E. Hilliard and Adam Schwartz
University of Richmond - E. Claiborne Robins School of Business, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Washington and Lee University - Department of Business Administration
Downloads 179 (164,322)

Abstract:

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options, jump-memory, jump-diffusions, SPX, genetic

26.

Getting More Out of Two Asset Portfolios

Downloads 175 (167,655)
Citation 2

Getting More Out of Two Asset Portfolios

Number of pages: 21 Posted: 19 Jun 2006
Tom Arnold, Lance A. Nail and Terry Nixon
University of Richmond - E. Claiborne Robins School of Business, University of Alabama at Birmingham - Department of Finance, Economics, and Quantitative Methods and Miami University
Downloads 145 (196,968)
Citation 2

Abstract:

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pedogogy, minimum variance portfolio, efficient frontier, capital allocation line

Getting More Out of Two-Asset Portfolios

Journal of Applied Finance, Vol. 16, No. 1, Spring/Summer 2006
Number of pages: 10 Posted: 24 Aug 2006
Tom Arnold, Lance A. Nail and Terry Nixon
University of Richmond - E. Claiborne Robins School of Business, University of Alabama at Birmingham - Department of Finance, Economics, and Quantitative Methods and Miami University
Downloads 30 (468,463)
Citation 2

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27.

Exactly How Long Should a New Venture Lose Money?

Number of pages: 15 Posted: 10 Apr 2002
Tom Arnold
University of Richmond - E. Claiborne Robins School of Business
Downloads 150 (191,280)

Abstract:

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Firm Value, Pro Forma

28.

Bond Pricing Pedagogy and One-Step Bond Pricing

Number of pages: 10 Posted: 06 Jul 2012
Tom Arnold
University of Richmond - E. Claiborne Robins School of Business
Downloads 88 (281,675)

Abstract:

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bond pricing, pedagogy, annuity

29.

Maintaining a Flexible Payout Policy in a Mature Industry: The Case of Crown Cork and Seal in the Connelly Era

Journal of Applied Corporate Finance, Vol. 22, Issue 4, pp. 30-44, 2010
Number of pages: 17 Posted: 03 Jan 2011
James S. Ang, Tom Arnold, C. Mitchell Conover and Carol Lancaster
Florida State University, University of Richmond - E. Claiborne Robins School of Business, affiliation not provided to SSRN and Georgetown University
Downloads 2 (621,114)
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30.

Firm Valuation with Long-Run Business Cycles

https://doi.org/10.3905/jpe.2011.2011.1.011
Posted: 21 May 2019
Tom Arnold and David S. North
University of Richmond - E. Claiborne Robins School of Business and University of Richmond - E. Claiborne Robins School of Business

Abstract:

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pro forma analysis, cyclic cash flows, business cycles, valuation

31.

Calculating the VIX in Excel

https://doi.org/10.3905/jot.2008.708835
Posted: 20 May 2019
Tom Arnold and John H. Earl
University of Richmond - E. Claiborne Robins School of Business and University of Richmond - E. Claiborne Robins School of Business

Abstract:

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VIX, options, Excel

32.

The Economics of Sallie Mae

Journal of Structured Finance, Forthcoming
Posted: 30 Jun 2012
Tom Arnold, Bonnie Buchanan and Fiona Robertson
University of Richmond - E. Claiborne Robins School of Business, Seattle University - Albers School of Business and Economics and Seattle University - Albers School of Business and Economics

Abstract:

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student loans, Sallie Mae, Asset backed securities, securitization, financial crisis

33.

How Much Value within Foreign Direct Investment Can a Government Destroy?

Journal of Wealth Management, Forthcoming
Posted: 25 Jan 2012
Tom Arnold and Bonnie Buchanan
University of Richmond - E. Claiborne Robins School of Business and Seattle University - Albers School of Business and Economics

Abstract:

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Real options, foreign direct investment, government policy, emerging markets

34.

Are Cover Stories Effective Contrarian Indicators?

Financial Analysts Journal, Vol. 63, No. 2, pp. 70-75, 2007
Posted: 20 Apr 2007
Tom Arnold, John H. Earl and David S. North
University of Richmond - E. Claiborne Robins School of Business, University of Richmond - E. Claiborne Robins School of Business and University of Richmond - E. Claiborne Robins School of Business

Abstract:

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Equity Investments, Fundamental Analysis and Valuation Models, Research Sources

35.

Finding Firm Value 'Quickly' with an Analysis of Debt

Posted: 16 Aug 2001
Tom Arnold and Jerry James
University of Richmond - E. Claiborne Robins School of Business and Independent

Abstract:

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pro forma, firm value, calculator