Tom Arnold

University of Richmond - E. Claiborne Robins School of Business

Assistant Professor of Finance

102 UR Drive

University of Richmond, VA 23173

United States

SCHOLARLY PAPERS

36

DOWNLOADS
Rank 328

SSRN RANKINGS

Top 328

in Total Papers Downloads

49,751

SSRN CITATIONS
Rank 17,298

SSRN RANKINGS

Top 17,298

in Total Papers Citations

15

CROSSREF CITATIONS

35

Scholarly Papers (36)

1.

A Simplified Approach to Understanding the Kalman Filter Technique

Number of pages: 24 Posted: 07 May 2005 Last Revised: 17 Apr 2008
University of Richmond - E. Claiborne Robins School of Business, Auburn University and Georgia State University - Department of Finance
Downloads 19,770 (118)
Citation 1

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
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 4,648 (1,787)
Citation 5

Abstract:

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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 4,229 (2,133)
Citation 8

Abstract:

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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 2,875 (4,136)
Citation 2

Abstract:

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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 2,289 (6,054)

Abstract:

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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 1,994 (7,620)
Citation 1

Abstract:

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

Impact: What Influences Finance Research?

Number of pages: 43 Posted: 08 Jun 2001
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 1,807 (8,821)
Citation 2

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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
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

Abstract:

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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
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 1,535 (11,710)
Citation 17

Abstract:

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Informed trading, insider trading, options, tender offer

9.
Downloads 1,359 ( 14,240)

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 1,359 (13,944)

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

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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
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 1,008 (22,272)

Abstract:

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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 795 (31,283)

Abstract:

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regression, pedagogy, basketball

12.

Valuing Real Options with Implied Binomial Trees

Number of pages: 13 Posted: 08 Jan 2005
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 770 (32,674)

Abstract:

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Real Options, Implied Binomial Trees

The Information Content of Short Interest: A Natural Experiment

Number of pages: 43 Posted: 08 Feb 2002
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 735 (34,304)
Citation 13

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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
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 650 (41,112)

Abstract:

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Margin, Student-managed Funds, Excel, Pedagogy

15.

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 644 (41,618)
Citation 1

Abstract:

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

16.

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 578 (48,073)
Citation 1

Abstract:

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Interest Rate, Term Structure, Excel, Pedagogy

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 554 (50,639)
Citation 1

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 (50,866)

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
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 525 (54,286)

Abstract:

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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 457 (64,528)
Citation 1

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 456 (64,691)
Citation 1

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 399 (75,939)

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 Surrey Business School, University of Surrey
Downloads 309 (101,421)

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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
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 208 (151,895)
Citation 1

Abstract:

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

25.
Downloads 180 (173,485)
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 147 (206,682)
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 33 (481,652)

Abstract:

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26.

Short Maturity Options and Jump Memory: An Empirical Analysis

Number of pages: 40 Posted: 26 Nov 2002
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 (174,365)

Abstract:

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

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 152 (200,604)

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 91 (292,111)

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
Florida State University, University of Richmond - E. Claiborne Robins School of Business, affiliation not provided to SSRN and Georgetown University
Downloads 2 (662,289)
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30.

Embedding an NPV Analysis into a Binomial Tree with a Real Options Application

Number of pages: 26
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

Abstract:

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Real option, Binomial tree, embedded NPV analysis

31.

Firm Valuation with Long-Run Business Cycles

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

32.

Calculating the VIX in Excel

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

33.

The Economics of Sallie Mae

Journal of Structured Finance, Forthcoming
Posted: 30 Jun 2012
University of Richmond - E. Claiborne Robins School of Business, Surrey Business School, University of Surrey and Seattle University - Albers School of Business and Economics

Abstract:

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

34.

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 Surrey Business School, University of Surrey

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

35.

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

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Equity Investments, Fundamental Analysis and Valuation Models, Research Sources

36.

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