Timothy Falcon Crack

University of Otago - Department of Accountancy and Finance

Dunedin

New Zealand

SCHOLARLY PAPERS

28

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Scholarly Papers (28)

1.

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 4,606 (1,673)

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Option Pricing, Implied Binomial Tree, Excel

2.

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 4,191 (1,991)

Abstract:

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3.

The Academic Job Market in Finance: An Updated Rookie's Guide

Number of pages: 20 Posted: 17 Jul 2012
Alexander W. Butler and Timothy Falcon Crack
Rice University - Jesse H. Jones Graduate School of Business and University of Otago - Department of Accountancy and Finance
Downloads 3,260 (3,079)

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4.

The Academic Job Market in Finance: A Rookie's Guide

Number of pages: 21 Posted: 13 Sep 2004
Alexander W. Butler and Timothy Falcon Crack
Rice University - Jesse H. Jones Graduate School of Business and University of Otago - Department of Accountancy and Finance
Downloads 3,103 (3,363)

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Job Market, Finance PhD, Adverse Selection, Conferences

5.

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 2,835 (3,910)

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

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 1,981 (7,170)

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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
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 (8,324)

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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.
Downloads 1,341 ( 13,555)

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 1,341 (13,274)

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

9.

Common Misunderstandings Concerning Duration and Convexity

Number of pages: 33 Posted: 06 Apr 2007
Timothy Falcon Crack and Sanjay K. Nawalkha
University of Otago - Department of Accountancy and Finance and University of Massachusetts Amherst - Isenberg School of Management
Downloads 1,326 (13,801)

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Duration, Convexity, Bond return, Bond price, yield

10.

The Academic Job Market in Finance: A Rookie's Guide - 2006 Supplement

Number of pages: 6 Posted: 27 Jul 2006
Alexander W. Butler and Timothy Falcon Crack
Rice University - Jesse H. Jones Graduate School of Business and University of Otago - Department of Accountancy and Finance
Downloads 1,287 (14,439)

Abstract:

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Job Market, Finance PhD, Adverse Selection, Conferences

11.

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 (21,117)

Abstract:

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

12.

Single-Period Kyle Model Notes (A Clear Summary of the Kyle 1985 Econometrica Paper)

Number of pages: 15 Posted: 30 Aug 2015
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 968 (22,216)

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Kyle 1985; informed vs noise trader; competitive risk-neutral market maker

13.

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 (30,871)

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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
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 (32,475)

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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

15.

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 (51,588)

Abstract:

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

16.

Interest Rate Sensitivities of Bond Risk Measures

Financial Analysts Journal, Vol. 56, No. 1, 2000
Number of pages: 32 Posted: 02 Feb 2009
Timothy Falcon Crack and Sanjay K. Nawalkha
University of Otago - Department of Accountancy and Finance and University of Massachusetts Amherst - Isenberg School of Management
Downloads 464 (59,716)

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bond risk measures, duration, convexity, term structure, M-square

17.

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 454 (61,333)

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

18.

Central Limit Theorems When Data Are Dependent: Addressing the Pedagogical Gaps

Number of pages: 32 Posted: 10 Sep 2004 Last Revised: 18 Aug 2009
Timothy Falcon Crack and Olivier Ledoit
University of Otago - Department of Accountancy and Finance and University of Zurich - Department of Economics
Downloads 422 (66,990)

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Central Limit Theorem, Dependent Data, Gaussian AR(1), Monte-Carlo, Asymptotic Distributions

Price Momentum in the New Zealand Stock Market: A Proper Accounting for Transactions Costs and Risk

Number of pages: 72 Posted: 20 Feb 2009 Last Revised: 21 Dec 2009
Sam Trethewey and Timothy Falcon Crack
affiliation not provided to SSRN and University of Otago - Department of Accountancy and Finance
Downloads 240 (124,682)

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Price momentum, New Zealand, price impact, market efficiency, equity trading, capacity constraints

20.

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 (146,472)

Abstract:

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

21.

The Practical Implications of Modern Portfolio Theory

Number of pages: 21 Posted: 15 Dec 2017
Timothy Falcon Crack and Robin Grieves
University of Otago - Department of Accountancy and Finance and Rollins College - Crummer Graduate School of Business
Downloads 185 (160,231)

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Markowitz, CAPM, Diversification, Capital Budgeting, Active Management

22.

Foreign Exchange Exposure of U.S. Firms in the Pacific Rim

Number of pages: 42 Posted: 03 Jul 2005
Lifan Zhang and Timothy Falcon Crack
Government of New Zealand - Treasury and University of Otago - Department of Accountancy and Finance
Downloads 139 (204,377)

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Foreign exchange risk, FX, R&D, Pacific Rim currencies, US stock returns

23.

Kurtosis as Peakedness: The Phoenix from the Ashes

Foundations for Scientific Investing, Eighth Edition, January 2019
Number of pages: 12 Posted: 26 Sep 2016 Last Revised: 05 Feb 2019
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 99 (262,442)

Abstract:

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kurtosis, peakedness, fat tails, Pearson, Westfall

24.

Tinkering with Ticks: Choosing Minimum Price Variation for Us Equity Markets (1996 Version)

Number of pages: 36 Posted: 05 Jun 2004
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 97 (265,903)

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Tick size, market microstructure, depth, volume

25.

What Quantity Appears on the Vertical Axis of a Normal Distribution?

Number of pages: 11 Posted: 27 Aug 2018 Last Revised: 17 Apr 2019
J. Scott Chaput, Timothy Falcon Crack and Olena Onishchenko
University of Otago - Department of Accountancy and Finance, University of Otago - Department of Accountancy and Finance and University of Otago
Downloads 74 (313,888)

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probability density; linear denisty; pdf; pmf; cdf; resclaing

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Pearson Chi-Squared Test, Asymptotic Distribution, Joint Characteristic Function, Multivariate Central Limit Theorem

27.

What Every Young Girl Should Know: About Univariate Normality and Bivariate Normality, and How They are Co-Related with Correlation and Independence

Foundations for Scientific Investing, Forthcoming
Number of pages: 11 Posted: 16 Dec 2018
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 24 (489,812)

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Univariate Normality, Bivariate Normality, Correlation, Independence, Marginal Distributions, Joint Distributions

28.

A Simple Central Limit Theorem Proof of the Asymptotic Distribution of the Student-t Test of the Mean

Number of pages: 7 Posted: 03 Feb 2019
Timothy Falcon Crack, Lynn McAlevey and Anindya Sen
University of Otago - Department of Accountancy and Finance, University of Otago - Department of Accountancy and Finance and University of Otago - Department of Accountancy and Finance
Downloads 17 (529,631)

Abstract:

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Student-t, Central Limit Theorem, Tchebychev, Asymptotic Normality