Timothy Falcon Crack

University of Otago - Department of Accountancy and Finance

Dunedin

New Zealand

  • University of Otago - Department of Accountancy and Finance

SCHOLARLY PAPERS

48

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Top 20,775

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31

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34

Scholarly Papers (48)

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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 4,895 (3,735)
Citation 8

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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 4,809 (3,865)
Citation 12

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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 4,108 (5,049)
Citation 1

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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 3,375 (6,975)
Citation 1

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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 3,145 (7,811)
Citation 3

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

6.

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 2,526 (11,019)

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

7.

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 2,252 (13,272)
Citation 2

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

8.

Impact: What Influences Finance Research?

Downloads 1,875 (17,713)

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 1,875 (17,402)
Citation 7

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Research Impact, Journal Ranking, citations

Impact: What Influences Finance Research?

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

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 1,566 (23,387)
Citation 2

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Duration, Convexity, Bond return, Bond price, yield

10.

Using the Wacc to Value Real Options

Downloads 1,454 (26,112)

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 1,454 (25,653)
Citation 1

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

Using the Wacc to Value Real Options

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

11.

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 1,398 (27,667)
Citation 2

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Job Market, Finance PhD, Adverse Selection, Conferences

12.

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 1,071 (40,711)

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

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 825 (58,595)

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Real Options, Implied Binomial Trees

14.

The Information Content of Short Interest: A Natural Experiment

Downloads 772 (64,000)

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 772 (63,042)
Citation 15

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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

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

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

15.

A Rookie’s Guide to the Academic Job Market in Finance: The Labor Market for Lemons

Number of pages: 37 Posted: 11 Aug 2019 Last Revised: 11 Aug 2022
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 740 (67,646)
Citation 1

Abstract:

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finance rookie job market

16.

Bloomberg Finance Fundamentals (BFF): Certification for Students

Number of pages: 9 Posted: 08 Dec 2023
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 695 (73,677)

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Bloomberg Professional Service, Bloomberg Terminal, Bloomberg Finance Fundamentals Certification, Bloomberg Market Concepts Certification, BFF, BMC, ESG

17.

Bloomberg Environmental Social Governance (ESG): Certification for Students (and Their Professors)

Number of pages: 10 Posted: 08 May 2023 Last Revised: 14 Jul 2024
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 622 (84,313)
Citation 1

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Bloomberg Professional Service, Bloomberg Terminal, Bloomberg ESG Certification, Bloomberg Market Concepts Certification, BMC Certification, Sponsorship

18.

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 594 (89,413)

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

19.

Bloomberg Equity Screening (EQS) Exercise: Benjamin Graham Value Investing

Number of pages: 21 Posted: 02 Feb 2023 Last Revised: 28 Mar 2024
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 585 (91,183)
Citation 1

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Bloomberg Professional Service, Bloomberg Terminal, Value investing, Benjamin Graham, Equity Screens, EQS function, BMC Certification, ChatGPT

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

21.

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 543 (100,174)

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

22.

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 517 (106,357)
Citation 1

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

23.

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 University of South Carolina (Retired)
Downloads 501 (110,822)

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Markowitz, CAPM, Diversification, Capital Budgeting, Active Management

24.

150 Risks in Finance: An Alphabetical List of Definitions and Examples, Accompanied by 75 Exercises for University Instructors to Assign to their Students

Number of pages: 63 Posted: 15 Feb 2023 Last Revised: 19 Aug 2024
J. Scott Chaput and Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance and University of Otago - Department of Accountancy and Finance
Downloads 499 (111,072)

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financial risks, risk-based exercises, uncertainty G01, G11, G12, G13, G21, G22, G23, G24, G33, G52

25.

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 483 (115,414)
Citation 1

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

26.

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

Number of pages: 23 Posted: 27 Aug 2018 Last Revised: 05 Apr 2021
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 469 (119,610)

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

27.

Bloomberg Market Concepts (BMC): Certification for Students (and Their Professors)

Number of pages: 10 Posted: 01 May 2023 Last Revised: 14 Jul 2024
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 388 (148,961)

Abstract:

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Bloomberg Professional Service, Bloomberg Terminal, Bloomberg Market Concepts Certification, BMC Certification, ESG Certification, Sponsorship

28.

How to Avoid Common Personal Finance Mistakes in your Twenties, and Build Wealth

Number of pages: 6 Posted: 29 Nov 2023 Last Revised: 06 Sep 2024
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 369 (157,532)

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Personal Finance, Financial Literacy, Wealth, Budgeting, Risk, Return, Transaction Costs, Horizon, Inflation and Taxes

29.

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 293 (201,685)
Citation 1

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

30.

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 284 (208,250)

Abstract:

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

31.

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 270 (219,298)
Citation 1

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

32.

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 255 (232,087)

Abstract:

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kurtosis, peakedness, fat tails, Pearson, Westfall

33.

Bloomberg Equity Screening (EQS) Exercise: Environmental Social Governance (ESG) Investing

Number of pages: 32 Posted: 05 Jun 2023 Last Revised: 22 Sep 2023
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 206 (285,888)

Abstract:

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Bloomberg Professional Service, Bloomberg Terminal, Environmental Social Governance (ESG) investing, Equity Screens, EQS function, Bond Screens, SRCH function, Green Bonds, ChatGPT

34.

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

Number of pages: 26 Posted: 24 Feb 2020
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 172 (334,711)

Abstract:

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Real option, Binomial tree, embedded NPV analysis

35.

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 166 (345,232)

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

36.

A Simple Mathematical Model of Mutual Fund Outperformance and Persistence in Terms of Information Ratios

Number of pages: 9 Posted: 07 Mar 2020
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 165 (346,995)

Abstract:

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37.

Are Liquid or Illiquid Stocks More Easily Manipulated? The Impact of Manipulator Aggressiveness

Number of pages: 28 Posted: 07 Aug 2020
Rasika Withanawasam, Peter Whigham and Timothy Falcon Crack
University of Otago, University of Otago - School of Business and University of Otago - Department of Accountancy and Finance
Downloads 160 (356,130)
Citation 1

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Liquid/illiquid stocks, Limit order markets, Market manipulation, Pump-and-dump, Market microstructure models

38.

Put Your Best Foot Forward: A Pre-Submission Checklist for Journal Articles

Number of pages: 6 Posted: 13 Feb 2023
Timothy Falcon Crack, Robin Grieves and Marianne G. Lown
University of Otago - Department of Accountancy and Finance, University of South Carolina (Retired) and University of Otago - Department of Accountancy and Finance
Downloads 141 (394,825)
Citation 1

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Journal Submissions, Editing Advice, Career Advice

39.

Introducing a Real Option Framework for EVA/MVA Analysis

Number of pages: 28 Posted: 15 Oct 2020
Tom Arnold, Timothy Falcon Crack, Cassandra D. Marshall and Adam Schwartz
University of Richmond - E. Claiborne Robins School of Business, University of Otago - Department of Accountancy and Finance, University of Richmond - Department of Finance and Washington and Lee University - Department of Business Administration
Downloads 129 (423,069)

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economic value added, EVA, market value added, MVA, real option, binomial tree

40.

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

Number of pages: 36 Posted: 05 Jun 2004 Last Revised: 08 Jun 2020
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 123 (438,817)
Citation 5

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Tick size, market microstructure, depth, volume

41.

Building Modular Dividend Discount Models Using a 'Super Annuity Formula'

Number of pages: 23 Posted: 31 Jul 2020
Timothy Falcon Crack and Helen Roberts
University of Otago - Department of Accountancy and Finance and University of Otago - Department of Accountancy and Finance
Downloads 118 (452,583)

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dividend discount models, valuation, annuities

42.

New Zealand tax information for individuals and couples: Domestic and foreign bank interest, stocks and bonds, dividends, investment funds, ETFs, CIVs, and PIEs

Number of pages: 10 Posted: 18 Oct 2022 Last Revised: 17 Aug 2024
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 116 (458,557)

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New Zealand Taxes, FIF Regime, Multi-Rate PIE, Listed Pie, de minimis hurdle, KiwiSaver, Resident Withholding Tax (RWT), Prescribed Investor Rate (PIR), Employer Superannuation Contribution Tax (ESCT), NZX Smartshares, Exchange Traded Funds (ETFs)

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

44.

Everything You Need to Know About Accrued Interest, Full/Dirty/Invoice Prices and Flat/Clean Prices

Number of pages: 16 Posted: 16 Apr 2024 Last Revised: 25 Sep 2024
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 78 (594,937)

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Accrued Interest, Dirty Price, Clean Price, Ex-coupon Periods, Negative Accrued Interest, Day-Count Conventions, Taxes, MATLAB, Excel

45.

A new approach to Student and Fisher using polynomial roots

Number of pages: 18 Posted: 08 Jun 2020 Last Revised: 02 Dec 2022
Timothy Falcon Crack, Michael Osborne, Malcolm Crack and Mark Osborne
University of Otago - Department of Accountancy and Finance, University of Sussex Business School, University of Otago, Students and affiliation not provided to SSRN
Downloads 71 (626,628)
Citation 1

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Dual space, Complex plane, Roots of polynomials, Orthogonal decomposition, Sample variance, Student-t

46.

How to Win the Lottery, Guaranteed: Ten Comments on Cushing and Stewart's Guaranteed-Win Minimal Lottery Design

Number of pages: 14 Posted: 03 Jul 2024
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 65 (656,020)

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minimal lottery design, Lotto, high-school level statistics, Monte Carlo simulation, binomial probability mass function, Cushing-Stewart, wealth building, UK National Lottery, New Zealand Lotto, Venn diagram, Freshman statistics

47.

U.S. Stock Returns, the Berry-Esseen Theorem, and Statistical Testing

Number of pages: 38 Posted: 27 Jul 2020
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 59 (693,046)

Abstract:

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Berry-Esseen Theorem, Central Limit Theorem, Kurtosis, Size Effect, Skewness

48.

Trinomial Option Pricing: A Primer

Number of pages: 32
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 6

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trinomial option pricing, binomial option pricing, Boyle (1986)