Timothy Falcon Crack

University of Otago - Department of Accountancy and Finance

Dunedin

New Zealand

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 576

SSRN RANKINGS

Top 576

in Total Papers Downloads

29,847

CITATIONS
Rank 7,328

SSRN RANKINGS

Top 7,328

in Total Papers Citations

65

Scholarly Papers (23)

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 4,264 (1,363)
Citation 2

Abstract:

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 3,848 (1,635)
Citation 6

Abstract:

3.

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 2,789 (2,826)
Citation 3

Abstract:

Job Market, Finance PhD, Adverse Selection, Conferences

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 2,606 (3,290)
Citation 1

Abstract:

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

5.

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 2,083 (3,228)
Citation 2

Abstract:

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 1,879 (5,897)
Citation 1

Abstract:

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

7.
Downloads 1,746 ( 7,162)
Citation 11

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 1,746 (7,012)
Citation 11

Abstract:

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

Abstract:

Research Impact, Journal Ranking, citations

8.
Downloads 1,309 ( 11,441)
Citation 2

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 1,309 (11,201)
Citation 2

Abstract:

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:

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 1,216 (12,050)
Citation 1

Abstract:

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 1,208 (12,150)
Citation 2

Abstract:

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 950 (17,812)

Abstract:

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

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 730 (26,421)

Abstract:

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 726 (27,335)
Citation 25

Abstract:

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:

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

14.

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 483 (44,547)

Abstract:

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

15.

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 421 (53,109)

Abstract:

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

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 418 (52,155)
Citation 4

Abstract:

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

17.

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 384 (58,580)

Abstract:

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 237 (107,400)

Abstract:

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

19.

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 161 (132,260)

Abstract:

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

20.

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 133 (177,384)

Abstract:

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

21.

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 85 (234,086)
Citation 5

Abstract:

Tick size, market microstructure, depth, volume

22.

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 16 (81,482)

Abstract:

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

23.

Kurtosis as Peakedness: The Phoenix from the Ashes

Foundations for Scientific Investing, Sixth Edition, October 2016
Number of pages: 11 Posted: 26 Sep 2016 Last Revised: 02 Sep 2017
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 0 (328,162)

Abstract:

kurtosis, peakedness, fat tails, Pearson, Westfall