Timothy Falcon Crack

University of Otago - Department of Accountancy and Finance

Dunedin

New Zealand

  • University of Otago - Department of Accountancy and Finance

SCHOLARLY PAPERS

45

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SSRN CITATIONS
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Top 20,303

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29

CROSSREF CITATIONS

30

Scholarly Papers (45)

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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 4,862 (3,314)

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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 4,658 (3,588)
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 4,044 (4,532)
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 3,350 (6,243)
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 3,088 (7,104)
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 2,440 (10,224)

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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 2,158 (12,476)
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 1,864 (15,729)

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 1,864 (15,464)
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 1,515 (21,707)
Citation 2

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Duration, Convexity, Bond return, Bond price, yield

10.

Using the Wacc to Value Real Options

Downloads 1,445 (23,282)

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 1,445 (22,869)
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 1,359 (25,501)
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 1,060 (36,538)

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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 817 (52,541)

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Real Options, Implied Binomial Trees

14.

The Information Content of Short Interest: A Natural Experiment

Downloads 765 (57,350)

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 765 (56,519)
Citation 16

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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.

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 576 (82,451)

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

16.

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 549 (87,538)
Citation 1

Abstract:

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finance rookie job market

17.

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 532 (91,105)

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

18.

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 508 (96,421)
Citation 1

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

19.

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

Number of pages: 20 Posted: 02 Feb 2023 Last Revised: 23 May 2023
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 492 (100,240)

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

20.

A Note on Karl Pearson’s 1900 Chi-Squared Test: Two Derivations of the Asymptotic Distribution, and Uses in Goodness of Fit and Contingency Tests of Independence, and a Comparison with the Exact Sample Variance Chi-Square Result

Number of pages: 29 Posted: 08 Dec 2018
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 474 (104,828)
Citation 2

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

21.

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 471 (105,600)
Citation 1

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

22.

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 457 (109,508)

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

23.

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: 15 Jun 2023
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 422 (120,239)

Abstract:

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Financial Risks, Risk-Based Exercises, Uncertainty

24.

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 415 (122,523)

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Markowitz, CAPM, Diversification, Capital Budgeting, Active Management

25.

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

Number of pages: 10 Posted: 08 May 2023 Last Revised: 14 Jun 2023
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 364 (142,507)
Citation 1

Abstract:

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

26.

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 276 (190,348)

Abstract:

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

27.

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 262 (200,587)
Citation 1

Abstract:

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

28.

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

Number of pages: 10 Posted: 01 May 2023 Last Revised: 14 Jun 2023
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 248 (211,739)

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

29.

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 248 (211,739)
Citation 1

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

30.

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 229 (228,892)

Abstract:

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kurtosis, peakedness, fat tails, Pearson, Westfall

31.

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 159 (316,961)

Abstract:

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

32.

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

Number of pages: 6 Posted: 29 Nov 2023
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 140 (353,517)

Abstract:

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

33.

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 140 (351,518)

Abstract:

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Real option, Binomial tree, embedded NPV analysis

34.

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 126 (380,978)

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Journal Submissions, Editing Advice, Career Advice

35.

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 126 (380,978)
Citation 1

Abstract:

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

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 121 (392,785)

Abstract:

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37.

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 120 (395,163)
Citation 5

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Tick size, market microstructure, depth, volume

38.

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 98 (456,416)

Abstract:

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dividend discount models, valuation, annuities

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 96 (462,657)

Abstract:

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

40.

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

Number of pages: 11 Posted: 16 Dec 2018 Last Revised: 31 Dec 2020
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 86 (495,848)

Abstract:

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

41.

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 85 (499,463)

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

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: 21 Jun 2023
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 75 (537,705)

Abstract:

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43.

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 58 (614,671)
Citation 1

Abstract:

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

44.

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 50 (657,746)

Abstract:

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

45.

Bloomberg Finance Fundamentals (BFF): Certification for Students

Number of pages: 9
Timothy Falcon Crack
University of Otago - Department of Accountancy and Finance
Downloads 1

Abstract:

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