Timothy Falcon Crack

University of Otago - Department of Accountancy and Finance

Dunedin

New Zealand

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 733

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Top 733

in Total Papers Downloads

30,556

CITATIONS
Rank 16,366

SSRN RANKINGS

Top 16,366

in Total Papers Citations

43

Scholarly Papers (27)

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 4,617 (1,699)
Citation 5

Abstract:

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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 4,195 (2,020)
Citation 8

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 3,293 (3,083)

Abstract:

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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 3,113 (3,402)
Citation 1

Abstract:

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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 2,845 (3,949)
Citation 2

Abstract:

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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 1,984 (7,253)
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
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 1,797 (8,415)

Abstract:

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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 1,343 ( 13,740)

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 1,343 (13,449)

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.

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 1,290 (14,604)
Citation 1

Abstract:

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Job Market, Finance PhD, Adverse Selection, Conferences

10.

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 1,003 (21,399)

Abstract:

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

11.

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 1,001 (21,461)

Abstract:

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

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 769 (31,238)

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
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 (32,894)
Citation 2

Abstract:

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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

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 522 (52,139)

Abstract:

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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 455 (61,971)
Citation 1

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

16.

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 423 (67,646)

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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 244 (124,085)

Abstract:

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

18.

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 205 (147,544)
Citation 1

Abstract:

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

19.

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 190 (158,339)

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Markowitz, CAPM, Diversification, Capital Budgeting, Active Management

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 139 (206,848)

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

21.

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 (265,509)

Abstract:

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kurtosis, peakedness, fat tails, Pearson, Westfall

22.

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 (269,052)
Citation 5

Abstract:

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Tick size, market microstructure, depth, volume

23.

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 90 (282,311)

Abstract:

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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

25.

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 (496,437)

Abstract:

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

26.

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

Number of pages: 12 Posted: 11 Aug 2019
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 17 (536,885)

Abstract:

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rookie job market

27.

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 (536,885)

Abstract:

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