Timothy Falcon Crack

University of Otago

P.O. Box 56

Dunedin, Otago 9010

New Zealand

SCHOLARLY PAPERS

36

DOWNLOADS
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Top 896

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35,789

SSRN CITATIONS
Rank 19,016

SSRN RANKINGS

Top 19,016

in Total Papers Citations

23

CROSSREF CITATIONS

33

Scholarly Papers (36)

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 and Washington and Lee University - Department of Business Administration
Downloads 4,752 (2,294)
Citation 6

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
Downloads 4,388 (2,643)
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
Downloads 3,721 (3,500)
Citation 1

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
Downloads 3,263 (4,410)
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
Downloads 2,961 (5,220)
Citation 3

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
Downloads 2,059 (9,364)
Citation 2

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 and Claremont Colleges - Peter F. Drucker Graduate School of Management
Downloads 1,828 (11,179)
Citation 3

Abstract:

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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 and Claremont Colleges - Peter F. Drucker Graduate School of Management

Abstract:

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Research Impact, Journal Ranking, citations

8.

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
Downloads 1,676 (13,067)

Abstract:

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

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 and University of Massachusetts Amherst - Isenberg School of Management
Downloads 1,398 (17,373)
Citation 2

Abstract:

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Duration, Convexity, Bond return, Bond price, yield

10.
Downloads 1,393 ( 17,448)
Citation 1

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
Downloads 1,393 (17,124)
Citation 1

Abstract:

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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

Abstract:

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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
Downloads 1,313 (19,042)
Citation 2

Abstract:

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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 and Washington and Lee University - Department of Business Administration
Downloads 1,029 (27,299)

Abstract:

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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 and Washington and Lee University - Department of Business Administration
Downloads 781 (40,140)

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 and State University of New York at Binghamton - School of Management
Downloads 746 (42,098)
Citation 14

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

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 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 and Washington and Lee University - Department of Business Administration
Downloads 539 (65,057)

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 and University of Massachusetts Amherst - Isenberg School of Management
Downloads 481 (74,945)

Abstract:

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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
Downloads 474 (76,314)
Citation 1

Abstract:

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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 and University of Zurich - Department of Economics
Downloads 441 (83,115)
Citation 1

Abstract:

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

19.

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 and University of Otago
Downloads 420 (88,017)

Abstract:

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

20.

The Practical Implications of Modern Portfolio Theory

Number of pages: 21 Posted: 15 Dec 2017
Timothy Falcon Crack and Robin Grieves
University of Otago and Rollins College - Crummer Graduate School of Business
Downloads 309 (124,137)

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Markowitz, CAPM, Diversification, Capital Budgeting, Active Management

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

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
Downloads 252 (152,682)

Abstract:

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

23.

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 and Washington and Lee University - Department of Business Administration
Downloads 224 (171,704)
Citation 1

Abstract:

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

24.

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
Downloads 208 (184,109)

Abstract:

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rookie job market

25.

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
Downloads 151 (243,230)

Abstract:

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kurtosis, peakedness, fat tails, Pearson, Westfall

26.

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
Downloads 143 (254,205)

Abstract:

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

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, University of Otago - Department of Accountancy and Finance and University of Otago - Department of Accountancy and Finance
Downloads 126 (280,118)
Citation 1

Abstract:

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

28.

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
Downloads 106 (316,668)
Citation 5

Abstract:

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Tick size, market microstructure, depth, volume

29.

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 and Washington and Lee University - Department of Business Administration
Downloads 59 (444,646)

Abstract:

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Real option, Binomial tree, embedded NPV analysis

30.

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
Downloads 53 (467,062)

Abstract:

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

31.

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, University of Richmond - Department of Finance and Washington and Lee University - Department of Business Administration
Downloads 50 (479,153)

Abstract:

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

32.

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
Downloads 40 (523,497)
Citation 1

Abstract:

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

33.

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
Downloads 39 (528,392)

Abstract:

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34.

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 and University of Otago - Department of Accountancy and Finance
Downloads 34 (553,982)

Abstract:

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dividend discount models, valuation, annuities

35.

A new approach to Student and Fisher using polynomial roots

Number of pages: 16 Posted: 08 Jun 2020 Last Revised: 08 Oct 2021
Timothy Falcon Crack, Michael Osborne, Malcolm Crack and Mark Osborne
University of Otago, University of Sussex Business School, University of Otago, Students and affiliation not provided to SSRN
Downloads 28 (588,152)
Citation 1

Abstract:

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

36.

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, University of Otago - Department of Accountancy and Finance and University of Otago - Department of Accountancy and Finance
Downloads 23 (620,903)

Abstract:

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