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Introducing a real option framework for EVA/MVA analysis

Arnold, Tom; Crack, Timothy Falcon; Marshall, Cassandra D. - In: The engineering economist : a journal devoted to the … 68 (2023) 4, pp. 190-210

Persistent link: https://www.econbiz.de/10014576794

The Information Content of Short Interest: A Natural Experiment

Arnold, Tom; Butler, Alexander W.; Crack, Timothy Falcon; … - In: The Journal of Business 78 (2005) 4, pp. 1307-1336

An increase in the cost of selling short should increase the bearish information content of short interest announcements by driving relatively uninformed short sellers out of the market. We extend the Diamond and Verrecchia (1987) model to include short selling against the box and test the...

Persistent link: https://www.econbiz.de/10005728291

Price and earnings momentum, transaction costs, and an innovative practitioner technique

Tajaddini, Reza; Crack, Timothy Falcon; Roberts, Helen - In: International review of finance 15 (2015) 4, pp. 555-597

Persistent link: https://www.econbiz.de/10011498803

Credit card balances and repayment under competing minimum payment regimes

Crack, Timothy Falcon; Roberts, Helen - In: Review of quantitative finance and accounting 45 (2015) 4, pp. 785-801

Persistent link: https://www.econbiz.de/10011532210

Characterizing limit order prices

Withanawasam, R.M.; Whigham, P.A.; Crack, Timothy Falcon - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 21, pp. 5346-5355

A computational model of a limit order book is used to study the effect of different limit order distribution offsets. Reference prices such as same side/contra side best market prices and last traded price are considered in combination with different price offset distributions. We show that...

Persistent link: https://www.econbiz.de/10010742317

Do momentum-based trading strategies work in emerging currency markets?

Tajaddini, Reza; Crack, Timothy Falcon - In: Journal of International Financial Markets, … 22 (2012) 3, pp. 521-537

We appear to be the first to present correctly calculated results for the profitability of emerging currency momentum strategies using a long time series and a good cross-sectional sample. Using a 1985–2009 sample period and six emerging currencies, we find that long-short momentum strategies...

Persistent link: https://www.econbiz.de/10010576382

Robust Structure without Predictability: The "Compass Rose" Pattern of the Stock Market.

Crack, Timothy Falcon; Ledoit, Olivier - In: Journal of Finance 51 (1996) 2, pp. 751-62

Plotting daily stock returns against themselves with one day's lag reveals a striking pattern. Evenly spaced lines radiate from the origin; the thickest lines point in the major directions of the compass. This 'compass rose' pattern appears in every stock. It is caused by discreteness. However,...

Persistent link: https://www.econbiz.de/10005214533

Visual Portfolio Statistics

Arnold, Tom; Buchanan, Bonnie - In: Accounting Research Journal 20 (2007) 1, pp. 60-68

This paper develops visual aids for the understanding of two asset portfolio mathematics. Specifically, visual aids are utilized in teaching portfolio variance and correlation coefficient concepts. The presentation is simple, yet powerful, and is useful for an audience with varying levels of...

Persistent link: https://www.econbiz.de/10014676548

Impact: What Influences Finance Research?

Arnold, Tom - In: The Journal of Business 76 (2003) 2, pp. 343-362

Which journal articles have had the most impact on finance research? Which journals dominated finance research in the 1990s? We answer these and similar questions using a comprehensive sample of journals, an extensive time period, and a new ranking method that avoids problems inherent in the...

Persistent link: https://www.econbiz.de/10005725892

Visual Portfolio Statistics

Arnold, Tom; Buchanan, Bonnie - In: Accounting Research Journal 20 (2007) May, pp. 60-68

Persistent link: https://www.econbiz.de/10008506147