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Details about Alex Kane

Workplace:Graduate School of International Relations and Pacific Studies, University of California-San Diego (UCSD), (more information at EDIRC)

Access statistics for papers by Alex Kane.

Last updated 2015-01-08. Update your information in the RePEc Author Service.

Short-id: pka501


Jump to Journal Articles Chapters

Working Papers

1993

  1. A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
  2. Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (24)

1991

  1. Measuring Risk Aversion From Excess Returns on a Stock Index
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (58)
  2. The Delivery of Market Timing Services: Newsletters Versus Market Timing Funds
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Financial Intermediation (1990)

1990

  1. Valuation of Variance Forecast with Simulated Option Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (44)

1988

  1. Performance Evaluation of Market Timers
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

1986

  1. The Valuation of Security Analysis
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

1985

  1. Efficient Inflation Forecasts: An International Comparison
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  2. Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    See also Journal Article in Journal of Finance (1986)

1984

  1. Debt Policy and the Rate of Return Premium to Leverage
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    See also Journal Article in Journal of Financial and Quantitative Analysis (1985)
  2. How Big is the Tax Advantage to Debt?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    See also Journal Article in Journal of Finance (1984)

1983

  1. Earnings and Dividend Announcements is there a Corroboration Effect?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article in Journal of Finance (1984)
  2. Inflation and the Role of Bonds in Investor Portfolios
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    See also Chapter (1985)
  3. The Forecasting Ability of Money Market Fund Managers and its Economic Value
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
  4. Why Are Real Interest Rates So High?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (12)

Journal Articles

2010

  1. Forecast Precision and Portfolio Performance
    Journal of Financial Econometrics, 2010, 8, (3), 265-304 Downloads

2005

  1. Optimal Estimation of the Risk Premium for the Long Run and Asset Allocation: A Case of Compounded Estimation Risk
    Journal of Financial Econometrics, 2005, 3, (1), 37-55 Downloads View citations (11)

2000

  1. Regularities in volatility and the price of risk following large stock market movements in the US and Japan
    Journal of International Money and Finance, 2000, 19, (1), 1-32 Downloads View citations (3)

1994

  1. Trading cost premiums in capital asset returns--a closed form solution
    Journal of Banking & Finance, 1994, 18, (6), 1177-1183 Downloads View citations (5)

1990

  1. The delivery of market timing services: Newsletters versus market timing funds
    Journal of Financial Intermediation, 1990, 1, (2), 150-166 Downloads View citations (5)
    See also Working Paper (1991)

1988

  1. Performance Evaluation of Market Timers: Theory and Evidence
    Journal of Financial and Quantitative Analysis, 1988, 23, (04), 425-435 Downloads View citations (2)
  2. The Delivery Option on Forward Contracts: A Note
    Journal of Financial and Quantitative Analysis, 1988, 23, (03), 337-341 Downloads View citations (1)

1986

  1. Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market
    Journal of Finance, 1986, 41, (1), 195-207 Downloads View citations (4)
    See also Working Paper (1985)

1985

  1. Debt Policy and the Rate of Return Premium to Leverage
    Journal of Financial and Quantitative Analysis, 1985, 20, (04), 479-499 Downloads View citations (53)
    See also Working Paper (1984)

1984

  1. Earnings and Dividend Announcements: Is There a Corroboration Effect?
    Journal of Finance, 1984, 39, (4), 1091-99 Downloads View citations (34)
    See also Working Paper (1983)
  2. How Big Is the Tax Advantage to Debt?
    Journal of Finance, 1984, 39, (3), 841-53 Downloads View citations (24)
    See also Working Paper (1984)

1983

  1. Tests of the Fisher Hypothesis with International Data: Theory and Evidence
    Journal of Finance, 1983, 38, (2), 539-51 Downloads View citations (2)

1982

  1. International interest rates and inflationary expectations
    Journal of International Money and Finance, 1982, 1, (1), 97-110 Downloads
  2. Skewness Preference and Portfolio Choice
    Journal of Financial and Quantitative Analysis, 1982, 17, (01), 15-25 Downloads View citations (36)

Chapters

1986

  1. Risk and Required Returns on Debt and Equity
    A chapter in Financing Corporate Capital Formation, 1986, pp 51-66 Downloads View citations (1)

1985

  1. Inflation and the Role of Bonds in Investor Portfolios
    A chapter in Corporate Capital Structures in the United States, 1985, pp 167-196 Downloads View citations (7)
    See also Working Paper (1983)
 
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