Details about Alex Kane

Access statistics for papers by Alex Kane.

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

Short-id: pka501

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 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 View citations (26)

1991

3. Measuring Risk Aversion From Excess Returns on a Stock Index
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (58)
4. The Delivery of Market Timing Services: Newsletters Versus Market Timing Funds
   NBER Technical Working Papers, National Bureau of Economic Research, Inc
   See also Journal Article The delivery of market timing services: Newsletters versus market timing funds, Journal of Financial Intermediation, Elsevier (1990) View citations (5) (1990)

1990

5. Valuation of Variance Forecast with Simulated Option Markets
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (47)

1988

6. Performance Evaluation of Market Timers
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

1986

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

1985

8. Efficient Inflation Forecasts: An International Comparison
   NBER Working Papers, National Bureau of Economic Research, Inc
9. Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
   See also Journal Article Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market, Journal of Finance, American Finance Association (1986) View citations (6) (1986)

1984

10. Debt Policy and the Rate of Return Premium to Leverage
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
    See also Journal Article Debt Policy and the Rate of Return Premium to Leverage, Journal of Financial and Quantitative Analysis, Cambridge University Press (1985) View citations (73) (1985)
11. How Big is the Tax Advantage to Debt?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (38)
    See also Journal Article How Big Is the Tax Advantage to Debt?, Journal of Finance, American Finance Association (1984) View citations (40) (1984)

1983

12. Earnings and Dividend Announcements is there a Corroboration Effect?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    See also Journal Article Earnings and Dividend Announcements: Is There a Corroboration Effect?, Journal of Finance, American Finance Association (1984) View citations (56) (1984)
13. Inflation and the Role of Bonds in Investor Portfolios
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
    See also Chapter Inflation and the Role of Bonds in Investor Portfolios, NBER Chapters, National Bureau of Economic Research, Inc (1985) View citations (9) (1985)
14. The Forecasting Ability of Money Market Fund Managers and its Economic Value
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
15. Why Are Real Interest Rates So High?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)

Journal Articles

2010

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

2005

2. 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 View citations (16)

2000

3. 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 View citations (3)

1994

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

1990

5. The delivery of market timing services: Newsletters versus market timing funds
   Journal of Financial Intermediation, 1990, 1, (2), 150-166 View citations (5)
   See also Working Paper The Delivery of Market Timing Services: Newsletters Versus Market Timing Funds, NBER Technical Working Papers (1991) (1991)

1988

6. Performance Evaluation of Market Timers: Theory and Evidence
   Journal of Financial and Quantitative Analysis, 1988, 23, (4), 425-435 View citations (2)
7. The Delivery Option on Forward Contracts: A Note
   Journal of Financial and Quantitative Analysis, 1988, 23, (3), 337-341 View citations (1)

1986

8. Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market
   Journal of Finance, 1986, 41, (1), 195-207 View citations (6)
   See also Working Paper Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market, NBER Working Papers (1985) View citations (2) (1985)

1985

9. Debt Policy and the Rate of Return Premium to Leverage
   Journal of Financial and Quantitative Analysis, 1985, 20, (4), 479-499 View citations (73)
   See also Working Paper Debt Policy and the Rate of Return Premium to Leverage, NBER Working Papers (1984) View citations (4) (1984)

1984

10. Earnings and Dividend Announcements: Is There a Corroboration Effect?
    Journal of Finance, 1984, 39, (4), 1091-99 View citations (56)
    See also Working Paper Earnings and Dividend Announcements is there a Corroboration Effect?, NBER Working Papers (1983) View citations (3) (1983)
11. How Big Is the Tax Advantage to Debt?
    Journal of Finance, 1984, 39, (3), 841-53 View citations (40)
    See also Working Paper How Big is the Tax Advantage to Debt?, NBER Working Papers (1984) View citations (38) (1984)

1983

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

1982

13. International interest rates and inflationary expectations
    Journal of International Money and Finance, 1982, 1, (1), 97-110
14. Skewness Preference and Portfolio Choice
    Journal of Financial and Quantitative Analysis, 1982, 17, (1), 15-25 View citations (60)

Chapters

1986

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

1985

2. Inflation and the Role of Bonds in Investor Portfolios
   A chapter in Corporate Capital Structures in the United States, 1985, pp 167-196 View citations (9)
   See also Working Paper Inflation and the Role of Bonds in Investor Portfolios, National Bureau of Economic Research, Inc (1983) View citations (13) (1983)