NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Alex Kane

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Working Papers

November 1993Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts
with Robert F. Engle, Jaesun Noh: w4519

Published: Review of Derivatives Research, Volume 1, Number 2, 1996 , pp. 139-157

A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts
with Jaesun Noh, Robert F. Engle: w4520

Published: (Published as "Forecasting Volatility and Option Prices of the S & P 500 Index") Journal of Derivatives, Vol. 2 (1994): 17-30.

August 1991The Delivery of Market Timing Services: Newsletters Versus Market Timing Funds
t0075

Published: Journal of Financial Intermediation, Vol. 1, No. 1, pp. 150-166, (1990).

March 1991Measuring Risk Aversion From Excess Returns on a Stock Index
with Ray Chou, Robert F. Engle: w3643

Published: Journal of Econometrics, vol. 52, pp. 201-224, 1992

May 1990Valuation of Variance Forecast with Simulated Option Markets
with Robert F. Engle, Che-Hsiung Hong: w3350

Published: Robert Engle, Che-Hsuing Hong, Alex Kane, and Jaesun Noh, "Arbitrage Valuation of Variance Forecasts with Simulated Options," Advances in Futures and Options Research, Vol. 6, 1992, pp. 393-416.

July 1988Performance Evaluation of Market Timers
with Stephen Gary Marks: w2640

Published: Kane, Alex and Stephen Gary Marks. "Performance Evaluation of Market Timers: Theory and Evidence," from Journal of Financial and Quantitative Analysis, Vol. 23, No. 4, December 1988, pp. 425-435.

June 1986The Valuation of Security Analysis
with Alan J. Marcus: w1958

Published: Kane, Alex, Alan J. Marcus, and Robert R. Trippi. "The Valuation of Security Analysis." Journal of Portfolio Management 25, 3 (Spring 1999): 25-36.

June 1985Inflation and the Role of Bonds in Investor Portfolios
with Zvi Bodie, Robert L. McDonald: w1091

Published:

How Big is the Tax Advantage to Debt?
with Alan J. Marcus, Robert L. McDonald: w1286

Published: Kane, Alex, Alan J. Marcus and Robert L. McDonald. "How Big is the Tax Advantage to Debt?" Journal of Finance, Vol. 39, No. 3, (July 1984), pp. 841- 853. citation courtesy of

May 1985Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market
with Alan J. Marcus: w1614

Published: Kane, Alex and Alan J. Marcus. "Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market." Journal of Finance, Vol. 41, No. 1, (march 1986), pp. 195-207. citation courtesy of

1985Efficient Inflation Forecasts: An International Comparison
with Leonard Rosenthal: w1542
August 1984Debt Policy and the Rate of Return Premium to Leverage
with Alan J. Marcus, Robert L. McDonald: w1439

Published: Kane, Alex, Marcus, Alan J. and Robert L. McDonald. "Debt Policy and the Rate of Return Premium to Leverage," Journal of Financial and Quantitative Analysis, Vol. 20, No. 4, (Dec. 1985), pp. 479-499. citation courtesy of

December 1983The Forecasting Ability of Money Market Fund Managers and its Economic Value
with Young Ki Lee: w1243
Earnings and Dividend Announcements is there a Corroboration Effect?
with Young Ki Lee, Alan J. Marcus: w1248

Published: Kane, Alex, Young Ki Lee, and Alan J. Marcus. "Earnings and Dividend Announcements: Is There a Corroboration Effect?" Journal of Finance, Vol. 39, No. 4, (September 1984), pp. 1091-1099. citation courtesy of

June 1983Why Are Real Interest Rates So High?
with Zvi Bodie, Robert L. McDonald: w1141

Published: Bodie, Zvi, Alex Kane and Robert L. McDonald. Why Haven't Nominal Rates Declined?" Financial Analysts Journal, Vol. 4 No. 2, (March-April 1984), pp. 16-27.

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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