14850 Fisher Cove
Del Mar, CA 92014
Institutional Affiliation: University of California at San Diego
Information about this author at RePEc
NBER Working Papers and Publications
|November 1993||Index-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 1991||The Delivery of Market Timing Services: Newsletters Versus Market Timing Funds|
Published: Journal of Financial Intermediation, Vol. 1, No. 1, pp. 150-166, (1990).
|March 1991||Measuring 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 1990||Valuation 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 1988||Performance 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 1986||The 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.
|1986||Risk and Required Returns on Debt and Equity|
with Zvi Bodie, Robert L. McDonald
in Financing Corporate Capital Formation, Benjamin M. Friedman, editor
|May 1985||Valuation 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
|1985||Efficient Inflation Forecasts: An International Comparison|
with Leonard Rosenthal: w1542
|Inflation and the Role of Bonds in Investor Portfolios|
with Zvi Bodie, Robert McDonald
in Corporate Capital Structures in the United States, Benjamin M. Friedman, editor
|August 1984||Debt 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
|March 1984||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
|December 1983||The 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 1983||Why 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.
|March 1983||Inflation and the Role of Bonds in Investor Portfolios|
with Zvi Bodie, Robert L. McDonald: w1091
Published: Bodie, Zvi, Alex Kane, Robert McDonald. "Inflation and the Role of Bonds in Investor Portfolios." Corporate Capital Structures in the United States, edited by Benjamin M. Friedman. Chicago UCP. (1985), pp. 167-194.