Alessio Saretto

University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics

800 Campbell Road

SM 31

Richardson, TX 75080

United States

http://www.utdallas.edu/~axs125732

SCHOLARLY PAPERS

14

DOWNLOADS
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Top 3,087

in Total Papers Downloads

10,063

CITATIONS
Rank 5,639

SSRN RANKINGS

Top 5,639

in Total Papers Citations

91

Scholarly Papers (14)

1.

Option Returns and Volatility Mispricing

Number of pages: 38 Posted: 14 Mar 2006
Amit Goyal and Alessio Saretto
University of Lausanne and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 2,866 (2,375)
Citation 28

Abstract:

option returns, implied volatility

2.

Predicting and Pricing the Probability of Default

AFA 2006 Boston Meetings Paper
Number of pages: 44 Posted: 13 Nov 2005
Alessio Saretto
University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 1,617 (7,222)
Citation 5

Abstract:

Default, Hazard Rate, Distress Risk

3.

Option Strategies: Good Deals and Margin Calls

EFA 2006 Zurich Meetings
Number of pages: 40 Posted: 25 Mar 2005
Alessio Saretto and Pedro Santa-Clara
University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and New University of Lisbon - Nova School of Business and Economics
Downloads 1,059 (14,447)
Citation 31

Abstract:

Option strategies, margin requirements

4.

Auction Failures and the Market for Auction Rate Securities

Number of pages: 46 Posted: 27 Aug 2008 Last Revised: 27 Jun 2009
John J. McConnell and Alessio Saretto
Purdue University and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 559 (39,079)
Citation 9

Abstract:

Auction Failures, Auction Rate Securities, ARS

5.

Complex Securities and Underwriter Reputation: Do Reputable Underwriters Produce Better Securities?

Number of pages: 111 Posted: 01 Jul 2012 Last Revised: 01 Mar 2014
John M. Griffin, Richard Lowery and Alessio Saretto
University of Texas at Austin - Department of Finance, University of Texas-Austin and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 455 (45,482)
Citation 1

Abstract:

complex securities, reputation, CDO, ABS, MBS, CLO

6.

Corporate Leverage, Debt Maturity and Credit Supply: The Role of Credit Default Swaps

Number of pages: 74 Posted: 08 Mar 2011 Last Revised: 17 Aug 2015
Alessio Saretto and Heather Tookes
University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Yale University - Yale School of Management
Downloads 400 (60,617)
Citation 17

Abstract:

capital structure, supply frictions, credit default swaps

7.

Dynamic Capacity Choice, Dynamic Capital Structure, and Credit Risk

EFA 2009 Bergen Meetings Paper
Number of pages: 69 Posted: 08 Jul 2008 Last Revised: 11 Mar 2014
Andrea Gamba, Mamen Aranda and Alessio Saretto
University of Warwick - Finance Group, University of Navarra - Business and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 372 (62,269)

Abstract:

dynamic capital structure, investment, credit risk, agency costs

Does Hedging with Derivatives Reduce the Market's Perception of Credit Risk?

Number of pages: 53 Posted: 19 Aug 2015 Last Revised: 25 Jul 2016
Sriya Anbil, Alessio Saretto and Heather Tookes
Board of Governors of the Federal Reserve System, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Yale University - Yale School of Management
Downloads 216 (118,914)

Abstract:

risk management, derivatives, SFAS 133, SFAS 161, basis risk

Does Hedging with Derivatives Reduce the Market's Perception of Credit Risk?

FEDS Working Paper No. 2016-100
Number of pages: 56 Posted: 27 Dec 2016
Sriya Anbil, Alessio Saretto and Heather Tookes
Board of Governors of the Federal Reserve System, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Yale University - Yale School of Management
Downloads 70 (287,421)

Abstract:

Counterparty credit risk, Derivatives, futures, and options, Risk management, Hedging

9.

Firm Policies and the Cross-Section of CDS Spreads

Number of pages: 62 Posted: 31 Jul 2012 Last Revised: 11 Mar 2014
Andrea Gamba and Alessio Saretto
University of Warwick - Finance Group and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 199 (106,014)

Abstract:

CDS, leverage, credit risk, default

10.

Does Capital Structure Affect the Behavior of Non-Financial Stakeholders? An Empirical Investigation into Leverage and Union Strikes

Number of pages: 34 Posted: 11 Aug 2011 Last Revised: 11 Feb 2016
Brett W. Myers and Alessio Saretto
Texas Tech, Rawls College of Business and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 150 (115,088)

Abstract:

leverage, non-financial stakeholders, contract negotiations, union strikes

11.

The Agency Credit Spread

Number of pages: 53 Posted: 01 Jan 2014 Last Revised: 03 Sep 2017
Andrea Gamba, Mamen Aranda and Alessio Saretto
University of Warwick - Finance Group, University of Navarra - Business and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 90 (155,435)

Abstract:

corporate credit risk, credit spread, structural models, debt-equity agency conflicts

12.

The Trust Alternative

Number of pages: 54 Posted: 01 Sep 2014 Last Revised: 16 Dec 2016
Indraneel Chakraborty, Alessio Saretto and Malcolm Wardlaw
University of Miami, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and University of Texas - Dallas
Downloads 53 (218,785)

Abstract:

Platform-Pays, Ratings Inflation, Ratings Shopping, Rating Agencies

13.

p-Hacking: Evidence from Two Million Trading Strategies

Number of pages: 51 Posted: 14 Aug 2017 Last Revised: 16 Aug 2017
Tarun Chordia, Amit Goyal and Alessio Saretto
Emory University - Department of Finance, University of Lausanne and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 0 (21,256)

Abstract:

Hypothesis testing, False discoveries, Trading strategies

14.

Growth Options and Credit Risk

WBS Finance Group Research Paper
Number of pages: 77 Posted: 11 Jul 2016 Last Revised: 01 Feb 2017
Andrea Gamba and Alessio Saretto
University of Warwick - Finance Group and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 0 (214,317)

Abstract:

growth options, capital structure, credit risk, structural estimation

Other Papers (1)

Total Downloads: 0    Citations: 0
1.

Union Strikes and the Impact of Non-Financial Stake Holders on Capital Structure

Posted: 16 Feb 2010
Brett W. Myers and Alessio Saretto
Texas Tech, Rawls College of Business and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics

Abstract:

Capital structure, Unions, Strikes