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

15

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SSRN CITATIONS
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Top 12,420

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Scholarly Papers (15)

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 3,644 (2,605)
Citation 3

Abstract:

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option returns, implied volatility

2.

Anomalies and False Rejections

Swiss Finance Institute Research Paper No. 17-37
Number of pages: 61 Posted: 14 Aug 2017 Last Revised: 12 Sep 2019
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 2,424 (5,208)
Citation 23

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Hypothesis testing, False discoveries, Trading strategies

3.

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 1,849 (8,270)
Citation 9

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Default, Hazard Rate, Distress Risk

4.

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 1,183 (16,849)
Citation 8

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Option strategies, margin requirements

5.

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 576 (46,307)
Citation 12

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Auction Failures, Auction Rate Securities, ARS

6.

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 541 (50,141)
Citation 5

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

7.

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 476 (59,037)
Citation 14

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capital structure, supply frictions, credit default swaps

How Does Hedge Designation Impact the Market's Perception of Credit Risk?

Number of pages: 61 Posted: 19 Aug 2015 Last Revised: 02 Apr 2018
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 282 (107,297)

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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 131 (219,002)

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

9.

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 399 (73,064)

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dynamic capital structure, investment, credit risk, agency costs

10.

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 271 (112,490)

Abstract:

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CDS, leverage, credit risk, default

11.

The Agency Credit Spread

Number of pages: 72 Posted: 01 Jan 2014 Last Revised: 16 Feb 2018
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 266 (114,717)
Citation 3

Abstract:

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

12.

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 265 (115,151)
Citation 5

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

13.

Growth Options and Credit Risk

Management Science (Forthcoming), WBS Finance Group Research Paper
Number of pages: 54 Posted: 11 Jul 2016 Last Revised: 29 Apr 2019
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 156 (189,315)

Abstract:

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growth options, capital structure, credit risk

14.

Can a Platform-Pays Mechanism Reduce Credit Ratings Bias?

Number of pages: 37 Posted: 01 Sep 2014 Last Revised: 16 Mar 2019
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 Michigan, Stephen M. Ross School of Business
Downloads 132 (217,036)
Citation 1

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

15.

Marginal Fuel Switching and Price Volatility in PJM

Number of pages: 36 Posted: 10 Feb 2019
Alessio Saretto, Anastasia Shcherbakova and Jeremy Lin
University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics, Texas A&M University - Department of Agricultural Economics and Transmission Analytics
Downloads 16 (546,202)

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Price Volatility, Natural Gas, Coal, Emergency Outages

Other Papers (1)

Total Downloads: 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:

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Capital structure, Unions, Strikes