Alexander David

University of Calgary - Haskayne School of Business

Associate Professor of Finance

2500 University Drive, NW

Calgary, Alberta T2N 1N4

Canada

SCHOLARLY PAPERS

13

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CITATIONS
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132

Scholarly Papers (13)

1.

Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities

CRSP Working Paper No. 485; FEDS Working Paper No. 1999-47
Number of pages: 64 Posted: 17 Feb 2000
Alexander David and Pietro Veronesi
University of Calgary - Haskayne School of Business and University of Chicago - Booth School of Business
Downloads 1,333 (13,665)
Citation 32

Abstract:

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Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle

Review of Financial Studies, Forthcoming, EFA 2003 Glasgow Meetings Paper
Number of pages: 60 Posted: 07 Mar 2007
Alexander David
University of Calgary - Haskayne School of Business
Downloads 951 (22,354)
Citation 18

Abstract:

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learning, uncertainty, proxy-hypothesis, through-the-business-cycle rating, state-dependent solvency ratios, convexity, stochastic volatility

Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle

The Review of Financial Studies, Vol. 21, Issue 6, pp. 2487-2534, 2008
Posted: 15 Dec 2008
Alexander David
University of Calgary - Haskayne School of Business

Abstract:

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G12, G13, G14, C3, C5

3.

Heterogeneous Beliefs, Speculation, and the Equity Premium

Journal of Finance, January 2008, EFA 2004 Maastricht Meetings Paper No. 3125, AFA 2005 Philadelphia Meetings
Number of pages: 49 Posted: 28 Jun 2004 Last Revised: 26 Nov 2008
Alexander David
University of Calgary - Haskayne School of Business
Downloads 854 (26,610)
Citation 34

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Speculation, Dispersion, Model Disagreement, Effectively Incomplete Markets, Endogenous Risk

What Ties Return Volatilities to Price Valuations and Fundamentals?

Journal of Political Economy, Forthcoming, AFA 2011 Denver Meetings Paper
Number of pages: 66 Posted: 12 Mar 2010 Last Revised: 29 May 2013
Alexander David and Pietro Veronesi
University of Calgary - Haskayne School of Business and University of Chicago - Booth School of Business
Downloads 786 (29,388)
Citation 17

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Volatility, Uncertainty, Valuation, Forecasting

What Ties Return Volatilities to Price Valuations and Fundamentals?

NBER Working Paper No. w15563
Number of pages: 66 Posted: 08 Dec 2009
Alexander David and Pietro Veronesi
University of Calgary - Haskayne School of Business and University of Chicago - Booth School of Business
Downloads 17 (548,266)
Citation 17

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5.

Inflation and Earnings Uncertainty and Volatility Forecasts: A Structural Form Approach

Chicago GSB Research Paper, University of Calgary Haskyane School of Business Working Paper
Number of pages: 55 Posted: 27 Feb 2004 Last Revised: 20 Mar 2009
Alexander David and Pietro Veronesi
University of Calgary - Haskayne School of Business and University of Chicago - Booth School of Business
Downloads 792 (29,538)
Citation 20

Abstract:

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6.

Imperfect Renegotiations in Interbank Financial Networks

Management Science, Forthcoming
Number of pages: 38 Posted: 25 Mar 2008 Last Revised: 26 May 2017
Alexander David and Alfred Lehar
University of Calgary - Haskayne School of Business and University of Calgary - Haskayne School of Business
Downloads 608 (42,196)

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Systemic risk; interbank financial networks; renegotiation breakdowns; derivatives

Investors' and Central Bank's Uncertainty Embedded in Index Options

Review of Financial Studies (Forthcoming)
Number of pages: 73 Posted: 25 Jan 2011 Last Revised: 28 Jan 2014
Alexander David and Pietro Veronesi
University of Calgary - Haskayne School of Business and University of Chicago - Booth School of Business
Downloads 503 (53,227)
Citation 5

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Fear measures, index options, central bank uncertainty, investors' uncertainty, predicting interest rates, nonlinearities, volatility of volatility, volatility premium, monetary policy

Investors' and Central Bank's Uncertainty Embedded in Index Options

NBER Working Paper No. w16764
Number of pages: 70 Posted: 07 Feb 2011
Alexander David and Pietro Veronesi
University of Calgary - Haskayne School of Business and University of Chicago - Booth School of Business
Downloads 15 (561,082)
Citation 5

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8.

Pricing the Strategic Value of Poison Put Bonds

FEDS Paper Number 98-6
Number of pages: 50 Posted: 01 May 1998
Alexander David
University of Calgary - Haskayne School of Business
Downloads 204 (146,302)

Abstract:

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9.

Exploration Activity, Long-Run Decisions, and the Risk Premium in Energy Futures

Review of Financial Studies (Forthcoming)
Number of pages: 48 Posted: 13 Oct 2015 Last Revised: 18 Jun 2018
Alexander David
University of Calgary - Haskayne School of Business
Downloads 112 (240,618)

Abstract:

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Futures basis; risk premium; social learning-by-doing; inventory; investment; exploration;

10.

Pricing the Strategic Value of Putable Securities in Liquidity Crises

Journal of Financial Economics, Vol. 59, No. 1, January 2001
Posted: 13 Jan 2001
Alexander David
University of Calgary - Haskayne School of Business

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Credit risk protection; Poison puts; Liquidity trigger; Bankruptcy costs; Multilateral negotiations

11.

Fluctuating Confidence and Stock-Market Returns

Posted: 20 Dec 1998
Alexander David
University of Calgary - Haskayne School of Business

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12.

Fluctuating Confidence in Stock Markets: Implications for Returns and Volatility

Journal of Financial and Quantitatve Analysis, December 1997
Posted: 18 Apr 1998
Alexander David
University of Calgary - Haskayne School of Business

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Controlling Information Premia by Repackaging Asset-Backed Securities

FEDS Paper Number: 95-38
Posted: 06 May 1998
Alexander David
University of Calgary - Haskayne School of Business

Abstract:

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Controlling Information Premia by Repackaging Asset-Backed Securities

Journal of Risk and Insurance, Vol. 64, No. 4, December 1997
Posted: 07 Apr 1998
Alexander David
University of Calgary - Haskayne School of Business

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