Alexander David

Haskayne School of Business, University of Calgary

Assistant Professor of Finance

2500 University Drive NW

Calgary, Alberta T2N1N4

Canada

SCHOLARLY PAPERS

16

DOWNLOADS
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SSRN RANKINGS

Top 10,255

in Total Papers Downloads

6,802

SSRN CITATIONS
Rank 4,850

SSRN RANKINGS

Top 4,850

in Total Papers Citations

117

CROSSREF CITATIONS

159

Scholarly Papers (16)

1.

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

Number of pages: 64 Posted: 17 Feb 2000
Alexander David and Pietro Veronesi
Haskayne School of Business, University of Calgary and University of Chicago - Booth School of Business
Downloads 1,403 (20,004)
Citation 37

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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
Haskayne School of Business, University of Calgary
Downloads 975 (33,531)

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
Haskayne School of Business, University of Calgary

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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
Haskayne School of Business, University of Calgary
Downloads 900 (38,051)
Citation 45

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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
Haskayne School of Business, University of Calgary and University of Chicago - Booth School of Business
Downloads 851 (40,595)
Citation 1

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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
Haskayne School of Business, University of Calgary and University of Chicago - Booth School of Business
Downloads 32 (644,828)
Citation 30

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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
Haskayne School of Business, University of Calgary and University of Chicago - Booth School of Business
Downloads 846 (41,455)
Citation 28

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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
Haskayne School of Business, University of Calgary and University of Calgary - Haskayne School of Business
Downloads 638 (60,127)
Citation 10

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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
Haskayne School of Business, University of Calgary and University of Chicago - Booth School of Business
Downloads 527 (75,743)
Citation 6

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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 Last Revised: 23 Apr 2022
Alexander David and Pietro Veronesi
Haskayne School of Business, University of Calgary and University of Chicago - Booth School of Business
Downloads 21 (730,552)
Citation 4

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8.

Pricing the Strategic Value of Poison Put Bonds

Number of pages: 50 Posted: 01 May 1998
Alexander David
Haskayne School of Business, University of Calgary
Downloads 211 (204,976)

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
Haskayne School of Business, University of Calgary
Downloads 162 (258,087)
Citation 4

Abstract:

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

10.

A Survey of Alternative Measures of Macroeconomic Uncertainty: Which Measures Forecast Real Variables and Explain Fluctuations in Asset Volatilities Better?

Annual Review of Financial Economics, Volume 14, Forthcoming
Number of pages: 35 Posted: 04 Apr 2022
Alexander David and Pietro Veronesi
Haskayne School of Business, University of Calgary and University of Chicago - Booth School of Business
Downloads 91 (391,442)

Abstract:

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uncertainty; stock-market volatility; bond market volatility; real options; investment; hiring credit growth; forecasting

11.

When is the Price of Dispersion Risk Positive?

Number of pages: 49 Posted: 05 Nov 2020
Alexander David and Amel Farhat
Haskayne School of Business, University of Calgary and Université de Sherbrooke
Downloads 78 (429,015)

Abstract:

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heterogeneous beliefs, general equilibrium, N-asset production economy, price of risk, flight-to-safety, ICAPM, 2-Stage Regressions

12.

What Do CDO Tranche Spreads Tell Us About Credit Availability and Credit Rating Standards?

Number of pages: 62 Posted: 10 Sep 2021 Last Revised: 22 Sep 2021
Alexander David and Maksim Isakin
Haskayne School of Business, University of Calgary and Cleveland State University
Downloads 67 (465,534)

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Bayesian Persuasion, Credit Rating Agency, Credit Rating Standards, CDO Tranche Spreads

13.

Pricing the Strategic Value of Putable Securities in Liquidity Crises

Posted: 13 Jan 2001
Alexander David
Haskayne School of Business, University of Calgary

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

14.

Fluctuating Confidence and Stock-Market Returns

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

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15.

Fluctuating Confidence in Stock Markets: Implications for Returns and Volatility

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

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Controlling Information Premia by Repackaging Asset-Backed Securities

Posted: 06 May 1998
Alexander David
Haskayne School of Business, University of Calgary

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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
Haskayne School of Business, University of Calgary

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