Alexander Dickerson

UNSW Business School

UNSW Business School

High St

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 10,360

SSRN RANKINGS

Top 10,360

in Total Papers Downloads

8,482

SSRN CITATIONS
Rank 23,627

SSRN RANKINGS

Top 23,627

in Total Papers Citations

44

CROSSREF CITATIONS

7

Ideas:
“  I conduct asset pricing research related to corporate bonds and options.  ”

Scholarly Papers (5)

1.

Priced Risk in Corporate Bonds

Number of pages: 62 Posted: 11 Apr 2023 Last Revised: 15 Jun 2023
Alexander Dickerson, Philippe Mueller and Cesare Robotti
UNSW Business School, Warwick Business School Finance Group and Warwick Business School
Downloads 2,928 (8,229)
Citation 25

Abstract:

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Corporate bond asset pricing, Bond factor model, Sharpe ratio, Efficient frontier, Model misspecification and identification

2.

Trading volume and liquidity provision in cryptocurrency markets

Number of pages: 42 Posted: 13 Sep 2018 Last Revised: 20 Jun 2022
Daniele Bianchi, Alexander Dickerson and Mykola Babiak
School of Economics and Finance, Queen Mary University of London, UNSW Business School and Lancaster University Management School
Downloads 2,390 (11,355)
Citation 34

Abstract:

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Liquidity provision, short-term reversal, trading volume, empirical asset pricing, adverse selection.

3.

The Corporate Bond Factor Zoo

UNSW Business School Research Paper Forthcoming
Number of pages: 79 Posted: 12 Oct 2023 Last Revised: 14 Nov 2023
Alexander Dickerson, Christian Julliard and Philippe Mueller
UNSW Business School, London School of Economics & Political Science (LSE) - Department of Finance and Warwick Business School Finance Group
Downloads 1,511 (23,619)

Abstract:

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Corporate bonds; Factor zoo; Asset pricing; Factor models; Bayesian methods.

4.

Common pitfalls in the evaluation of corporate bond strategies

UNSW Business School Research Paper Forthcoming
Number of pages: 105 Posted: 19 Sep 2023 Last Revised: 08 Apr 2024
Alexander Dickerson, Cesare Robotti and Giulio Rossetti
UNSW Business School, Warwick Business School and University of Warwick, Warwick Business School
Downloads 1,162 (34,302)

Abstract:

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Empirical asset pricing, Corporate bond anomalies, Market microstructure noise, Bidask bias, Sharpe ratio

5.

A Credit Risk Explanation of the Correlation between Corporate Bonds and Stocks

Number of pages: 84 Posted: 06 Jul 2022 Last Revised: 17 Oct 2023
UNSW Business School, UNSW Business School, UNSW Business School and Warwick Business School Finance Group
Downloads 491 (107,285)
Citation 1

Abstract:

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Stock-bond correlation, default risk, interest rate risk, variance risk, structural models