Hitesh Doshi

University of Houston - C.T. Bauer College of Business

Houston, TX 77204-6021

United States

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 13,812

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Top 13,812

in Total Papers Downloads

5,185

SSRN CITATIONS
Rank 7,768

SSRN RANKINGS

Top 7,768

in Total Papers Citations

85

CROSSREF CITATIONS

82

Scholarly Papers (17)

1.

Managerial Activeness and Mutual Fund Performance

Review of Asset Pricing Studies, Forthcoming
Number of pages: 44 Posted: 20 Apr 2014 Last Revised: 09 May 2015
Hitesh Doshi, Redouane Elkamhi and Mikhail Simutin
University of Houston - C.T. Bauer College of Business, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 1,298 (22,376)
Citation 17

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Mutual fund performance, Portfolio management, closet indexing

2.
Downloads 877 ( 39,279)
Citation 58

Precarious Politics and Return Volatility

Number of pages: 49 Posted: 18 Dec 2008 Last Revised: 28 Jul 2011
University of Edinburgh, University of Houston - C.T. Bauer College of Business, University of Iowa - Henry B. Tippie College of Business and Massey University
Downloads 745 (48,243)
Citation 9

Abstract:

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Politics, Volatility

Precarious Politics and Return Volatility

Review of Financial Studies, Forthcoming
Number of pages: 49 Posted: 27 Jul 2011
University of Edinburgh, University of Iowa - Henry B. Tippie College of Business, University of Houston - C.T. Bauer College of Business and Massey University
Downloads 132 (303,823)
Citation 16

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3.

Leverage and the Cross-Section of Equity Returns

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 10 Sep 2014 Last Revised: 16 Sep 2018
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business, University of Houston - Department of Finance and University of Houston - Department of Finance
Downloads 678 (55,409)
Citation 6

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Leverage; unlevered equity returns; asset beta; value premium; size discount; volatility puzzle; heteroskedasticity

4.

Synthetic Options and Implied Volatility for the Corporate Bond Market

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 51 Posted: 01 Nov 2021 Last Revised: 02 Dec 2021
Texas A&M International University, University of Houston - C.T. Bauer College of Business and University of Wisconsin - Madison
Downloads 359 (119,460)

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synthetic options, corporate bond index, option-implied moments, credit risk models

5.

On Pricing Credit Default Swaps with Observable Covariates

Number of pages: 49 Posted: 02 Jul 2011 Last Revised: 16 Mar 2012
University of Houston - C.T. Bauer College of Business, McGill University, University of Houston - C.T. Bauer College of Business and University of Houston - C.T. Bauer College of Business
Downloads 316 (136,896)
Citation 17

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credit default swap, no-arbitrage, observable covariates, volatility, leverage, distance-to-default

6.

Uncertainty, Capital Investment, and Risk Management

Forthcoming, Management Science
Number of pages: 43 Posted: 25 Aug 2013 Last Revised: 03 Apr 2017
Hitesh Doshi, Praveen Kumar and Vijay Yerramilli
University of Houston - C.T. Bauer College of Business, University of Houston - Department of Finance and University of Houston, C. T. Bauer College of Business
Downloads 288 (150,868)
Citation 3

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Uncertainty; capital investment; hedging; real options; financial frictions

7.

Macroeconomic Determinants of the Term Structure: Long-Run and Short-Run Dynamics

Journal of Empirical Finance, Vol. 48, 2018
Number of pages: 50 Posted: 07 Feb 2015 Last Revised: 07 Jul 2020
Hitesh Doshi, Kris Jacobs and Rui Liu
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business and Duquesne University - Palumbo Donahue School of Business
Downloads 227 (190,636)

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term structure; inflation; real activity growth; long-run component; filtering

8.

Never a Dull Moment: Entropy Risk in Commodity Markets

Number of pages: 59 Posted: 14 Dec 2018 Last Revised: 06 Mar 2020
University of Massachusetts Amherst - Isenberg School of Management, University of Houston - C.T. Bauer College of Business and Baylor University - Hankamer School of Business
Downloads 215 (200,709)

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commodity returns; entropy; options; risk premium

9.

Economic and Financial Determinants of Credit Risk Premiums in the Sovereign CDS Market

Number of pages: 43 Posted: 14 Mar 2014 Last Revised: 30 Oct 2014
Hitesh Doshi, Kris Jacobs and Carlos Zurita
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business and University of Houston - Bauer College of Business
Downloads 201 (213,598)
Citation 6

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credit default swap; sovereign risk; risk premiums; economic determinants; financial crisis

10.

Pricing Structured Products with Economic Covariates

Number of pages: 52 Posted: 20 Dec 2015 Last Revised: 21 Feb 2019
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business and University of Houston - C.T. Bauer College of Business
Downloads 194 (220,436)
Citation 1

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structured product, collateralized debt obligation, tranche pricing, economic determinants, risk premiums

11.

Information in the Term Structure: A Forecasting Perspective

Number of pages: 54 Posted: 23 May 2015 Last Revised: 07 Jul 2020
Hitesh Doshi, Kris Jacobs and Rui Liu
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business and Duquesne University - Palumbo Donahue School of Business
Downloads 139 (290,820)
Citation 1

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term structure; forecasting; loss function; state variables; hidden factor

12.

Asset Variance Risk and Compound Option Prices

Number of pages: 54 Posted: 14 Jul 2021
University of Houston - C.T. Bauer College of Business, McGill University, HEC Montreal and University of Wisconsin - Madison
Downloads 111 (342,884)

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13.

What Interbank Rates Tell Us About Time-Varying Disaster Risk

Number of pages: 56 Posted: 23 Oct 2019 Last Revised: 24 Feb 2022
Hitesh Doshi, Hyung Joo Kim and Sang Byung Seo
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business and University of Wisconsin - Madison
Downloads 107 (351,557)

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economic disasters, time-varying disaster risk, interbank rates, interbank rate options, maximum likelihood estimation, extended Kalman filter

14.

The Term Structure of Expected Recovery Rates

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 62 Posted: 14 Aug 2018
University of Houston - C.T. Bauer College of Business, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 76 (433,847)
Citation 2

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Credit Default Swaps (CDS); Stochastic Recovery; Term Structure Seniority; No-Arbitrage

15.

Corporate Hedging, Investment, and Higher Moments of Stock Returns

Number of pages: 48 Posted: 06 Dec 2021
Hitesh Doshi, Praveen Kumar and Virgilio Zurita
University of Houston - C.T. Bauer College of Business, University of Houston - Department of Finance and Baylor University - Hankamer School of Business
Downloads 57 (502,103)

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Hedging; Investment, Option Prices, Risk Management, Skewness

16.

Modeling Volatility in Dynamic Term Structure Models

Number of pages: 54 Posted: 12 Feb 2021
Hitesh Doshi, Kris Jacobs and Rui Liu
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business and Duquesne University - Palumbo Donahue School of Business
Downloads 41 (575,963)

Abstract:

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term structure; stochastic volatility; GARCH.

17.

Accounting Transparency and the Implied Volatility Skew

Number of pages: 60
Stephen Szaura, Hitesh Doshi, Jan Ericsson and Fan Yu
BI Norwegian School of Business, University of Houston - C.T. Bauer College of Business, McGill University and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 1

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Implied Volatility Skew, Accounting Transparency, Credit Risk