Hitesh Doshi

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

Houston, TX 77204-6021

United States

SCHOLARLY PAPERS

18

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in Total Papers Downloads

6,435

SSRN CITATIONS
Rank 5,326

SSRN RANKINGS

Top 5,326

in Total Papers Citations

241

CROSSREF CITATIONS

83

Scholarly Papers (18)

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 1,535 (22,127)
Citation 17

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Mutual fund performance, Portfolio management, closet indexing

2.
Downloads 942 (44,855)
Citation 94

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 792 (56,048)
Citation 9

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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 150 (346,832)
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 785 (57,582)
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 429 (122,598)
Citation 3

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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 357 (150,805)
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 328 (165,312)
Citation 3

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

7.

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 294 (185,571)

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commodity returns; entropy; options; risk premium

8.

The Risk and Return of Equity and Credit Index Options

Number of pages: 51 Posted: 14 Jul 2021 Last Revised: 22 Jan 2024
University of Houston - C.T. Bauer College of Business, McGill University, UNSW Business School and University of Wisconsin - Madison
Downloads 273 (201,723)
Citation 2

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9.

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 265 (206,245)

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

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 251 (217,689)
Citation 1

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

11.

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 247 (221,180)
Citation 6

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

Options on Interbank Rates and Implied Disaster Risk

Number of pages: 48 Posted: 23 Oct 2019 Last Revised: 17 Apr 2023
Hitesh Doshi, Hyung Joo Kim and Sang Byung Seo
University of Houston - C.T. Bauer College of Business, Board of Governors of the Federal Reserve System and University of Wisconsin - Madison
Downloads 159 (330,364)

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

Options on Interbank Rates and Implied Disaster Risk

FEDS Working Paper No. 2023-54
Number of pages: 49 Posted: 11 Sep 2023
Hitesh Doshi, Hyung Joo Kim and Sang Byung Seo
University of Houston - C.T. Bauer College of Business, Board of Governors of the Federal Reserve System and University of Wisconsin - Madison
Downloads 35 (809,574)

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Economic disasters, Extended Kalman filter, Interbank rate options, Interbank rates, Maximum likelihood estimation, Time-varying disaster risk

13.

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 174 (305,637)
Citation 1

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

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 105 (454,346)
Citation 4

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

15.

Accounting Transparency and the Implied Volatility Skew

Number of pages: 60 Posted: 28 Sep 2022
Hitesh Doshi, Jan Ericsson, Stephen Szaura and Fan Yu
University of Houston - C.T. Bauer College of Business, McGill University, BI Norwegian School of Business and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 95 (486,655)

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Implied Volatility Skew, Accounting Transparency, Credit Risk

16.

Corporate Hedging, Investment, and Higher Moments of Stock Returns

Number of pages: 50 Posted: 06 Dec 2021 Last Revised: 31 Aug 2023
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 85 (521,788)

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Hedging; Investment, Option Prices, Risk Management, Skewness

17.

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 76 (557,235)

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term structure; stochastic volatility; GARCH.

18.

Federal Reserve Speeches and Sovereign Credit Risk

IIM Bangalore Research Paper No. 697
Number of pages: 47
Indian Institute of Management Bangalore, University of Houston - C.T. Bauer College of Business, Indian Institute of Management, Calcutta (IIMC) and IIM Lucknow
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Federal Reserve Speeches; Speech Tone; Sovereign Credit Risk; Credit Default Swaps