Hitesh Doshi

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

Houston, TX 77204-6021

United States

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

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 13,171

SSRN RANKINGS

Top 13,171

in Total Papers Downloads

7,724

TOTAL CITATIONS
Rank 4,949

SSRN RANKINGS

Top 4,949

in Total Papers Citations

87

Scholarly Papers (19)

Actions:
Email selected abstracts
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 1,706 (22,105)
Citation 17

Abstract:

Loading...

Mutual fund performance, Portfolio management, closet indexing

2.

Precarious Politics and Return Volatility

Downloads 1,023 (46,920)
Citation 25

Precarious Politics and Return Volatility

Number of pages: 49 Posted: 18 Dec 2008 Last Revised: 28 Jul 2011
Maria Boutchkova, Hitesh Doshi, Art Durnev and Alexander Molchanov
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 856 (59,051)
Citation 9

Abstract:

Loading...

Politics, Volatility

Precarious Politics and Return Volatility

Review of Financial Studies, Forthcoming
Number of pages: 49 Posted: 27 Jul 2011
Maria Boutchkova, Art Durnev, Hitesh Doshi and Alexander Molchanov
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 167 (373,008)
Citation 16

Abstract:

Loading...

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
Hitesh Doshi, Kris Jacobs, Praveen Kumar and Ramon Rabinovitch
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 851 (60,466)
Citation 6

Abstract:

Loading...

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, volume 58, issue 3, 2023 [10.1017/S0022109022000096]
Number of pages: 51 Posted: 01 Nov 2021 Last Revised: 19 Jun 2024
Steven Shu-Hsiu Chen, Hitesh Doshi and Sang Byung Seo
Texas A&M International University, University of Houston - C.T. Bauer College of Business and University of Wisconsin - Madison
Downloads 471 (128,344)
Citation 4

Abstract:

Loading...

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

5.

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 414 (149,565)
Citation 3

Abstract:

Loading...

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

6.

On Pricing Credit Default Swaps with Observable Covariates

Number of pages: 49 Posted: 02 Jul 2011 Last Revised: 16 Mar 2012
Hitesh Doshi, Jan Ericsson, Kris Jacobs and Stuart M. Turnbull
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 391 (159,500)
Citation 17

Abstract:

Loading...

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

7.

The Risk and Return of Equity and Credit Index Options

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 59 Posted: 14 Jul 2021 Last Revised: 20 Aug 2024
Hitesh Doshi, Jan Ericsson, Mathieu Fournier and Sang Byung Seo
University of Houston - C.T. Bauer College of Business, McGill University, UNSW Business School and University of Wisconsin - Madison
Downloads 379 (165,182)
Citation 3

Abstract:

Loading...

structural credit risk model, compound options, credit index options, pricing consistency

8.

Never a Dull Moment: Entropy Risk in Commodity Markets

Number of pages: 59 Posted: 14 Dec 2018 Last Revised: 06 Mar 2020
Fousseni Chabi-Yo, Hitesh Doshi and Virgilio Zurita
University of Massachusetts Amherst - Isenberg School of Management, University of Houston - C.T. Bauer College of Business and Southern Illinois University - Southern Illinois University at Carbondale
Downloads 339 (186,731)

Abstract:

Loading...

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 312 (203,996)
Citation 6

Abstract:

Loading...

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

10.

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 303 (210,566)

Abstract:

Loading...

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

11.

Pricing Structured Products with Economic Covariates

Number of pages: 52 Posted: 20 Dec 2015 Last Revised: 21 Feb 2019
Yong Seok Choi, Hitesh Doshi, Kris Jacobs and Stuart M. Turnbull
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 284 (226,142)
Citation 1

Abstract:

Loading...

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

12.

Options on Interbank Rates and Implied Disaster Risk

Downloads 259 (247,473)

Options on Interbank Rates and Implied Disaster Risk

Number of pages: 50 Posted: 23 Oct 2019 Last Revised: 04 Oct 2024
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 198 (319,467)

Abstract:

Loading...

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 61 (752,706)

Abstract:

Loading...

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 223 (286,618)
Citation 1

Abstract:

Loading...

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

14.

Risky Intraday Order Flow and Equity Option Liquidity

Number of pages: 51 Posted: 05 Dec 2024 Last Revised: 21 Jan 2025
Paola Pederzoli, Hitesh Doshi and Saim Ayberk Sert
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 178 (353,285)

Abstract:

Loading...

0DTE options, liquidity providers, risky order flow, Direct costs, Indirect costs

15.

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 162 (383,359)

Abstract:

Loading...

term structure; stochastic volatility; GARCH.

16.

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 129 (461,336)

Abstract:

Loading...

Implied Volatility Skew, Accounting Transparency, Credit Risk

17.

The Term Structure of Expected Recovery Rates

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 62 Posted: 14 Aug 2018
Hitesh Doshi, Redouane Elkamhi and Chayawat Ornthanalai
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 121 (484,916)
Citation 4

Abstract:

Loading...

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

18.

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 Southern Illinois University - Southern Illinois University at Carbondale
Downloads 103 (546,495)

Abstract:

Loading...

Hedging; Investment, Option Prices, Risk Management, Skewness

19.

Federal Reserve Speeches and Sovereign Credit Risk

IIM Bangalore Research Paper No. 697
Number of pages: 68 Posted: 26 Feb 2024
Abhinav Anand, Hitesh Doshi, Ankit Kumar and Jalaj Pathak
Indian Institute of Management (IIM), Kozhikode, University of Houston - C.T. Bauer College of Business, Indian Institute of Management, Calcutta (IIMC) and IIM Lucknow
Downloads 76 (658,448)

Abstract:

Loading...