José Pablo Dapena

University of CEMA

1054 Buenos Aires

Argentina

SCHOLARLY PAPERS

12

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1,170

SSRN CITATIONS
Rank 49,263

SSRN RANKINGS

Top 49,263

in Total Papers Citations

7

CROSSREF CITATIONS

3

Scholarly Papers (12)

1.

Index Options Realized Returns Distributions from Passive Investment Strategies

Serie Documentos de Trabajo, No. 580
Number of pages: 37 Posted: 19 Feb 2016
José Pablo Dapena and Julián Ricardo Siri
University of CEMA and University of CEMA
Downloads 323 (96,840)
Citation 4

Abstract:

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Ex post returns, distribution, realized returns, option pricing

2.

Measuring and Trading Volatility on the US Stock Market: A Regime Switching Approach

Serie Documentos de Trabajo - Documento Nro. 659
Number of pages: 27 Posted: 23 Oct 2018 Last Revised: 12 Dec 2018
José Pablo Dapena, Juan A. Serur and Julián Ricardo Siri
University of CEMA, University of CEMA and University of CEMA
Downloads 188 (167,166)
Citation 1

Abstract:

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Realized Volatility, Expected Volatility, Volatility Premium, Regime Switching, Excess Returns, Hidden Markov Model, VIX

3.

Testing Momentum Effect for the US Market: From Equity to Option Strategies

Serie Documentos de Trabajo, Nro. 621
Number of pages: 45 Posted: 13 Oct 2017
Julián Ricardo Siri, Juan A. Serur and José Pablo Dapena
University of CEMA, University of CEMA and University of CEMA
Downloads 176 (177,408)

Abstract:

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Momentum, four-factor model, asset pricing, option pricing, implied volatility, index options.

4.

Risk On-Risk Off: A Regime Switching Model for Active Portfolio Management

Serie Documentos de Trabajo - Nro. 706, 2019
Number of pages: 13 Posted: 16 Jan 2020
José Pablo Dapena, Juan A. Serur and Julián Ricardo Siri
University of CEMA, University of CEMA and University of CEMA
Downloads 116 (248,445)

Abstract:

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regime switching, active investment, two fund separation, excess returns, hidden markov model, VIX

5.

Volatility of GDP, Macro Applications and Policy Implications of Real Options for Structure of Capital Markets

Documento de Trabajo 320
Number of pages: 58 Posted: 28 Jun 2007
José Pablo Dapena
University of CEMA
Downloads 103 (270,003)
Citation 1

Abstract:

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volatility, contingent claims, real options, aggregate investment, saving, capital markets

6.

Testing Excess Returns from Passive Options Investment Strategies

Serie Documentos de Trabajo Nro. 605
Number of pages: 13 Posted: 18 Jul 2017
José Pablo Dapena and Julián Ricardo Siri
University of CEMA and University of CEMA
Downloads 79 (319,315)
Citation 3

Abstract:

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four factor model, asset pricing, realized returns, option pricing

7.

On the Property of Real Options and the Assets that Give Rise to Them

Universidad del CEMA Working Paper No. 210
Number of pages: 18 Posted: 20 Oct 2007
José Pablo Dapena
University of CEMA
Downloads 73 (334,203)

Abstract:

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real options, property rights, intangible assets, indirect property

8.

Investment and Abandonment Decisions in the Presence of Imperfect Aggregation of Information

Universidad del CEMA Documento de Trabajo Nro. 362
Number of pages: 21 Posted: 16 Feb 2008
José Pablo Dapena
University of CEMA
Downloads 53 (392,977)

Abstract:

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real options, capital markets, investment, aggregation, information

9.

Unraveling the Value Premium: A Reward for Risk or Mispricing?

Serie Documentos de Trabajo, Nro. 704, 2019
Number of pages: 29 Posted: 23 Dec 2019
affiliation not provided to SSRN, University of CEMA, University of CEMA and University of CEMA
Downloads 32 (475,739)

Abstract:

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Factor Investing, Factor Models, Quality Factor, Excess Returns, Value Investing

10.

A Short Note on Expected Risk Adjusted Return Elasticity and Consumer Theory

Serie Documentos de Trabajo - Nro. 558
Number of pages: 21 Posted: 23 Dec 2014
José Pablo Dapena
University of CEMA
Downloads 19 (548,197)
Citation 1

Abstract:

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Asset valuation, rate of return, competitive markets, price elasticity, consumer theory

11.

A Model Free Approach to the Pricing of Downside Risk in Argentinean Stocks

Serie Documentos de Trabajo, Nro. 703, 2019
Number of pages: 16 Posted: 23 Dec 2019
José Pablo Dapena, Juan A. Serur and Julián Ricardo Siri
University of CEMA, University of CEMA and University of CEMA
Downloads 8 (618,833)

Abstract:

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Asset Pricing, Options-pricing, Insurance, Capital Markets

12.

On the Valuation of Companies with Growth Opportunities

Journal of Applied Economics, Vol. 6, No. 1, pp. 49-72, May 2003
Posted: 20 Jun 2004
José Pablo Dapena
University of CEMA

Abstract:

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Real options, valuation, contingent claims valuation