José Pablo Dapena

University of CEMA

1054 Buenos Aires

Argentina

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 45,331

SSRN RANKINGS

Top 45,331

in Total Papers Downloads

900

CITATIONS

3

Scholarly Papers (9)

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 303 (99,031)
Citation 2

Abstract:

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Ex post returns, distribution, realized returns, option pricing

2.

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 157 (187,038)

Abstract:

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

3.

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 135 (211,667)

Abstract:

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

4.

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 100 (263,515)

Abstract:

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

5.

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 (319,874)

Abstract:

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real options, property rights, intangible assets, indirect property

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 63 (346,088)
Citation 1

Abstract:

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

7.

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 (376,208)

Abstract:

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real options, capital markets, investment, aggregation, information

8.

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 16 (542,110)

Abstract:

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

9.

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