José P Dapena

University of CEMA

1054 Buenos Aires

Argentina

  • University of CEMA

SCHOLARLY PAPERS

14

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3,361

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7

CROSSREF CITATIONS

3

Scholarly Papers (14)

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1.

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 P Dapena, Juan A. Serur and Julián Ricardo Siri
University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 801 (48,186)

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

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: 22 Sep 2022
José P Dapena, Juan A. Serur and Julián Ricardo Siri
University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 697 (58,080)
Citation 1

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

3.

Index Options Realized Returns Distributions from Passive Investment Strategies

Serie Documentos de Trabajo, No. 580
Number of pages: 37 Posted: 19 Feb 2016
José P Dapena and Julián Ricardo Siri
University of CEMA and University of CEMA
Downloads 401 (114,549)
Citation 4

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Ex post returns, distribution, realized returns, option pricing

4.

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 P Dapena
University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 284 (166,489)

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

5.

Common Myths on Yield to Maturity in Bonds or IRR in Corporate Finance

Serie Documentos de Trabajo, Nro. 764
Number of pages: 13 Posted: 22 Mar 2021
José P Dapena and Ricardo Schefer
University of CEMA and Universidad del CEMA
Downloads 244 (193,736)

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Yield to maturity, Project evaluation, Internal rate of return, Cash flows

6.

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 P Dapena, Juan A. Serur and Julián Ricardo Siri
University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 206 (227,489)

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Asset Pricing, Options-pricing, Insurance, Capital Markets

7.

Decomposing the VIX Index into Greed and Fear

Serie Documentos de Trabajo - Nro. 780 (2021)
Number of pages: 14 Posted: 07 Apr 2021
Juan A. Serur, José P Dapena and Julián Ricardo Siri
NYU - Courant Institute of Mathematical Sciences, University of CEMA and University of CEMA
Downloads 200 (233,565)
Citation 1

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VIX, Volatility, Greed-Fear index, Variance Swap

8.

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 P Dapena
University of CEMA
Downloads 123 (348,633)
Citation 1

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

9.

Testing Excess Returns from Passive Options Investment Strategies

Serie Documentos de Trabajo Nro. 605
Number of pages: 13 Posted: 18 Jul 2017
José P Dapena and Julián Ricardo Siri
University of CEMA and University of CEMA
Downloads 117 (361,398)
Citation 3

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

10.

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
Claudio E. Serur, Julián Ricardo Siri, Juan A. Serur and José P Dapena
affiliation not provided to SSRN, University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 113 (370,346)

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

11.

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 P Dapena
University of CEMA
Downloads 82 (456,309)
Citation 1

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real options, property rights, intangible assets, indirect property

12.

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 P Dapena
University of CEMA
Downloads 63 (526,871)

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real options, capital markets, investment, aggregation, information

13.

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 P Dapena
University of CEMA
Downloads 30 (703,268)
Citation 1

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

14.

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 P Dapena
University of CEMA

Abstract:

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Real options, valuation, contingent claims valuation