Alejandro Bernales

Universidad de Chile

Associate Professor

Diagonal Paraguay 257

Santiago

Chile

http://www.alejandrobernales.com

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 20,142

SSRN RANKINGS

Top 20,142

in Total Papers Downloads

4,746

SSRN CITATIONS
Rank 19,519

SSRN RANKINGS

Top 19,519

in Total Papers Citations

42

CROSSREF CITATIONS

26

Scholarly Papers (25)

1.

Algorithmic and High Frequency Trading in Dynamic Limit Order Markets

Number of pages: 54 Posted: 11 Nov 2013 Last Revised: 13 Mar 2019
Alejandro Bernales
Universidad de Chile
Downloads 738 (65,223)
Citation 10

Abstract:

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Informational advantage; trading speed advantage; limit order market; market quality; welfare.

2.

Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests

Number of pages: 40 Posted: 07 Nov 2013
Alejandro Bernales and Massimo Guidolin
Universidad de Chile and Bocconi University, Dept. of Finance
Downloads 587 (87,190)
Citation 11

Abstract:

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Equity options, Index options, Implied volatility surface, Predictability, Trading strategies

Effects of Information Overload on Financial Markets: How Much Is Too Much?

Number of pages: 45 Posted: 23 Aug 2021 Last Revised: 04 Jun 2023
Alejandro Bernales, Marcela Valenzuela and Ilknur Zer
Universidad de Chile, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 426 (127,304)
Citation 5

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Sentiment, dispersion, limited attention, predicting returns

Effects of Information Overload on Financial Markets: How Much is Too Much?

International Finance Discussion Paper No. 1372
Number of pages: 41 Posted: 05 May 2023
Alejandro Bernales, Marcela Valenzuela and Ilknur Zer
Universidad de Chile, Pontificia Universidad Catolica de Chile and Board of Governors of the Federal Reserve System
Downloads 58 (679,909)

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Limited attention, Dispersion, Sentiment, Predicting returns, Behavioral biases

4.

What Do We Know About Individual Equity Options?

Number of pages: 54 Posted: 27 Feb 2019 Last Revised: 11 Aug 2019
Universidad de Chile, Vlerick Business School, University of Kent and University of Sheffield
Downloads 453 (119,652)
Citation 1

Abstract:

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equity options, empirical studies, literature survey

5.

Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk

SAFE Working Paper No. 234
Number of pages: 88 Posted: 05 Nov 2018 Last Revised: 04 Aug 2022
Universidad de Chile, University of Chile, Nasdaq, Inc., Pontificia Universidad Católica de Chile and University of Vienna - Department of Finance
Downloads 262 (216,939)
Citation 8

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Fragmentation, Competition, Liquidity, Price Efficiency, Picking-Off Risk

6.

Implied Correlation and Market Returns

Number of pages: 45 Posted: 29 Feb 2016
Alejandro Bernales and Marcela Valenzuela
Universidad de Chile and Pontificia Universidad Católica de Chile
Downloads 252 (225,506)
Citation 3

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7.

Make-Take Decisions under High-Frequency Trading Competition

Number of pages: 60 Posted: 27 Feb 2019 Last Revised: 29 Apr 2019
Alejandro Bernales
Universidad de Chile
Downloads 236 (240,484)
Citation 1

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make-take decisions, high-frequency trading competition, limit order market, market quality, welfare

8.

Learning How to Smile: Can Rational Learning Explain the Predictable Dynamics in the Implied Volatility Surface?

Number of pages: 57 Posted: 07 Nov 2013
Alejandro Bernales and Massimo Guidolin
Universidad de Chile and Bocconi University, Dept. of Finance
Downloads 228 (248,539)
Citation 1

Abstract:

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option pricing, rational learning, Bayesian updating, implied volatility, predictability.

9.

Speculative Bubbles under Supply Constraints, Background Risk and Investment Fraud in the Art Market

Number of pages: 57 Posted: 27 Feb 2019 Last Revised: 18 Sep 2020
Alejandro Bernales, Lorenzo Reus and Víctor Valdenegro
Universidad de Chile, Universidad Adolfo Ibanez and University of Chile
Downloads 197 (284,580)
Citation 3

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Art Markets, Speculative Bubbles, Investment Fraud, Background Risk, Asset Supply Constraints

10.
Downloads 183 (303,911)

Learning and Index Option Returns

Number of pages: 53 Posted: 09 Aug 2018
Universidad de Chile, Pontificia Universidad Catolica de Chile, Pontificia Universidad Católica de Chile and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 183 (303,464)
Citation 1

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Put Option Returns, Equilibrium Model, Partial Information, Learning, Structural Breaks

Learning and Index Option Returns

Journal of Business and Economic Statistics, Forthcoming
Posted: 12 Nov 2018
Universidad de Chile, Pontificia Universidad Catolica de Chile, Pontificia Universidad Católica de Chile and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

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Put Option Returns, Equilibrium Model, Partial Information, Learning, Structural Breaks

11.

The Effect of Environmental Policies on Risk Reductions in Energy Generation

Number of pages: 71 Posted: 27 Feb 2019 Last Revised: 15 Oct 2020
Universidad de Chile, University of Chile, University of Chile, Imperial College London and Central Bank of Chile
Downloads 170 (324,355)

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Environmental Policy; Risk Reduction; Energy Generation; Optimal Expansion Planning; Renewable Generation.

12.

The Success of Option Listings

Number of pages: 59 Posted: 07 Nov 2013 Last Revised: 20 Feb 2019
Alejandro Bernales
Universidad de Chile
Downloads 163 (336,238)
Citation 15

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stock options, option listings, asymmetric information, adoption rates, option volume, open interest

13.

Thinly Traded Securities and Risk Management

Number of pages: 50 Posted: 07 Nov 2013 Last Revised: 10 Nov 2013
Alejandro Bernales, Diether W. Beuermann and Gonzalo Cortazar
Universidad de Chile, University of Maryland - College Park and Pontificia Universidad Catolica de Chile
Downloads 118 (434,067)

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Incomplete Panels, Kalman Filter, Market Risk, Risk Management, Thin Trading, Value-at-Risk

14.

Decomposing Informed Trading in Equity Options

Number of pages: 70 Posted: 30 Mar 2024 Last Revised: 08 May 2024
Universidad de Chile, Universidad de Chile, Universidad de Chile, City University of New York (CUNY) - Paul H. Chook Department of Information Systems & Statistics and Vlerick Business School
Downloads 107 (469,670)

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Asymmetric information, volatility information, underlying stock value information, equity option markets, option order flow.

15.

Learning and Forecasts about Option Returns through the Volatility Risk Premium

Number of pages: 37 Posted: 27 Feb 2019
Alejandro Bernales, Louisa Chen and Marcela Valenzuela
Universidad de Chile, University of Sussex and Pontificia Universidad Católica de Chile
Downloads 97 (499,125)
Citation 1

Abstract:

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Option Returns, Volatility Risk Premium, Bayesian Learning, Predictability, Dynamic Equilibrium Model

16.

Do Investors Follow the Herd in Option Markets?

Number of pages: 44 Posted: 27 Feb 2019
Alejandro Bernales, Thanos Verousis and Nikolaos Voukelatos
Universidad de Chile, Vlerick Business School and University of Kent
Downloads 94 (509,405)
Citation 7

Abstract:

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Herding, Cross-Sectional Dispersion, Options

17.

Aggregate Risk and Lending Decisions in the Interbank Market

Number of pages: 38 Posted: 27 Feb 2019 Last Revised: 19 Mar 2024
Bank of Mexico, Universidad de Chile, Banco de México and University of Chile
Downloads 93 (512,945)

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Aggregate risk, interbank market, lending decisions, collateralized lending, uncollateralized lending.

18.

Blue-Collar Crime and Finance

Number of pages: 82 Posted: 02 Mar 2018 Last Revised: 11 Jan 2023
Universidad de Chile, University of Maryland - College Park, Florida Atlantic University and University of Chile
Downloads 80 (562,497)

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Blue-Collar Crime, External Financing, Credit Risk, Information Leakages, CEO's Work Experience.

19.

Bid-Ask Spread and Liquidity Searching Behaviour of Informed Investors in Option Markets

Number of pages: 16 Posted: 27 Feb 2019
Alejandro Bernales, Carlos Cañón and Thanos Verousis
Universidad de Chile, Banco de México and Vlerick Business School
Downloads 75 (583,794)
Citation 1

Abstract:

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stock options, option listings, informed trading

20.

CVaR Constrained Planning of Renewable Generation with Consideration of System Inertial Response, Reserve Services and Demand Participation

Number of pages: 54 Posted: 27 Feb 2019
Andrés Inzunza, Rodrigo Moreno, Alejandro Bernales and Hugh Rudnick
University of Chile, Imperial College London, Universidad de Chile and Pontificia Universidad Católica de Chile - School of Engineering
Downloads 55 (683,755)
Citation 1

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Mean-Risk Electricity Generation Investment, Generation Technologies Portfolios, Frequency Response and Reserves, Power System Economics, Power System Security

21.

International Spillover Effects of Economic Policy Uncertainty

Number of pages: 37 Posted: 18 Apr 2024
Universidad de Chile, Florida Atlantic University - College of Business, Universidad de Chile and Independent
Downloads 29 (868,912)

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Firms’ Investments, Economic Policy Uncertainty, Multinational Enterprises, Spillover Effects, Irreversible Sectors

22.

Welfare and Gains from Trade in Dark Pools

Number of pages: 67 Posted: 25 Apr 2024
Universidad de Chile, University of Leicester - School of Business, University of Leicester - School of Business and Pontificia Universidad Catolica de Chile
Downloads 15 (1,004,734)

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Dark pool, limit order market, welfare, liquidity takers and liquidity providers.

23.

Collateralized-Uncollateralized Funding Decision in Money Markets

Number of pages: 84 Posted: 15 Apr 2024
Bank of Mexico, Universidad de Chile, Bank of England and University of Chile
Downloads 12 (1,035,049)

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Money markets, collateralized funding, uncollateralized funding, systemic risk.

24.

International Transmission of Monetary Policy through Local Money Market Activity by Global Bank Subsidiaries

Number of pages: 60 Posted: 29 Mar 2024 Last Revised: 15 May 2024
Bank of Mexico, Universidad de Chile and Bank of England
Downloads 10 (1,054,348)

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Global banking, subsidiaries, foreign monetary policy, money markets, cross-border flows

25.

Informational Economic Transmission between Countries

Number of pages: 53 Posted: 22 Apr 2024 Last Revised: 26 Apr 2024
Alejandro Bernales, Hriday Karnani and Paula Margaretic
Universidad de Chile, Universidad de Chile and Universidad de Chile
Downloads 8 (1,081,438)

Abstract:

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Informational interdependence, spillovers, learning bias, common factors.