Alessio Saretto : Citation Profile


Are you Alessio Saretto?

Federal Reserve Bank of Dallas

7

H index

5

i10 index

212

Citations

RESEARCH PRODUCTION:

10

Articles

5

Papers

RESEARCH ACTIVITY:

   17 years (2004 - 2021). See details.
   Cites by year: 12
   Journals where Alessio Saretto has often published
   Relations with other researchers
   Recent citing documents: 57.    Total self citations: 3 (1.4 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psa1907
   Updated: 2022-01-15    RAS profile: 2021-06-25    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Goyal, Amit (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Alessio Saretto.

Is cited by:

Sarno, Lucio (11)

Schmeling, Maik (6)

Schrimpf, Andreas (6)

Menkhoff, Lukas (5)

Bernales, Alejandro (4)

Christoffersen, Peter (4)

Guidolin, Massimo (3)

Verousis, Thanos (3)

Colonnello, Stefano (3)

Constantinides, George (3)

Pedersen, Lasse (3)

Cites to:

Rosen, Richard (5)

Gorton, Gary (5)

Whited, Toni (4)

Stulz, René (4)

Stein, Jeremy (4)

Tracy, Joseph (4)

Scholes, Myron (4)

Fama, Eugene (4)

pan, jun (4)

Bartram, Söhnke (4)

Santa-Clara, Pedro (3)

Main data


Where Alessio Saretto has published?


Journals with more than one article published# docs
Review of Financial Studies3
Journal of Financial Economics2
Management Science2

Recent works citing Alessio Saretto (2021 and 2020)


YearTitle of citing document
2021Uncertainty Network Risk and Currency Returns. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738.

Full description at Econpapers || Download paper

2021Portfolio optimisation with options. (2021). Muguruza, Aitor ; Jacquier, Antoine ; Huckle, Thomas ; Chan, Jonathan Raimana. In: Papers. RePEc:arx:papers:2111.12658.

Full description at Econpapers || Download paper

2021Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20154.

Full description at Econpapers || Download paper

2020The pricing of accruals quality in credit default swap spreads. (2020). Lin, Hai ; Alam, Pervaiz ; Pu, Xiaoling ; Hettler, Barry. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:1943-1977.

Full description at Econpapers || Download paper

2020Mispriced index option portfolios. (2020). Perrakis, Stylianos ; Czerwonko, Michal ; Constantinides, George M. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:2:p:297-330.

Full description at Econpapers || Download paper

2020False (and Missed) Discoveries in Financial Economics. (2020). Harvey, Campbell R ; Liu, Yan. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2503-2553.

Full description at Econpapers || Download paper

2021Uncertainty Network Risk and Currency Returns. (2021). Barunik, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp687.

Full description at Econpapers || Download paper

2020Hard markets, hard times: On the inefficiency of the CAT bond market. (2020). Gurtler, Marc ; Gotze, Tobias. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s092911991930937x.

Full description at Econpapers || Download paper

2021The (non-) effect of labor unionization on firm risk: Evidence from the options market. (2021). KOSTAKIS, ALEXANDROS ; Ghaly, Mohamed ; Stathopoulos, Konstantinos. In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920302601.

Full description at Econpapers || Download paper

2021Same firm, two volatilities: How variance risk is priced in credit and equity markets. (2021). Tortorice, Daniel ; Kita, Arben. In: Journal of Corporate Finance. RePEc:eee:corfin:v:69:y:2021:i:c:s0929119921000055.

Full description at Econpapers || Download paper

2021The impact of climate change on the cost of bank loans. (2021). Masum, Abdullah Al ; Javadi, Siamak. In: Journal of Corporate Finance. RePEc:eee:corfin:v:69:y:2021:i:c:s0929119921001401.

Full description at Econpapers || Download paper

2020Liquidity backstops and dynamic debt runs. (2020). Yue, Vivian ; Wei, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300841.

Full description at Econpapers || Download paper

2020Investment risk, CDS insurance, and firm financing. (2020). Matta, Rafael ; Campello, Murillo. In: European Economic Review. RePEc:eee:eecrev:v:125:y:2020:i:c:s0014292120300568.

Full description at Econpapers || Download paper

2021Improved inference for fund alphas using high-dimensional cross-sectional tests. (2021). Yan, Yayi ; Cheng, Tingting. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:57-81.

Full description at Econpapers || Download paper

2021Evaluating corporate credit risks in emerging markets. (2021). Chan, Wing ; Kalimipalli, Madhu ; Dodd, Olga. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302532.

Full description at Econpapers || Download paper

2020Credit default swap and two-sided moral hazard. (2020). Gong, Yaxian. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319301965.

Full description at Econpapers || Download paper

2020Volatility-of-volatility and the cross-section of option returns. (2020). Ruan, Xinfeng. In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s1386418118300818.

Full description at Econpapers || Download paper

2020Credit default swaps and market information. (2020). Osano, Hiroshi. In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s138641811830257x.

Full description at Econpapers || Download paper

2021The impact of lending relationships on the choice and structure of bond underwriting syndicates. (2021). Carbo Valverde, Santiago ; Rodriguez-Fernandez, Francisco ; Cuadros-Solas, Pedro J ; Carbo-Valverde, Santiago . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001207.

Full description at Econpapers || Download paper

2021The effect of option-implied skewness on delta- and vega-hedged option returns. (2021). Zhao, Yanhui ; Wu, Zekun ; Borochin, Paul. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001244.

Full description at Econpapers || Download paper

2020Employment protection laws and corporate cash holdings. (2020). Karpuz, Ahmet ; Ozkan, Neslihan ; Kim, Kirak. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302791.

Full description at Econpapers || Download paper

2020Do investors follow the herd in option markets?. (2020). Voukelatos, Nikolaos ; Verousis, Thanos ; Bernales, Alejandro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426616000406.

Full description at Econpapers || Download paper

2020Hedging crash risk in optimal portfolio selection. (2020). Cui, Xueting ; Pei, XI ; Zhu, Wei. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620301710.

Full description at Econpapers || Download paper

2021Labor unions and corporate social responsibility. (2021). Marciukaityte, Dalia ; Ertugrul, Mine. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000194.

Full description at Econpapers || Download paper

2021To change or not to change? The CDS market response of firms on credit watch. (2021). Schiereck, Dirk ; Norden, Lars ; Kolaric, Sascha ; Kiesel, Florian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s037842662100025x.

Full description at Econpapers || Download paper

2021Data Snooping Bias in Tests of the Relative Performance of Multiple Forecasting Models. (2021). Anghel, Dan Gabriel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s0378426621000716.

Full description at Econpapers || Download paper

2021Positive stock information in out-of-the-money option prices. (2021). Stilger, Przemyslaw S ; Skiadopoulos, George ; Kostakis, Alexandros ; Gkionis, Konstantinos. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:128:y:2021:i:c:s0378426621000704.

Full description at Econpapers || Download paper

2022Information networks in the financial sector and systemic risk. (2022). Rush, Stephen ; Borochin, Paul. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002788.

Full description at Econpapers || Download paper

2022Information asymmetry and the profitability of technical analysis. (2022). Lai, Hung-Neng ; Hung, Chiayu. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002983.

Full description at Econpapers || Download paper

2020The job rating game: Revolving doors and analyst incentives. (2020). Kempf, Elisabeth. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:1:p:41-67.

Full description at Econpapers || Download paper

2020Why do option returns change sign from day to night?. (2020). Ni, Xuechuan ; Muravyev, Dmitriy . In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:219-238.

Full description at Econpapers || Download paper

2020Business cycles and currency returns. (2020). Sarno, Lucio ; Riddiough, Steven J ; Colacito, Riccardo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:3:p:659-678.

Full description at Econpapers || Download paper

2021Asymmetric information risk in FX markets. (2021). Ranaldo, Angelo ; Somogyi, Fabricius. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:391-411.

Full description at Econpapers || Download paper

2021Mispricing, short-sale constraints, and the cross-section of option returns. (2021). Tayal, Jitendra ; Ramachandran, Lakshmi Shankar. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:1:p:297-321.

Full description at Econpapers || Download paper

2021Volatility and the cross-section of returns on FX options. (2021). Marsh, Ian W ; James, Jessica ; Fullwood, Jonathan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:3:p:1262-1284.

Full description at Econpapers || Download paper

2021Long-term discount rates do not vary across firms. (2021). Nyberg, Peter ; Linnainmaa, Juhani T ; Keloharju, Matti. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:3:p:946-967.

Full description at Econpapers || Download paper

2021Global factor premiums. (2021). Swinkels, Laurens ; van Vliet, Pim ; Baltussen, Guido. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:3:p:1128-1154.

Full description at Econpapers || Download paper

2020Risk Sharing within the Firm: A Primer. (2020). Pagano, Marco. In: EIEF Working Papers Series. RePEc:eie:wpaper:2019.

Full description at Econpapers || Download paper

2020Derivatives in Sustainable Finance. (2020). Thomadakis, Apostolos ; Lannoo, Karel. In: ECMI Papers. RePEc:eps:ecmiwp:29791.

Full description at Econpapers || Download paper

2021Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics. (2021). Watugala, Sumudu ; Tran, Brigitte Roth ; Kruttli, Mathias S. In: Working Paper Series. RePEc:fip:fedfwp:93259.

Full description at Econpapers || Download paper

2020Post-crisis Signals in Securitization: Evidence from Auto ABS. (2020). Klee, Elizabeth ; Shin, Chae Hee. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-42.

Full description at Econpapers || Download paper

2021Open Source Cross-Sectional Asset Pricing. (2021). Zimmermann, Tom ; Chen, Andrew. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2021-37.

Full description at Econpapers || Download paper

2021Hedge Accounting and Firms’ Future Investment Spending. (2021). Mazzi, Francesco ; Kress, Andreas ; Hartlieb, Sven ; Eierle, Brigitte. In: Working Papers - Business. RePEc:frz:wpmmos:wp2021_01.rdf.

Full description at Econpapers || Download paper

2020Does internal board monitoring affect debt maturity?. (2020). Senbet, Lemma W ; Tosun, Onur Kemal. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:1:d:10.1007_s11156-018-00787-z.

Full description at Econpapers || Download paper

2020Conditional dependence in post-crisis markets: dispersion and correlation skew trades. (2020). Sokolinskiy, Oleg. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:2:d:10.1007_s11156-019-00847-y.

Full description at Econpapers || Download paper

2021Financial Fraud and Investor Awareness. (2021). Zhao, Xiaojian ; Huang, Yangguang ; Gui, Zhengqing. In: Monash Economics Working Papers. RePEc:mos:moswps:2021-06.

Full description at Econpapers || Download paper

2021A Factor Model For Option Returns. (2021). Buechner, Matthias ; Kelly, Bryan T. In: NBER Working Papers. RePEc:nbr:nberwo:29369.

Full description at Econpapers || Download paper

2020New Methods for the Cross-Section of Returns. (2020). Van Nieuwerburgh, Stijn ; Karolyi, Andrew G. In: Review of Finance. RePEc:oup:revfin:v:33:y:2020:i:5:p:1879-1890..

Full description at Econpapers || Download paper

2020Broken bucks: money funds that took taxpayer guarantees in 2008. (2020). Wilson, Linus. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:5:d:10.1057_s41260-020-00177-y.

Full description at Econpapers || Download paper

2020Risk Sharing within the Firm: A Primer. (2019). Pagano, Marco. In: CSEF Working Papers. RePEc:sef:csefwp:553.

Full description at Econpapers || Download paper

2021Volatility in the stock market: ANN versus parametric models. (2021). Clementi, Daniele ; Decclesia, Rita Laura. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03374-0.

Full description at Econpapers || Download paper

2021CDS trading and nonrelationship lending dynamics. (2021). Wittenberg-Moerman, Regina ; Williams, Christopher D ; Kang, Jung Koo. In: Review of Accounting Studies. RePEc:spr:reaccs:v:26:y:2021:i:1:d:10.1007_s11142-020-09562-9.

Full description at Econpapers || Download paper

2021Management forecasts of volatility. (2021). Ellahie, Atif ; Peng, Xiaoxia. In: Review of Accounting Studies. RePEc:spr:reaccs:v:26:y:2021:i:2:d:10.1007_s11142-020-09567-4.

Full description at Econpapers || Download paper

2020Volatility and jump risk in option returns. (2020). Lin, Hai ; Guo, Biao. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:11:p:1767-1792.

Full description at Econpapers || Download paper

2020The externalities of credit default swaps on stock return synchronicity. (2020). Zhu, LU ; Zhao, Ran. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:1:p:92-125.

Full description at Econpapers || Download paper

2021Investor sentiment, misreaction, and the skewness?return relationship. (2021). Chen, Chinho. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:9:p:1427-1455.

Full description at Econpapers || Download paper

2020Collateral eligibility of corporate debt in the Eurosystem. (2020). Pelizzon, Loriana ; Subrahmanyam, Marti G ; Simon, Zorka ; Riedel, Max. In: SAFE Working Paper Series. RePEc:zbw:safewp:275.

Full description at Econpapers || Download paper

Works by Alessio Saretto:


YearTitleTypeCited
2004Option Strategies: Good Deals and Margin Calls In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper39
2009Option strategies: Good deals and margin calls.(2009) In: Journal of Financial Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39
article
2018p-Hacking: Evidence from Two Million Trading Strategies In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper0
2019How does hedge designation impact the market’s perception of credit risk? In: Journal of Financial Stability.
[Full Text][Citation analysis]
article1
2009Cross-section of option returns and volatility In: Journal of Financial Economics.
[Full Text][Citation analysis]
article68
2010Auction failures and the market for auction rate securities In: Journal of Financial Economics.
[Full Text][Citation analysis]
article11
2021Empirical Bayes Control of the False Discovery Exceedance In: Working Papers.
[Full Text][Citation analysis]
paper0
2016Does Hedging with Derivatives Reduce the Markets Perception of Credit Risk? In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
paper0
2016Does Capital Structure Affect the Behavior of Nonfinancial Stakeholders? An Empirical Investigation into Leverage and Union Strikes In: Management Science.
[Full Text][Citation analysis]
article7
2020Growth Options and Credit Risk In: Management Science.
[Full Text][Citation analysis]
article0
2020An Evaluation of Alternative Multiple Testing Methods for Finance Applications In: Review of Asset Pricing Studies.
[Full Text][Citation analysis]
article1
2013Corporate Leverage, Debt Maturity, and Credit Supply: The Role of Credit Default Swaps In: Review of Financial Studies.
[Full Text][Citation analysis]
article64
2014Complex Securities and Underwriter Reputation: Do Reputable Underwriters Produce Better Securities? In: Review of Financial Studies.
[Full Text][Citation analysis]
article12
2020Anomalies and False Rejections In: Review of Financial Studies.
[Full Text][Citation analysis]
article8
2010Why Did Auction Rate Bond Auctions Fail During 2007-2008? In: Purdue University Economics Working Papers.
[Full Text][Citation analysis]
paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2022. Contact: CitEc Team