Alessio Saretto : Citation Profile

Are you Alessio Saretto?

Federal Reserve Bank of Dallas

7

H index

6

i10 index

335

Citations

RESEARCH PRODUCTION:

10

Articles

7

Papers

RESEARCH ACTIVITY:

   18 years (2004 - 2022). See details.
   Cites by year: 18
   Journals where Alessio Saretto has often published
   Relations with other researchers
   Recent citing documents: 32.    Total self citations: 4 (1.18 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psa1907
   Updated: 2024-01-16    RAS profile: 2021-06-25    
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Relations with other researchers

Works with:

Gamba, Andrea (2)

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 (12)

Schmeling, Maik (6)

Bernales, Alejandro (6)

Schrimpf, Andreas (6)

Menkhoff, Lukas (5)

Choi, Jaewon (4)

Perrakis, Stylianos (4)

Pagano, Marco (4)

Aramonte, Sirio (3)

Verousis, Thanos (3)

Bartram, Söhnke (3)

Cites to:

Fama, Eugene (8)

French, Kenneth (7)

Scholes, Myron (6)

Kapadia, Nikunj (5)

Rosen, Richard (5)

pan, jun (5)

Gorton, Gary (5)

Bartram, Söhnke (4)

Stulz, René (4)

Stein, Jeremy (4)

merton, robert (4)

Main data

Where Alessio Saretto has published?

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

Working Papers Series with more than one paper published# docs
Working Papers / Federal Reserve Bank of Dallas3

Recent works citing Alessio Saretto (2024 and 2023)

YearTitle of citing document
2023How easy is it for investment managers to deploy their talent in green and brown stocks?. (2022). Ardia, David ; Bluteau, Keven ; Tran, Thien Duy. In: Papers. RePEc:arx:papers:2201.05709.

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2023Publication Bias in Asset Pricing Research. (2022). Zimmermann, Tom ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2209.13623.

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2023Price Discovery for Derivatives. (2023). Tseng, Michael ; Keller, Christian. In: Papers. RePEc:arx:papers:2302.13426.

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2023A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751.

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2023D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options. (2023). Oosterlee, Cornelis W ; Andersson, Kristoffer. In: Papers. RePEc:arx:papers:2308.10556.

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2023High-Throughput Asset Pricing. (2023). Dim, Chukwuma ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2311.10685.

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2023Did FinTech Lenders Facilitate PPP Fraud?. (2023). Mahajan, Prateek ; Kruger, Samuel ; Griffin, John M. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1777-1827.

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2023CDS contract initiations: REIT board monitoring and corporate decision outcomes. (2023). Jain, Pawan ; Baulkaran, Vishaal. In: Journal of Financial Research. RePEc:bla:jfnres:v:46:y:2023:i:1:p:217-246.

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2023How does credit risk affect cost management strategies? Evidence on the initiation of credit default swap and sticky cost behavior. (2023). Yan, Yan ; Huang, Rong ; Dai, Jing. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000500.

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2023Bootstrap analysis of mutual fund performance. (2023). Peng, Liang ; Leng, Xuan ; Jiang, Lei ; Huang, Haitao. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:239-255.

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2023Underwriter reputation and the pricing of securities: Evidence from asset-backed securities. (2023). Wu, Wenfeng ; Liu, Wenzhen. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001953.

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2023Stock illiquidity and option returns. (2023). Uhrig-Homburg, Marliese ; Korn, Olaf ; Kanne, Stefan. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000556.

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2023Informed options strategies before corporate events. (2023). Subrahmanyam, Marti G ; Orowski, Piotr ; Grass, Gunnar ; Brenner, Menachem ; Augustin, Patrick. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000568.

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2023Firm fundamentals and the cross-section of implied volatility shapes. (2023). Zhou, Guofu ; Guo, Biao ; Chen, Ding. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000611.

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2023Recency bias and the cross-section of international stock returns. (2023). Zaremba, Adam ; Cakici, Nusret. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:84:y:2023:i:c:s1042443123000069.

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2023Technical analysis, spread trading, and data snooping control. (2023). Sermpinis, Georgios ; Pantelous, Athanasios A ; Laws, Jason ; Psaradellis, Ioannis. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:178-191.

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2023Capital structure and reversible bargaining tools: Evidence from union-sponsored shareholder proposals. (2023). Romec, Arthur ; Matta, Rafael ; di Giuli, Alberta. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426623000201.

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2023Does CDS trading affect risk-taking incentives in managerial compensation?. (2023). Avino, Davide ; Song, Wei ; Leung, Woon Sau ; Chen, Jie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:151:y:2023:i:c:s0378426619300044.

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2023Bank loan renegotiation and credit default swaps. (2023). Shohfi, Thomas D ; Francis, Bill B ; Donato, James ; Clark, Brian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:151:y:2023:i:c:s0378426620301989.

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2023Credit default swaps and debt specialization. (2023). Donato, James ; Clark, Brian ; Francis, Bill B. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:54:y:2023:i:c:s1042957323000128.

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2023Examining the Contagion Effect of Credit Risk in a Supply Chain under Trade Credit and Bank Loan Offering. (2023). Xu, Xun ; Gu, Jing ; Shi, Xinyu ; Xie, Xiaofeng. In: Omega. RePEc:eee:jomega:v:115:y:2023:i:c:s030504832200158x.

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2023CDS Trading Initiation, Information Asymmetry, and Dividend Payout. (2023). Zhao, Jianxin Donny ; Li, Chao Kevin ; Landsman, Wayne R. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:1:p:684-701.

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2023Do credit default swaps impact lenders’ monitoring of loans?. (2023). Hussain, Tashfeen ; Hossain, Miran ; Essaddam, Naceur. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:2:d:10.1007_s11156-023-01159-y.

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2023Non-Experimental Data, Hypothesis Testing, and the Likelihood Principle: A Social Science Perspective. (2023). Schneider, Jesper W ; Engsted, Tom. In: SocArXiv. RePEc:osf:socarx:nztk8.

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2023Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns*. (2023). Poon, Ser-Huang ; Lin, Ming-Tsung ; Aretz, Kevin. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:1:p:289-323..

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2023Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium. (2023). Wang, Tong. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:1:p:325-367..

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2023Alternative risk premium: specification noise. (2023). Fabozzi, Frank J ; Gorman, Stephen A. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00327-y.

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2023The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure. (2023). Skiadopoulos, George ; Hiraki, Kazuhiro. In: Working Papers. RePEc:qmw:qmwecw:946.

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2023Determinants and hedging effectiveness of Chinas sovereign credit default swaps. (2023). Jiang, Yong ; Muvunza, Taurai. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:2074-2087.

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2023Credit default swaps and firm risk. (2023). Nguyen, Binh Hoang ; Lin, Hai ; Zhang, Cheng ; Wang, Junbo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1668-1692.

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2023How should the long-term investor harvest variance risk premiums?. (2023). Korn, Olaf ; Dorries, Julian ; Power, Gabriel J. In: CFR Working Papers. RePEc:zbw:cfrwps:279557.

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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]		paper55
2009Option strategies: Good deals and margin calls.(2009) In: Journal of Financial Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 55		article
2018p-Hacking: Evidence from Two Million Trading Strategies In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper2
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]		article88
2010Auction failures and the market for auction rate securities In: Journal of Financial Economics.
[Full Text][Citation analysis]		article13
2021Empirical Bayes Control of the False Discovery Exceedance In: Working Papers.
[Full Text][Citation analysis]		paper0
2022Endogenous Option Pricing In: Working Papers.
[Full Text][Citation analysis]		paper0
2022Are Equity Option Returns Abnormal? IPCA Says No In: Working Papers.
[Full Text][Citation analysis]		paper1
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]		article9
2020Growth Options and Credit Risk In: Management Science.
[Full Text][Citation analysis]		article3
2020An Evaluation of Alternative Multiple Testing Methods for Finance Applications In: The Review of Asset Pricing Studies.
[Full Text][Citation analysis]		article7
2013Corporate Leverage, Debt Maturity, and Credit Supply: The Role of Credit Default Swaps In: Review of Financial Studies.
[Full Text][Citation analysis]		article104
2014Complex Securities and Underwriter Reputation: Do Reputable Underwriters Produce Better Securities? In: Review of Financial Studies.
[Full Text][Citation analysis]		article20
2020Anomalies and False Rejections In: Review of Financial Studies.
[Full Text][Citation analysis]		article31
2010Why Did Auction Rate Bond Auctions Fail During 2007-2008? In: Purdue University Economics Working Papers.
[Full Text][Citation analysis]		paper1

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