8
H index
7
i10 index
363
Citations
Federal Reserve Bank of Dallas | 8 H index 7 i10 index 363 Citations RESEARCH PRODUCTION: 10 Articles 8 Papers RESEARCH ACTIVITY: 20 years (2004 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/psa1907 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Alessio Saretto. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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The Review of Financial Studies | 3 |
Journal of Financial Economics | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers / Federal Reserve Bank of Dallas | 4 |
Year | Title of citing document |
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2024 | Portfolio 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 |
2023 | How 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. Full description at Econpapers || Download paper |
2024 | Most claimed statistical findings in cross-sectional return predictability are likely true. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2206.15365. Full description at Econpapers || Download paper |
2023 | Publication Bias in Asset Pricing Research. (2022). Zimmermann, Tom ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2209.13623. Full description at Econpapers || Download paper |
2024 | Price Discovery for Derivatives. (2023). Tseng, Michael ; Keller, Christian. In: Papers. RePEc:arx:papers:2302.13426. Full description at Econpapers || Download paper |
2023 | A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751. Full description at Econpapers || Download paper |
2023 | D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options. (2023). Oosterlee, Cornelis W ; Andersson, Kristoffer. In: Papers. RePEc:arx:papers:2308.10556. Full description at Econpapers || Download paper |
2024 | High-Throughput Asset Pricing. (2023). Dim, Chukwuma ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2311.10685. Full description at Econpapers || Download paper |
2023 | Did 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. Full description at Econpapers || Download paper |
2023 | CDS 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. Full description at Econpapers || Download paper |
2023 | How 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. Full description at Econpapers || Download paper |
2023 | Credit default swaps and corporate debt structure. (2023). Shan, Chenyu ; Saffar, Walid ; Chen, Yangyang ; Wang, Sarah Qian. In: Journal of Corporate Finance. RePEc:eee:corfin:v:83:y:2023:i:c:s0929119923001438. Full description at Econpapers || Download paper |
2024 | Financial decisions involving credit default swaps over the business cycle. (2024). Yang, Zhaojun ; Gan, Liu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:161:y:2024:i:c:s0165188924000228. Full description at Econpapers || Download paper |
2024 | Economic and financial consequences of water risks: The case of hydropower. (2024). von Jagow, Adrian ; Goel, Skand ; Senni, Chiara Colesanti. In: Ecological Economics. RePEc:eee:ecolec:v:218:y:2024:i:c:s0921800923003117. Full description at Econpapers || Download paper |
2023 | Bootstrap 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. Full description at Econpapers || Download paper |
2024 | Banks balance sheet management as a bargaining tool: Evidence from Brazilian labor strikes. (2024). Manu, Sylvester Adasi ; Wang, Weichao ; Behr, Patrick. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014123000997. Full description at Econpapers || Download paper |
2023 | Option gamma and stock returns. (2023). Soebhag, Amar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001093. Full description at Econpapers || Download paper |
2023 | Underwriter 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. Full description at Econpapers || Download paper |
2023 | Precautionary motive or private benefit motive for holding cash: Evidence from CEO ownership. (2023). Zeng, Yeqin ; Yin, Chao ; Sun, Wenyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003368. Full description at Econpapers || Download paper |
2023 | Stock market anomalies: An extreme bounds analysis. (2023). Shamsuddin, Abul ; Kim, Jae H. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003575. Full description at Econpapers || Download paper |
2024 | Credit default swaps and shareholder monitoring. (2024). Xiong, XI ; Si, Fangbo ; Kong, Dongmin ; Gu, Qiankun ; Yu, Xiaoxu. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000863. Full description at Econpapers || Download paper |
2023 | Variance risk premiums and aging firms. (2023). Neururer, Thaddeus. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006840. Full description at Econpapers || Download paper |
2023 | Stock 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. Full description at Econpapers || Download paper |
2023 | Informed 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. Full description at Econpapers || Download paper |
2023 | Firm 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. Full description at Econpapers || Download paper |
2023 | Recency 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. Full description at Econpapers || Download paper |
2023 | Technical 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. Full description at Econpapers || Download paper |
2023 | Capital 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. Full description at Econpapers || Download paper |
2023 | Does 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. Full description at Econpapers || Download paper |
2023 | Bank 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. Full description at Econpapers || Download paper |
2023 | Venture capital directors and corporate debt structure: An empirical analysis of newly listed companies. (2023). Dang, Viet ; Karpuz, Ahmet ; Mohamed, Abdulkadir. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:157:y:2023:i:c:s0378426623002224. Full description at Econpapers || Download paper |
2024 | The value of growth: Changes in profitability and future stock returns. (2024). Wang, George Jiaguo ; Sotes-Paladino, Juan ; Lim, Bryan ; Yao, Yaqiong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002273. Full description at Econpapers || Download paper |
2024 | Credit default swaps and corporate ESG performance. (2024). Zhu, LU ; Zhao, Ran. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:159:y:2024:i:c:s0378426623002741. Full description at Econpapers || Download paper |
2024 | Task-oriented speech and information processing. (2024). Stark, Jeffrey R ; Shirley, Sara E ; Bhagwat, Vineet. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000153. Full description at Econpapers || Download paper |
2023 | Credit 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. Full description at Econpapers || Download paper |
2024 | The out-of-sample performance of carry trades. (2024). Li, Yan ; Wang, Zigan ; Taylor, Mark P ; Hsu, Po-Hsuan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000299. Full description at Econpapers || Download paper |
2024 | Option pricing revisited: The role of price volatility and dynamics. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jean-Paul. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000715. Full description at Econpapers || Download paper |
2023 | Examining 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. Full description at Econpapers || Download paper |
2023 | Momentum: Evidence and insights 30 years later. (2023). Titman, Sheridan ; Jegadeesh, Narasimhan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002731. Full description at Econpapers || Download paper |
2023 | CDS 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. Full description at Econpapers || Download paper |
2023 | Do 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. Full description at Econpapers || Download paper |
2023 | Non-Experimental Data, Hypothesis Testing, and the Likelihood Principle: A Social Science Perspective. (2023). Schneider, Jesper W ; Engsted, Tom. In: SocArXiv. RePEc:osf:socarx:nztk8. Full description at Econpapers || Download paper |
2023 | Moneyness, 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.. Full description at Econpapers || Download paper |
2023 | Bear 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.. Full description at Econpapers || Download paper |
2023 | Alternative 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. Full description at Econpapers || Download paper |
2024 | The cash-secured put-write strategy and the variance risk premium. (2024). Chadwick, Savannah ; Raquel, Andrew ; Patel, Pratish. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:1:d:10.1057_s41260-023-00333-0. Full description at Econpapers || Download paper |
2023 | The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure. (2023). Skiadopoulos, George ; Hiraki, Kazuhiro. In: Working Papers. RePEc:qmw:qmwecw:946. Full description at Econpapers || Download paper |
2023 | Determinants 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. Full description at Econpapers || Download paper |
2023 | Investor 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 |
2023 | Credit 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. Full description at Econpapers || Download paper |
2023 | How 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2004 | Option Strategies: Good Deals and Margin Calls In: University of California at Los Angeles, Anderson Graduate School of Management. [Full Text][Citation analysis] | paper | 58 |
2009 | Option strategies: Good deals and margin calls.(2009) In: Journal of Financial Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 58 | article | |
2018 | p-Hacking: Evidence from Two Million Trading Strategies In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
2019 | How does hedge designation impact the market’s perception of credit risk? In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 1 |
2009 | Cross-section of option returns and volatility In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 94 |
2010 | Auction failures and the market for auction rate securities In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 13 |
2021 | Empirical Bayes Control of the False Discovery Exceedance In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Endogenous Option Pricing In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Are Equity Option Returns Abnormal? IPCA Says No In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2024 | What Fuels the Volatility of Electricity Prices? In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Does Hedging with Derivatives Reduce the Markets Perception of Credit Risk? In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 0 |
2016 | Does Capital Structure Affect the Behavior of Nonfinancial Stakeholders? An Empirical Investigation into Leverage and Union Strikes In: Management Science. [Full Text][Citation analysis] | article | 10 |
2020 | Growth Options and Credit Risk In: Management Science. [Full Text][Citation analysis] | article | 3 |
2020 | An Evaluation of Alternative Multiple Testing Methods for Finance Applications In: The Review of Asset Pricing Studies. [Full Text][Citation analysis] | article | 8 |
2013 | Corporate Leverage, Debt Maturity, and Credit Supply: The Role of Credit Default Swaps In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 114 |
2014 | Complex Securities and Underwriter Reputation: Do Reputable Underwriters Produce Better Securities? In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 22 |
2020 | Anomalies and False Rejections In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 36 |
2010 | Why Did Auction Rate Bond Auctions Fail During 2007-2008? In: Purdue University Economics Working Papers. [Full Text][Citation analysis] | paper | 1 |
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