Alessio Saretto

        Assistant Professor of Finance

        Jindal School of Management
        University of Texas at Dallas

        800 Campbell Road SM31

        Richardson, TX, 75080

        e-mail: asaretto@utdallas.edu  

        Phone: 972-883-5907

Curriculum Vitae

Education

· PhD Finance, UCLA (2006)

· PhD Mathematical Finance, University of Brescia, Italy (2002)

Research links

· SSRN

· Google Scholar

Publications

· An Evaluation of Alternative Multiple Testing Methods for Finance Application (with Campbell Harvey and Yan Liu), 2020, Review of Asset Pricing Studies, 10(2), 199-248. Invited submission, Editor’s choice.

· Anomalies and False Rejections (with Tarun Chordia and Amit Goyal), 2020, Review of Financial Studies, 33(5), 2134-2179.

· Growth Options and Credit Risk (with Andrea Gamba), 2020, Management Science, 66(9), 4269-4291.

· Does Hedging with Derivatives Reduce the Cost of Corporate Debt? The Role of Basis Risk (with Sriya Anbil and Heather Tookes), 2019, Journal of Financial Stability,41(C), 25-42.

· Does Capital Structure Affect the Behavior of Non-financial Stakeholders? An Empirical Investigation into Leverage and Union Strikes (with Brett Myers), 2016, Management Science, 62(11), 3235-3253. [Data].

· Complex Securities and Reputation: Do Reputable Underwriters Produce Better Securities? (with John Griffin and Richard Lowery), 2014, Review of Financial Studies, 27(10), 2872-2925.

· Corporate Leverage, Debt Maturity and Credit Supply: The Role of Credit Default Swaps (with Heather Tookes), 2013, Review of Financial Studies, 26(5), 1190-1247. Editor’s choice. [Data].

· Why Did Auction Rate Bond Auctions Fail during 2007-2008? (with Baixiao Liu and John McConnell), 2010, Journal of Fixed Income, 20, 5-18.

· Auction Failures and the Market for Auction Rate Securities (with John McConnell), 2010, Journal of Financial Economics, 97, 451-469.

· Cross-Section of Option Returns and Volatility (with Amit Goyal), 2009, Journal of Financial Economics, 94, 310-326.

· Option Strategies: Good Deals and Margin Calls (with Pedro Santa-Clara), 2009, Journal of Financial Markets 12, 391-417.

Working Papers

· Endogenous Option Pricing (with Andrea Gamba)

· The Agency Component of Credit Spreads (with Andrea Gamba)

· What Fuels the Volatility of Electricity Prices? (with Anastasia Shcherbakova and Jeremy Lin)

Permanent Working Papers

· The Trust Alternative (with Indraneel Chakraborty and Malcolm Wardlaw)

· Predicting and Pricing the Probability of Default

Work in Progress

· Expected Option Returns, with Amit Goyal

· Machine Learning and the Cost and Benefit of False Discovery Control

· Data Mining and Asset Pricing, with Campbell Harvey and Yan Liu

· Empirical Bayes Control of the False Discovery Exceedance, with Pallavi Basu, Luella Fu, and Wenguang Sun

· Settlers of Barnett, with Anastasia Shcherbakova

· Storage Risk and Convenience Yields in the Crude Oil Market

Research Interest

· Empirical Asset Pricing, Capital Structure, Credit Risk, Structured Finance