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Alessio Saretto

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Jeremy Lin & Alessio Saretto & Anastasia Shcherbakova, 2024. "What Fuels the Volatility of Electricity Prices?," Working Papers 2408, Federal Reserve Bank of Dallas.

    Cited by:

    1. Tostado-Véliz, Marcos & Horrillo-Quintero, Pablo & García-Triviño, Pablo & Fernández-Ramírez, Luis M. & Jurado, Francisco, 2024. "Optimal sitting and sizing of hydrogen refilling stations in distribution networks under locational marginal prices," Applied Energy, Elsevier, vol. 374(C).

  2. Amit Goyal & Alessio Saretto, 2022. "Are Equity Option Returns Abnormal? IPCA Says No," Working Papers 2214, Federal Reserve Bank of Dallas.

    Cited by:

    1. Weichuan Deng & Pawel Polak & Abolfazl Safikhani & Ronakdilip Shah, 2023. "A Unified Framework for Fast Large-Scale Portfolio Optimization," Papers 2303.12751, arXiv.org, revised Nov 2023.

  3. Tarun Chordia & Amit Goyal & Alessio Saretto, 2017. "p-Hacking: Evidence from Two Million Trading Strategies," Swiss Finance Institute Research Paper Series 17-37, Swiss Finance Institute, revised Apr 2018.

    Cited by:

    1. Alexander Musaev & Andrey Makshanov & Dmitry Grigoriev, 2022. "Evolutionary Optimization of Control Strategies for Non-Stationary Immersion Environments," Mathematics, MDPI, vol. 10(11), pages 1-17, May.
    2. Alexander Musaev & Andrey Makshanov & Dmitry Grigoriev, 2022. "Numerical Studies of Channel Management Strategies for Nonstationary Immersion Environments: EURUSD Case Study," Mathematics, MDPI, vol. 10(9), pages 1-20, April.

  4. Baixiao Liu & John J. McConnell & Alessio Saretto, 2010. "Why Did Auction Rate Bond Auctions Fail During 2007-2008?," Purdue University Economics Working Papers 1245, Purdue University, Department of Economics.

    Cited by:

    1. Linus Wilson, 2020. "Broken bucks: money funds that took taxpayer guarantees in 2008," Journal of Asset Management, Palgrave Macmillan, vol. 21(5), pages 375-392, September.

  5. Santa-Clara, Pedro & Saretto, Alessio, 2004. "Option Strategies: Good Deals and Margin Calls," University of California at Los Angeles, Anderson Graduate School of Management qt0499w44p, Anderson Graduate School of Management, UCLA.

    Cited by:

    1. Muravyev, Dmitriy & Ni, Xuechuan (Charles), 2020. "Why do option returns change sign from day to night?," Journal of Financial Economics, Elsevier, vol. 136(1), pages 219-238.
    2. Pratish Patel & Andrew Raquel & Savannah Chadwick, 2024. "The cash-secured put-write strategy and the variance risk premium," Journal of Asset Management, Palgrave Macmillan, vol. 25(1), pages 31-50, February.
    3. Fahlenbrach, Rüdiger & Sandås, Patrik, 2010. "Does information drive trading in option strategies?," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2370-2385, October.
    4. Arnold, M., 2017. "The impact of central clearing on banks’ lending discipline," Journal of Financial Markets, Elsevier, vol. 36(C), pages 91-114.
    5. George M. Constantinides & Michal Czerwonko & Stylianos Perrakis, 2017. "Mispriced Index Option Portfolios," NBER Working Papers 23708, National Bureau of Economic Research, Inc.
    6. Hsinan Hsu & Emily Ho, 2012. "The Optimal Total Costs for Writing a Straddle," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 11(1), pages 13-24, June.
    7. Shackleton, Mark B. & Voukelatos, Nikolaos, 2013. "Hedging efficiency in the Greek options market before and after the financial crisis of 2008," Journal of Multinational Financial Management, Elsevier, vol. 23(1), pages 1-18.
    8. Chavas, Jean-Paul & Li, Jian & Wang, Linjie, 2024. "Option pricing revisited: The role of price volatility and dynamics," Journal of Commodity Markets, Elsevier, vol. 33(C).
    9. Monica Guling Wu & Hsinan Hsu & Janchung Wang, 2021. "Market Trends and Options Trading: Viewpoint, Probability and Implications," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 11(5), pages 1-5.
    10. Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui, 2015. "Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk," CREATES Research Papers 2015-54, Department of Economics and Business Economics, Aarhus University.
    11. Duyvesteyn, Johan & de Zwart, Gerben, 2015. "Riding the swaption curve," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 57-75.
    12. Alfredo Ibáñez, 2008. "The cross-section of average delta-hedge option returns under stochastic volatility," Review of Derivatives Research, Springer, vol. 11(3), pages 205-244, October.
    13. Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2021. "Firm-specific risk-neutral distributions with options and CDS," BIS Working Papers 921, Bank for International Settlements.
    14. Jonathan Raimana Chan & Thomas Huckle & Antoine Jacquier & Aitor Muguruza, 2021. "Portfolio optimisation with options," Papers 2111.12658, arXiv.org, revised Sep 2024.
    15. Andrea Frazzini & Lasse H. Pedersen, 2012. "Embedded Leverage," NBER Working Papers 18558, National Bureau of Economic Research, Inc.
    16. Jakub W. Jurek & Erik Stafford, 2011. "The Cost of Capital for Alternative Investments," Harvard Business School Working Papers 12-013, Harvard Business School.
    17. Kazuhiro Hiraki & George Skiadopoulos, 2023. "The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure," Working Papers 946, Queen Mary University of London, School of Economics and Finance.
    18. Zhu, Shushang & Zhu, Wei & Pei, Xi & Cui, Xueting, 2020. "Hedging crash risk in optimal portfolio selection," Journal of Banking & Finance, Elsevier, vol. 119(C).
    19. Bjørn Eraker, 2013. "The performance of model based option trading strategies," Review of Derivatives Research, Springer, vol. 16(1), pages 1-23, April.
    20. Hong, Hui & Sung, Hao-Chang & Yang, Jingjing, 2018. "On profitability of volatility trading on S&P 500 equity index options: The role of trading frictions," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 295-307.
    21. Xingguo Luo & Doojin Ryu & Libin Tao & Chuxin Ye, 2024. "Price monotonicity violations during stock market crashes: Evidence from the SSE 50 ETF options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(3), pages 533-554, March.
    22. Jackwerth, Jens Carsten & Constantinides, George M. & Czerwonko, Michal & Perrakis, Stelios, 2008. "Are options on index futures profitable for risk averse investors? Empirical evidence," CoFE Discussion Papers 08/08, University of Konstanz, Center of Finance and Econometrics (CoFE).
    23. Martina RUSNÁKOVÁ, 2015. "Commodity price risk management using option strategies," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 61(4), pages 149-157.
    24. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2010. "Explaining asset pricing puzzles associated with the 1987 market crash," Working Paper Series WP-2010-10, Federal Reserve Bank of Chicago.
    25. Manuel Ammann & Mathis Mörke, 2019. "Credit Variance Risk Premiums," Working Papers on Finance 1908, University of St. Gallen, School of Finance.
    26. Hoyong Choi & Philippe Mueller & Andrea Vedolin, 2017. "Bond Variance Risk Premiums," Review of Finance, European Finance Association, vol. 21(3), pages 987-1022.
    27. Shi, Ruoshi & Zhao, Yanlong & Bao, Ying & Peng, Cheng, 2022. "Sensitivity-based Conditional Value at Risk (SCVaR): An efficient measurement of credit exposure for options," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    28. Joseph K.W. Fung & Eric Girardin & Jian Hua, 2022. "How does the exchange-rate regime affect dual-listed share price parity? Evidence from China’s A- and H-share markets," Post-Print hal-03821210, HAL.
    29. Pedersen, Lasse Heje & Vestergaard Jensen, Mads, 2015. "Early Option Exercise: Never Say Never," CEPR Discussion Papers 11019, C.E.P.R. Discussion Papers.
    30. Ghada Ali TIMRAZ & Faris Nasif AL-SHUBIRI, 2012. "The Impact Of Stock Options Trading On The Market Value Of Companies Listed In Kuwait Stock Exchange," Business Excellence and Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 2(3), pages 63-76, September.
    31. Amira, Khaled & Bennour, Khaled, 2010. "Borrowing Constraint and the Effect of Option Introduction," MPRA Paper 26440, University Library of Munich, Germany.
    32. George Kapetanios & Michael Neumann & George Skiadopoulos, 2014. "Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market," Working Papers 730, Queen Mary University of London, School of Economics and Finance.
    33. Byun, Suk Joon & Jeon, Byoung Hyun & Min, Byungsun & Yoon, Sun-Joong, 2015. "The role of the variance premium in Jump-GARCH option pricing models," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 38-56.
    34. Kazuhiro Hiraki & George Skiadopoulos, 2018. "The Contribution of Frictions to Expected Returns," Working Papers 874, Queen Mary University of London, School of Economics and Finance.
    35. Lai, Ya-Wen, 2017. "Macroeconomic factors and index option returns," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 452-477.
    36. David Volkmann, 2021. "Explaining S&P500 option returns: an implied risk-adjusted approach," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 29(2), pages 665-685, June.
    37. Andrada-Félix, Julián & Fernández-Rodríguez, Fernando & Fuertes, Ana-Maria, 2016. "Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?," International Journal of Forecasting, Elsevier, vol. 32(3), pages 695-715.
    38. Chin‐Ho Chen, 2021. "Investor sentiment, misreaction, and the skewness‐return relationship," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1427-1455, September.
    39. Goyal, Amit & Saretto, Alessio, 2009. "Cross-section of option returns and volatility," Journal of Financial Economics, Elsevier, vol. 94(2), pages 310-326, November.
    40. Leippold, Markus & Su, Lujing, 2015. "Collateral smile," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 15-28.
    41. Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, vol. 97(1), pages 130-154, July.
    42. Oleg Sokolinskiy, 2020. "Conditional dependence in post-crisis markets: dispersion and correlation skew trades," Review of Quantitative Finance and Accounting, Springer, vol. 55(2), pages 389-426, August.
    43. Kevin Aretz & Ming-Tsung Lin & Ser-Huang Poon, 2023. "Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns," Review of Finance, European Finance Association, vol. 27(1), pages 289-323.
    44. Biao Guo & Hai Lin, 2020. "Volatility and jump risk in option returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1767-1792, November.
    45. Chang‐Mo Kang & Donghyun Kim & Junyong Kim & Geul Lee, 2022. "Informed trading of out‐of‐the‐money options and market efficiency," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 247-279, June.
    46. Stylianos Perrakis, 2022. "From innovation to obfuscation: continuous time finance fifty years later," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 369-401, September.
    47. Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Orłowski, Piotr & Subrahmanyam, Marti G., 2023. "Informed options strategies before corporate events," Journal of Financial Markets, Elsevier, vol. 63(C).
    48. Kristoffer Andersson & Cornelis W. Oosterlee, 2023. "D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options," Papers 2308.10556, arXiv.org, revised Sep 2023.
    49. Nicole Branger & Christian Schlag, 2007. "Option Betas: Risk Measures For Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(07), pages 1137-1157.
    50. Bernales, Alejandro & Verousis, Thanos & Voukelatos, Nikolaos, 2020. "Do investors follow the herd in option markets?," Journal of Banking & Finance, Elsevier, vol. 119(C).
    51. Bas Peeters, 2012. "Risk premiums in a simple market model for implied volatility," Quantitative Finance, Taylor & Francis Journals, vol. 13(5), pages 739-748, January.
    52. Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Orłowski, Piotr & Subrahmanyam, Marti G., 2022. "Informed options strategies before corporate events," LawFin Working Paper Series 39, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
    53. Nikolaos Voukelatos & Thanos Verousis, 2019. "Option‐implied information and stock herding," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1429-1442, October.
    54. Longarela, Iñaki R. & Mayoral, Silvia, 2015. "Quote inefficiency in options markets," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 23-36.
    55. Jose Faias & Pedro Santa-Clara, 2011. "Optimal Option Portfolio Strategies," EcoMod2011 3041, EcoMod.
    56. Aramonte, Sirio, 2014. "Macroeconomic uncertainty and the cross-section of option returns," Journal of Financial Markets, Elsevier, vol. 21(C), pages 25-49.

Articles

  1. Campbell R Harvey & Yan Liu & Alessio Saretto & Jeffrey Pontiff, 2020. "An Evaluation of Alternative Multiple Testing Methods for Finance Applications," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(2), pages 199-248.

    Cited by:

    1. Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
    2. Ardia, David & Bluteau, Keven & Tran, Thien Duy, 2022. "How easy is it for investment managers to deploy their talent in green and brown stocks?," Finance Research Letters, Elsevier, vol. 48(C).
    3. Huang, Haitao & Jiang, Lei & Leng, Xuan & Peng, Liang, 2023. "Bootstrap analysis of mutual fund performance," Journal of Econometrics, Elsevier, vol. 235(1), pages 239-255.
    4. Cheng, Tingting & Yan, Cheng & Yan, Yayi, 2021. "Improved inference for fund alphas using high-dimensional cross-sectional tests," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 57-81.
    5. Umar, Zaghum & Zaremba, Adam & Umutlu, Mehmet & Mercik, Aleksander, 2024. "Interaction effects in the cross-section of country and industry returns," Journal of Banking & Finance, Elsevier, vol. 165(C).
    6. Engsted, Tom & Schneider, Jesper W., 2023. "Non-Experimental Data, Hypothesis Testing, and the Likelihood Principle: A Social Science Perspective," SocArXiv nztk8, Center for Open Science.
    7. Stephen A. Gorman & Frank J. Fabozzi, 2023. "Alternative risk premium: specification noise," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 459-473, October.
    8. Vincent, Kendro & Hsu, Yu-Chin & Lin, Hsiou-Wei, 2021. "Investment styles and the multiple testing of cross-sectional stock return predictability," Journal of Financial Markets, Elsevier, vol. 56(C).

  2. Tarun Chordia & Amit Goyal & Alessio Saretto, 2020. "Anomalies and False Rejections," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2134-2179.

    Cited by:

    1. Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024. "Nonstandard Errors," Journal of Finance, American Finance Association, vol. 79(3), pages 2339-2390, June.
      • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian Brownlees & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
      • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
      • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
      • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
      • Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
      • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
      • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
      • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022. "Non-Standard Errors," Swiss Finance Institute Research Paper Series 22-09, Swiss Finance Institute.
      • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
      • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023. "Non-Standard Errors," LIDAM Reprints LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
      • Moinas, Sophie & Declerck, Fany & Menkveld, Albert J. & Dreber, Anna, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
      • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024. "Nonstandard errors," LSE Research Online Documents on Economics 123002, London School of Economics and Political Science, LSE Library.
      • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024. "Nonstandard Errors," Post-Print hal-04676112, HAL.
      • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
      • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
      • Ferrara, Gerardo & Jurkatis, Simon, 2021. "Non-standard errors," Bank of England working papers 955, Bank of England.
      • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
      • Ciril Bosch-Rosa & Bernhard Kassner, 2023. "Non-Standard Errors," Rationality and Competition Discussion Paper Series 385, CRC TRR 190 Rationality and Competition.
      • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
      • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
      • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    2. Pallavi Basu & Luella Fu & Alessio Saretto & Wenguang Sun, 2021. "Empirical Bayes Control of the False Discovery Exceedance," Working Papers 2115, Federal Reserve Bank of Dallas.
    3. Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    4. Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
    5. Heath, Davidson & Ringgenberg, Matthew C. & Samadi, Mehrdad & Werner, Ingrid M., 2019. "Reusing Natural Experiments," Working Paper Series 2019-21, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    6. Campbell R. Harvey & Yan Liu, 2020. "False (and Missed) Discoveries in Financial Economics," Journal of Finance, American Finance Association, vol. 75(5), pages 2503-2553, October.
    7. Wei Liu & James W. Kolari, 2022. "Multifactor Market Indexes," JRFM, MDPI, vol. 15(4), pages 1-26, March.
    8. Huang, Haitao & Jiang, Lei & Leng, Xuan & Peng, Liang, 2023. "Bootstrap analysis of mutual fund performance," Journal of Econometrics, Elsevier, vol. 235(1), pages 239-255.
    9. Hung, Chiayu & Lai, Hung-Neng, 2022. "Information asymmetry and the profitability of technical analysis," Journal of Banking & Finance, Elsevier, vol. 134(C).
    10. Anghel, Dan Gabriel, 2021. "Data Snooping Bias in Tests of the Relative Performance of Multiple Forecasting Models," Journal of Banking & Finance, Elsevier, vol. 126(C).
    11. Thomas Paul & Thomas Walther & André Küster-Simic, 2022. "Empirical analysis of the illiquidity premia of German real estate securities," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 203-260, June.
    12. Clements, Michael P., 2024. "Survey expectations and adjustments for multiple testing," Journal of Economic Behavior & Organization, Elsevier, vol. 224(C), pages 338-354.
    13. Keloharju, Matti & Linnainmaa, Juhani T. & Nyberg, Peter, 2021. "Long-term discount rates do not vary across firms," Journal of Financial Economics, Elsevier, vol. 141(3), pages 946-967.
    14. Lim, Bryan & Sotes-Paladino, Juan & Wang, George Jiaguo & Yao, Yaqiong, 2024. "The value of growth: Changes in profitability and future stock returns," Journal of Banking & Finance, Elsevier, vol. 158(C).
    15. Kolari, James W. & Huang, Jianhua Z. & Butt, Hilal Anwar & Liao, Huiling, 2022. "International tests of the ZCAPM asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    16. Tong Wang, 2023. "Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium," Review of Finance, European Finance Association, vol. 27(1), pages 325-367.
    17. Qiao, Zhuo & Wang, Yan & Lam, Keith S.K., 2022. "New evidence on Bayesian tests of global factor pricing models," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 160-172.
    18. Cakici, Nusret & Zaremba, Adam & Bianchi, Robert J. & Pham, Nga, 2021. "False discoveries in the anomaly research: New insights from the Stock Exchange of Melbourne (1927–1987)," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
    19. Campbell R. Harvey & Yan Liu, 2022. "Luck versus Skill in the Cross Section of Mutual Fund Returns: Reexamining the Evidence," Journal of Finance, American Finance Association, vol. 77(3), pages 1921-1966, June.
    20. Colesanti Senni, Chiara & Goel, Skand & von Jagow, Adrian, 2024. "Economic and financial consequences of water risks: The case of hydropower," Ecological Economics, Elsevier, vol. 218(C).
    21. Andrew Y. Chen & Chukwuma Dim, 2023. "High-Throughput Asset Pricing," Papers 2311.10685, arXiv.org, revised Mar 2024.
    22. Andrew Y. Chen, 2022. "Most claimed statistical findings in cross-sectional return predictability are likely true," Papers 2206.15365, arXiv.org, revised Sep 2024.
    23. Söhnke M. Bartram & Harald Lohre & Peter F. Pope & Ananthalakshmi Ranganathan, 2021. "Navigating the factor zoo around the world: an institutional investor perspective," Journal of Business Economics, Springer, vol. 91(5), pages 655-703, July.
    24. Cheng, Tingting & Yan, Cheng & Yan, Yayi, 2021. "Improved inference for fund alphas using high-dimensional cross-sectional tests," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 57-81.
    25. Smith, Simon C., 2022. "Time-variation, multiple testing, and the factor zoo," International Review of Financial Analysis, Elsevier, vol. 84(C).
    26. Kim, Jae H. & Shamsuddin, Abul, 2023. "Stock market anomalies: An extreme bounds analysis," International Review of Financial Analysis, Elsevier, vol. 90(C).
    27. Psaradellis, Ioannis & Laws, Jason & Pantelous, Athanasios A. & Sermpinis, Georgios, 2023. "Technical analysis, spread trading, and data snooping control," International Journal of Forecasting, Elsevier, vol. 39(1), pages 178-191.
    28. Jegadeesh, Narasimhan & Titman, Sheridan, 2023. "Momentum: Evidence and insights 30 years later," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    29. Andrew Y. Chen, 2021. "The Limits of p‐Hacking: Some Thought Experiments," Journal of Finance, American Finance Association, vol. 76(5), pages 2447-2480, October.
    30. Andrew Y. Chen & Tom Zimmermann, 2022. "Open Source Cross-Sectional Asset Pricing," Critical Finance Review, now publishers, vol. 11(2), pages 207-264, May.
    31. Andrew Y. Chen & Tom Zimmermann, 2022. "Publication Bias in Asset Pricing Research," Papers 2209.13623, arXiv.org, revised Sep 2023.
    32. Vincent, Kendro & Hsu, Yu-Chin & Lin, Hsiou-Wei, 2021. "Investment styles and the multiple testing of cross-sectional stock return predictability," Journal of Financial Markets, Elsevier, vol. 56(C).
    33. Smith, Simon C. & Timmermann, Allan, 2022. "Have risk premia vanished?," Journal of Financial Economics, Elsevier, vol. 145(2), pages 553-576.
    34. Campbell R. Harvey & Yan Liu, 2020. "False (and Missed) Discoveries in Financial Economics," Papers 2006.04269, arXiv.org.
    35. Baltussen, Guido & Swinkels, Laurens & Van Vliet, Pim, 2021. "Global factor premiums," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1128-1154.
    36. Todd Mitton, 2022. "Methodological Variation in Empirical Corporate Finance," The Review of Financial Studies, Society for Financial Studies, vol. 35(2), pages 527-575.
    37. James W. Kolari & Jianhua Z. Huang & Wei Liu & Huiling Liao, 2022. "Further Tests of the ZCAPM Asset Pricing Model," JRFM, MDPI, vol. 15(3), pages 1-23, March.

  3. Andrea Gamba & Alessio Saretto, 2020. "Growth Options and Credit Risk," Management Science, INFORMS, vol. 66(9), pages 4269-4291, September.

    Cited by:

    1. Xie, Xiaofeng & Shi, Xinyu & Gu, Jing & Xu, Xun, 2023. "Examining the Contagion Effect of Credit Risk in a Supply Chain under Trade Credit and Bank Loan Offering," Omega, Elsevier, vol. 115(C).
    2. Chen, Zhiyao & Hackbarth, Dirk & Strebulaev, Ilya A., 2022. "A unified model of distress risk puzzles," Journal of Financial Economics, Elsevier, vol. 146(2), pages 357-384.
    3. Yuanyue Wang & Zhaohui Yu & Xiaojing Yi, 2022. "Financing liabilities and inefficient investment of listed companies: Based on the adjustment effect of different financial structures," Australian Economic Papers, Wiley Blackwell, vol. 61(4), pages 848-875, December.

  4. Anbil, Sriya & Saretto, Alessio & Tookes, Heather, 2019. "How does hedge designation impact the market’s perception of credit risk?," Journal of Financial Stability, Elsevier, vol. 41(C), pages 25-42.

    Cited by:

    1. Brigitte Eierle & Sven Hartlieb & Andreas Kress & Francesco Mazzi, 2021. "Hedge Accounting and Firms’ Future Investment Spending," Working Papers - Business wp2021_01.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.

  5. John Griffin & Richard Lowery & Alessio Saretto, 2014. "Complex Securities and Underwriter Reputation: Do Reputable Underwriters Produce Better Securities?," The Review of Financial Studies, Society for Financial Studies, vol. 27(10), pages 2872-2925.

    Cited by:

    1. Kempf, Elisabeth, 2020. "The job rating game: Revolving doors and analyst incentives," Journal of Financial Economics, Elsevier, vol. 135(1), pages 41-67.
    2. Célérier, Claire & Vallée, Boris, 2016. "Catering to investors through product complexity," ESRB Working Paper Series 14, European Systemic Risk Board.
    3. Götze, Tobias & Gürtler, Marc, 2020. "Hard markets, hard times: On the inefficiency of the CAT bond market," Journal of Corporate Finance, Elsevier, vol. 62(C).
    4. Neuhann, Daniel, 2016. "Macroeconomic effects of secondary market trading," ESRB Working Paper Series 25, European Systemic Risk Board.
    5. Bhagat, Sanjai & Bolton, Brian, 2019. "Corporate governance and firm performance: The sequel," Journal of Corporate Finance, Elsevier, vol. 58(C), pages 142-168.
    6. Kempf, Elisabeth, 2017. "The Job Rating Game: The Effects of Revolving Doors on Analyst Incentives," Working Papers 258, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
    7. Elizabeth C. Klee & Chaehee Shin, 2020. "Post-crisis Signals in Securitization: Evidence from Auto ABS," Finance and Economics Discussion Series 2020-042, Board of Governors of the Federal Reserve System (U.S.).
    8. Zhengqing Gui & Yangguang Huang & Xiaojian Zhao, 2021. "Financial Fraud and Investor Awareness," Monash Economics Working Papers 2021-06, Monash University, Department of Economics.
    9. Alper Kara & David Marques-Ibanez & Steven Ongena, 2015. "Securitization and lending standards: Evidence from the European wholesale loan market," International Finance Discussion Papers 1141, Board of Governors of the Federal Reserve System (U.S.).
    10. Carbó-Valverde, Santiago & Cuadros-Solas, Pedro J. & Rodríguez-Fernández, Francisco, 2021. "The impact of lending relationships on the choice and structure of bond underwriting syndicates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    11. Fredj Jawadi & Abdoulkarim Idi Cheffou & Nabila Jawadi & Wael Louhichi, 2016. "On the Reputation of Islamic Banks: a Panel Data Qualitative Econometrics Analysis," Open Economies Review, Springer, vol. 27(5), pages 987-998, November.
    12. Zhang, Jinqing & Yin, Yiwen & Zhang, Linlin, 2019. "Determinants of loan securitization in Chinese banking: Cost-benefit-based analysis," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    13. Galanis, Spyros, 2018. "Financial complexity and trade," Games and Economic Behavior, Elsevier, vol. 112(C), pages 219-230.
    14. Liu, Wenzhen & Wu, Wenfeng, 2023. "Underwriter reputation and the pricing of securities: Evidence from asset-backed securities," International Review of Financial Analysis, Elsevier, vol. 88(C).
    15. Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2018. "The Implications of Financial Innovation for Capital Markets and Household Welfare," CEPR Discussion Papers 13137, C.E.P.R. Discussion Papers.
    16. Griffin, John M. & Kruger, Samuel & Maturana, Gonzalo, 2019. "Do labor markets discipline? Evidence from RMBS bankers," Journal of Financial Economics, Elsevier, vol. 133(3), pages 726-750.
    17. Deku, Solomon Y. & Kara, Alper & Marqués-Ibáñez, David, 2019. "Do reputable issuers provide better-quality securitizations?," Working Paper Series 2236, European Central Bank.
    18. Martin Hibbeln & Werner Osterkamp, 2024. "Simple is simply not enough—features versus labels of complex financial securities," Review of Derivatives Research, Springer, vol. 27(2), pages 113-150, July.
    19. Neuhann, Daniel, 2017. "Macroeconomic effects of secondary market trading," Working Paper Series 2039, European Central Bank.
    20. John M. Griffin & Samuel Kruger & Prateek Mahajan, 2023. "Did FinTech Lenders Facilitate PPP Fraud?," Journal of Finance, American Finance Association, vol. 78(3), pages 1777-1827, June.

  6. Alessio Saretto & Heather E. Tookes, 2013. "Corporate Leverage, Debt Maturity, and Credit Supply: The Role of Credit Default Swaps," The Review of Financial Studies, Society for Financial Studies, vol. 26(5), pages 1190-1247.

    Cited by:

    1. Akbar, Saeed & Rehman, Shafiq ur & Liu, Jia & Shah, Syed Zulfiqar Ali, 2017. "Credit supply constraints and financial policies of listed companies during the 2007–2009 financial crisis," Research in International Business and Finance, Elsevier, vol. 42(C), pages 559-571.
    2. Czech, Robert, 2019. "Credit default swaps and corporate bond trading," Bank of England working papers 810, Bank of England.
    3. Jaewon Choi & Or Shachar, 2013. "Did liquidity providers become liquidity seekers?," Staff Reports 650, Federal Reserve Bank of New York.
    4. Mascia Bedendo & Lara Cathcart & Lina El-Jahel, 2016. "Distressed Debt Restructuring in the Presence of Credit Default Swaps," Post-Print hal-01262323, HAL.
    5. Iñaki Aldasoro & Andreas Barth, 2017. "Syndicated loans and CDS positioning," BIS Working Papers 679, Bank for International Settlements.
    6. Osano, Hiroshi, 2020. "Credit default swaps and market information," Journal of Financial Markets, Elsevier, vol. 48(C).
    7. Martin, Xiumin & Roychowdhury, Sugata, 2015. "Do financial market developments influence accounting practices? Credit default swaps and borrowers׳ reporting conservatism," Journal of Accounting and Economics, Elsevier, vol. 59(1), pages 80-104.
    8. Gu, Qiankun & Kong, Dongmin & Si, Fangbo & Xiong, Xi & Yu, Xiaoxu, 2024. "Credit default swaps and shareholder monitoring," International Review of Financial Analysis, Elsevier, vol. 93(C).
    9. Streitz, Daniel, 2015. "The impact of credit default swap trading on loan syndication," SFB 649 Discussion Papers 2015-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    10. Amin, Abu & Jain, Pawan & Upadhyay, Arun, 2022. "CDS, CEO compensation, and firm value," Finance Research Letters, Elsevier, vol. 46(PB).
    11. András Danis, 2017. "Do Empty Creditors Matter? Evidence from Distressed Exchange Offers," Management Science, INFORMS, vol. 63(5), pages 1285-1301, May.
    12. Julian Kozlowski, 2021. "Long-Term Finance and Investment with Frictional Asset Markets," American Economic Journal: Macroeconomics, American Economic Association, vol. 13(4), pages 411-448, October.
    13. David Yechiam Aharon & Yossi Yagil, 2019. "The Impact of Financial Leverage on Shareholders’ Systematic Risk," Sustainability, MDPI, vol. 11(23), pages 1-23, November.
    14. Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2018. "Corporate debt maturity profiles," Journal of Financial Economics, Elsevier, vol. 130(3), pages 484-502.
    15. Wu, Deming, 2015. "The effects of government capital and liquidity support programs on bank lending: Evidence from the syndicated corporate credit market," Journal of Financial Stability, Elsevier, vol. 21(C), pages 13-25.
    16. Karpuz, Ahmet & Kim, Kirak & Ozkan, Neslihan, 2020. "Employment protection laws and corporate cash holdings," Journal of Banking & Finance, Elsevier, vol. 111(C).
    17. Jie Chen & Woon Sau Leung & Wei Song & Davide Avino, 2018. "Does CDS trading affect risk-taking incentives in managerial compensation?," Working Papers 2018-19, Swansea University, School of Management.
    18. Zhao, Ran & Zhu, Lu, 2024. "Credit default swaps and corporate ESG performance," Journal of Banking & Finance, Elsevier, vol. 159(C).
    19. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
    20. Pelizzon, Loriana & Riedel, Max & Simon, Zorka & Subrahmanyam, Marti G., 2020. "Collateral eligibility of corporate debt in the Eurosystem," SAFE Working Paper Series 275, Leibniz Institute for Financial Research SAFE.
    21. Andrea Caggese & Ander Perez-Orive & Angelo Gutierrez, 2019. "Firm Debt Deflation, Household Precautionary Savings, and the Amplification of Aggregate Shocks," 2019 Meeting Papers 1331, Society for Economic Dynamics.
    22. Stefano Colonnello & Matthias Efing & Francesca Zucchi, 2016. "Empty Creditors and Strong Shareholders: The Real Effects of Credit Risk Trading," Swiss Finance Institute Research Paper Series 16-17, Swiss Finance Institute, revised Jun 2016.
    23. Dang, Viet Anh & Karpuz, Ahmet & Mohamed, Abdulkadir, 2023. "Venture capital directors and corporate debt structure: An empirical analysis of newly listed companies," Journal of Banking & Finance, Elsevier, vol. 157(C).
    24. Oehmke, Martin & Zawadowski, Adam, 2015. "Synthetic or real? The equilibrium effects of credit default swaps on bond markets," LSE Research Online Documents on Economics 84511, London School of Economics and Political Science, LSE Library.
    25. Thorsten Beck & Tao Chen & Chen Lin & Frank M. Song, 2012. "Financial Innovation: The Bright and the Dark Sides," Working Papers 052012, Hong Kong Institute for Monetary Research.
    26. Dai, Jing & Hu, Nan & Huang, Rong & Yan, Yan, 2023. "How does credit risk affect cost management strategies? Evidence on the initiation of credit default swap and sticky cost behavior," Journal of Corporate Finance, Elsevier, vol. 80(C).
    27. Jianfu Shen & Kwong Wing Chau, 2022. "The Effect of Access to the Public Debt Market on Corporate Financing Decisions: The Case of REITs," Sustainability, MDPI, vol. 14(13), pages 1-19, June.
    28. Li, Jay Y. & Tang, Dragon Yongjun, 2022. "Product market competition with CDS," Journal of Corporate Finance, Elsevier, vol. 73(C).
    29. Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit default swaps and corporate cash holdings," CFS Working Paper Series 462, Center for Financial Studies (CFS).
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    32. Hong, Jieying, 2019. "Managerial compensation incentives and corporate debt maturity: Evidence from FAS 123R," Journal of Corporate Finance, Elsevier, vol. 56(C), pages 388-414.
    33. Gong, Yaxian, 2020. "Credit default swap and two-sided moral hazard," Finance Research Letters, Elsevier, vol. 34(C).
    34. Paulo Pereira da Silva & Isabel Vieira, 2024. "Stock price informativeness and credit default swap trading," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 2950-2970, July.
    35. Gan, Liu & Yang, Zhaojun, 2024. "Financial decisions involving credit default swaps over the business cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 161(C).
    36. Andrea Caggese & Ander Pérez Orive, 2015. "The Interaction between Household and Firm Dynamics and the Amplification of Financial Shocks," Working Papers 866, Barcelona School of Economics.
    37. Zhao, Chen & Li, Yubin & Govindaraj, Suresh & Zhong, Zhaodong (Ken), 2022. "CDS trading and analyst optimism," The British Accounting Review, Elsevier, vol. 54(4).
    38. Kiesel, Florian & Kolaric, Sascha & Norden, Lars & Schiereck, Dirk, 2021. "To change or not to change? The CDS market response of firms on credit watch," Journal of Banking & Finance, Elsevier, vol. 125(C).
    39. Vishaal Baulkaran & Pawan Jain, 2023. "CDS contract initiations: REIT board monitoring and corporate decision outcomes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(1), pages 217-246, February.
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    43. Caglio, Cecilia & Darst, R. Matthew & Parolin, Eric, 2019. "Half-full or half-empty? Financial institutions, CDS use, and corporate credit risk," Journal of Financial Intermediation, Elsevier, vol. 40(C).
    44. Benjamin Hippert & André Uhde & Sascha Tobias Wengerek, 2019. "Determinants of CDS trading on major banks," Working Papers Dissertations 51, Paderborn University, Faculty of Business Administration and Economics.
    45. Jae B. Kim & Pervin Shroff & Dushyantkumar Vyas & Regina Wittenberg‐Moerman, 2018. "Credit Default Swaps and Managers’ Voluntary Disclosure," Journal of Accounting Research, Wiley Blackwell, vol. 56(3), pages 953-988, June.
    46. Qing Bai & Lu Zhu, 2018. "The Effects of Industry Specific and Local Economic Factors on Credit Default Swap Spreads: Evidence from REITs," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(3), pages 293-321, December.
    47. Clark, Brian & Donato, James & Francis, Bill B., 2023. "Credit default swaps and debt specialization," Journal of Financial Intermediation, Elsevier, vol. 54(C).
    48. Tak-Yuen Wong & Jin Yu, 2022. "Credit Default Swaps and Debt Overhang," Management Science, INFORMS, vol. 68(3), pages 2069-2097, March.
    49. Zihui Xu & Zifan Chen & Lixing Deng & Yan Yu, 2022. "The Impact of Mandatory Deleveraging on Corporate Tax Avoidance: Evidence from a Quasi‐experiment in China," Australian Accounting Review, CPA Australia, vol. 32(3), pages 352-366, September.
    50. Söhnke M Bartram & Jennifer Conrad & Jongsub Lee & Marti G Subrahmanyam, 2022. "Credit Default Swaps around the World," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2464-2524.
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    52. Marti G. Subrahmanyam & Dragon Yongjun Tang & Sarah Qian Wang, 2016. "Credit Default Swaps, Exacting Creditors and Corporate Liquidity Management," Working Papers 202016, Hong Kong Institute for Monetary Research.
    53. Wayne R. Landsman & Chao Kevin Li & Jianxin Donny Zhao, 2023. "CDS Trading Initiation, Information Asymmetry, and Dividend Payout," Management Science, INFORMS, vol. 69(1), pages 684-701, January.
    54. Paulo Pereira da Silva & Carlos Vieira & Isabel Vieira, 2018. "Central clearing and CDS market quality," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 731-753, June.
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    60. Hasan, Iftekhar & Wu, Deming, 2016. "Credit default swaps and bank loan sales: evidence from bank syndicated lending," Bank of Finland Research Discussion Papers 9/2016, Bank of Finland.
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    65. Jung Koo Kang & Christopher D. Williams & Regina Wittenberg-Moerman, 2021. "CDS trading and nonrelationship lending dynamics," Review of Accounting Studies, Springer, vol. 26(1), pages 258-292, March.
    66. Oehmke, Martin & Zawadowski, Adam, 2016. "The anatomy of the CDS market," LSE Research Online Documents on Economics 118964, London School of Economics and Political Science, LSE Library.
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    Cited by:

    1. William F. Bassett & David E. Rappoport, 2022. "Enhancing Stress Tests by Adding Macroprudential Elements," Finance and Economics Discussion Series 2022-022, Board of Governors of the Federal Reserve System (U.S.).
    2. Dario Cestau & Burton Hollifield & Dan Li & Norman Schürhoff, 2018. "Municipal Bond Markets," Swiss Finance Institute Research Paper Series 18-69, Swiss Finance Institute.
    3. Song Han & Dan Li, 2010. "The fragility of discretionary liquidity provision - lessons from the collapse of the auction rate securities market," Finance and Economics Discussion Series 2010-50, Board of Governors of the Federal Reserve System (U.S.).
    4. Sudip Gupta & Rangarajan K. Sundaram & Suresh Sundaresan, 2021. "Underwriting Government Debt Auctions: Auction Choice and Information Production," Management Science, INFORMS, vol. 67(5), pages 3127-3149, May.
    5. Francis A. Longstaff, 2009. "Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices?," NBER Working Papers 14687, National Bureau of Economic Research, Inc.
    6. Wei, Bin & Yue, Vivian Z., 2020. "Liquidity backstops and dynamic debt runs," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    7. Andrew Ang & Dimitris Papanikolaou & Mark Westerfield, 2013. "Portfolio Choice with Illiquid Assets," NBER Working Papers 19436, National Bureau of Economic Research, Inc.
    8. Vivian Yue & Bin Wei, 2013. "Dynamic Debt Runs and the Market for Variable Rate Demand Obligations," 2013 Meeting Papers 1308, Society for Economic Dynamics.
    9. Liu, Jinyu & Zhong, Rui, 2017. "Political uncertainty and a firm's credit risk: Evidence from the international CDS market," Journal of Financial Stability, Elsevier, vol. 30(C), pages 53-66.
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    11. Linus Wilson, 2020. "Broken bucks: money funds that took taxpayer guarantees in 2008," Journal of Asset Management, Palgrave Macmillan, vol. 21(5), pages 375-392, September.

  8. Goyal, Amit & Saretto, Alessio, 2009. "Cross-section of option returns and volatility," Journal of Financial Economics, Elsevier, vol. 94(2), pages 310-326, November.

    Cited by:

    1. Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio, 2016. "Volatility risk premia and exchange rate predictability," Journal of Financial Economics, Elsevier, vol. 120(1), pages 21-40.
    2. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency momentum strategies," Journal of Financial Economics, Elsevier, vol. 106(3), pages 660-684.
    3. Francesco Audrino & Dominik Colangelo, 2009. "Option trading strategies based on semi-parametric implied volatility surface prediction," University of St. Gallen Department of Economics working paper series 2009 2009-24, Department of Economics, University of St. Gallen.
    4. Colacito, Riccardo & Riddiough, Steven J. & Sarno, Lucio, 2020. "Business cycles and currency returns," Journal of Financial Economics, Elsevier, vol. 137(3), pages 659-678.
    5. Matthias Fengler & Winfried Koeniger & Stephan Minger, 2024. "The Transmission of Monetary Policy to the Cost of Hedging," CESifo Working Paper Series 11556, CESifo.
    6. Yuan, Jianglei & Liu, Dehong & Chen, Carl R. & Hu, Sen, 2024. "Option trading volume and the cross-section of option returns," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    7. Manuela Pedio, 2021. "Option-Implied Network Measures of Tail Contagion and Stock Return Predictability," BAFFI CAREFIN Working Papers 21154, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    8. Taylor, Mark & Hsu, Po-Hsuan & Wang, Zigan, 2020. "The Out-of-Sample Performance of Carry Trades," CEPR Discussion Papers 15052, C.E.P.R. Discussion Papers.
    9. Seraina C. Anagnostopoulou & Aikaterini C. Ferentinou & Panagiotis A. Tsaousis & Andrianos E. Tsekrekos, 2018. "The Options Market Reaction to Bank Loan Announcements," Journal of Financial Services Research, Springer;Western Finance Association, vol. 53(1), pages 99-139, February.
    10. Choy, Siu-Kai, 2015. "Retail clientele and option returns," Journal of Banking & Finance, Elsevier, vol. 51(C), pages 26-42.
    11. Chen, Zhuo & Lu, Andrea, 2017. "Slow diffusion of information and price momentum in stocks: Evidence from options markets," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 98-108.
    12. Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela, 2017. "Learning and forecasts about option returns through the volatility risk premium," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 312-330.
    13. Shi, Yukun & Chen, Ding & Guo, Biao & Xu, Yaofei & Yan, Cheng, 2022. "The information content of CDS implied volatility and associated trading strategies," International Review of Financial Analysis, Elsevier, vol. 83(C).
    14. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "International Tail Risk and World Fear," Hannover Economic Papers (HEP) dp-620, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    15. Chaudhury, Mo, 2017. "Volatility and expected option returns: A note," Economics Letters, Elsevier, vol. 152(C), pages 1-4.
    16. Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2018. "Illiquidity Premia in the Equity Options Market," The Review of Financial Studies, Society for Financial Studies, vol. 31(3), pages 811-851.
    17. Bernales, Alejandro & Guidolin, Massimo, 2014. "Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 326-342.
    18. Nakagawa, Kei & Sakemoto, Ryuta, 2022. "Market uncertainty and correlation between Bitcoin and Ether," Finance Research Letters, Elsevier, vol. 50(C).
    19. Andrea Frazzini & Lasse H. Pedersen, 2012. "Embedded Leverage," NBER Working Papers 18558, National Bureau of Economic Research, Inc.
    20. Mykola Babiak & Jozef Barunik, 2021. "Currency Network Risk," Papers 2101.09738, arXiv.org, revised Jul 2021.
    21. Borochin, Paul & Zhao, Yanhui, 2019. "Belief heterogeneity in the option markets and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
    22. Seo, Sung Won & Kim, Jun Sik, 2015. "The information content of option-implied information for volatility forecasting with investor sentiment," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 106-120.
    23. Atif Ellahie & Xiaoxia Peng, 2021. "Management forecasts of volatility," Review of Accounting Studies, Springer, vol. 26(2), pages 620-655, June.
    24. Thuy Thi Thu Truong & Jungmu Kim, 2019. "Premiums for Non-Sustainable and Sustainable Components of Market Volatility: Evidence from the Korean Stock Market," Sustainability, MDPI, vol. 11(18), pages 1-15, September.
    25. Rita Laura D’Ecclesia & Daniele Clementi, 2021. "Volatility in the stock market: ANN versus parametric models," Annals of Operations Research, Springer, vol. 299(1), pages 1101-1127, April.
    26. Hong, Hui & Sung, Hao-Chang & Yang, Jingjing, 2018. "On profitability of volatility trading on S&P 500 equity index options: The role of trading frictions," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 295-307.
    27. Fullwood, Jonathan & James, Jessica & Marsh, Ian W., 2021. "Volatility and the cross-section of returns on FX options," Journal of Financial Economics, Elsevier, vol. 141(3), pages 1262-1284.
    28. Anagnostopoulou, Seraina C. & Tsekrekos, Andrianos E., 2015. "Accounting quality, information risk and implied volatility around earnings announcements," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 188-207.
    29. Angelo Ranaldo & Fabricius Somogyi, 2018. "Asymmetric Information Risk in FX Markets," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Apr 2020.
    30. Hiroshi Sasaki, 2015. "Understanding Delta-Hedged Option Returns in Stochastic Volatility Environments," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(2), pages 151-184, May.
    31. Eraker, Bjørn & Wang, Jiakou, 2015. "A non-linear dynamic model of the variance risk premium," Journal of Econometrics, Elsevier, vol. 187(2), pages 547-556.
    32. Gkionis, Konstantinos & Kostakis, Alexandros & Skiadopoulos, George & Stilger, Przemyslaw S., 2021. "Positive stock information in out-of-the-money option prices," Journal of Banking & Finance, Elsevier, vol. 128(C).
    33. Yang, Shuwen & Aretz, Kevin & Liu, Hening & Zhang, Yuzhao, 2022. "Consumption risks in option returns," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 285-302.
    34. Mathias S. Kruttli & Brigitte Roth Tran & Sumudu W. Watugala, 2019. "Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics," Finance and Economics Discussion Series 2019-054, Board of Governors of the Federal Reserve System (U.S.).
    35. Vogel, Harold L. & Werner, Richard A., 2015. "An analytical review of volatility metrics for bubbles and crashes," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 15-28.
    36. Tong Wang, 2023. "Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium," Review of Finance, European Finance Association, vol. 27(1), pages 325-367.
    37. Dörries, Julian & Korn, Olaf & Power, Gabriel J., 2023. "How should the long-term investor harvest variance risk premiums?," CFR Working Papers 23-06, University of Cologne, Centre for Financial Research (CFR).
    38. Viteva, Svetlana & Veld-Merkoulova, Yulia V. & Campbell, Kevin, 2014. "The forecasting accuracy of implied volatility from ECX carbon options," Energy Economics, Elsevier, vol. 45(C), pages 475-484.
    39. Markopoulou, Chryssa & Skintzi, Vasiliki & Refenes, Apostolos, 2016. "On the predictability of model-free implied correlation," International Journal of Forecasting, Elsevier, vol. 32(2), pages 527-547.
    40. Chen, Ding & Guo, Biao & Zhou, Guofu, 2023. "Firm fundamentals and the cross-section of implied volatility shapes," Journal of Financial Markets, Elsevier, vol. 63(C).
    41. Chiang, Chin-Han & Chung, Sung Gon & Louis, Henock, 2017. "Insider trading, stock return volatility, and the option market's pricing of the information content of insider trading," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 65-73.
    42. Ruan, Xinfeng & Zhang, Jin E., 2019. "Moment spreads in the energy market," Energy Economics, Elsevier, vol. 81(C), pages 598-609.
    43. Adi Ben-Meir & Jeremy Schiff, 2012. "The Variance of Standard Option Returns," Papers 1204.3452, arXiv.org.
    44. Sarno, Lucio & Della Corte, Pasquale & Tsiakas, Ilias, 2010. "Spot and Forward Volatility in Foreign Exchange," CEPR Discussion Papers 7893, C.E.P.R. Discussion Papers.
    45. Amit Goyal & Alessio Saretto, 2022. "Are Equity Option Returns Abnormal? IPCA Says No," Working Papers 2214, Federal Reserve Bank of Dallas.
    46. Mario Cerrato & Zhekai Zhang, 2019. "Can we predict currency momentum crashes?," Working Papers 2019_12, Business School - Economics, University of Glasgow.
    47. Borochin, Paul & Yang, Jie, 2017. "Options, equity risks, and the value of capital structure adjustments," Journal of Corporate Finance, Elsevier, vol. 42(C), pages 150-178.
    48. Neururer, Thaddeus, 2023. "Variance risk premiums and aging firms," Finance Research Letters, Elsevier, vol. 58(PA).
    49. Yang, Chih-Yuan & Jhang, Ling-Jhen & Chang, Chia-Chien, 2016. "Do investor sentiment, weather and catastrophe effects improve hedging performance? Evidence from the Taiwan options market," Pacific-Basin Finance Journal, Elsevier, vol. 37(C), pages 35-51.
    50. Samuel Ze-To & Steven Cahan, 2016. "Correlated implied volatility with jump and cross section of stock returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(4), pages 1187-1214, December.
    51. Chichernea, Doina & Huang, Kershen & Petkevich, Alex & Teterin, Pavel, 2024. "Options trading imbalance, cash-flow news, and discount-rate news," Journal of Empirical Finance, Elsevier, vol. 77(C).
    52. Kanne, Stefan & Korn, Olaf & Uhrig-Homburg, Marliese, 2023. "Stock illiquidity and option returns," Journal of Financial Markets, Elsevier, vol. 63(C).
    53. Davide E Avino & Enrique Salvador, 2024. "Contingent Claims and Hedging of Credit Risk with Equity Options," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 14(2), pages 310-348.
    54. Ruan, Xinfeng, 2020. "Volatility-of-volatility and the cross-section of option returns," Journal of Financial Markets, Elsevier, vol. 48(C).
    55. Vedolin, Andrea, 2012. "Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia," LSE Research Online Documents on Economics 43091, London School of Economics and Political Science, LSE Library.
    56. David Volkmann, 2021. "Explaining S&P500 option returns: an implied risk-adjusted approach," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 29(2), pages 665-685, June.
    57. Chung, Sung Gon & Louis, Henock, 2017. "Earnings announcements and option returns," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 220-235.
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    63. Ruan, Xinfeng & Zhang, Jin E., 2018. "Risk-neutral moments in the crude oil market," Energy Economics, Elsevier, vol. 72(C), pages 583-600.
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    See citations under working paper version above.
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