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Alessio Saretto

Personal Details

First Name:Alessio
Middle Name:
Last Name:Saretto
Suffix:
RePEc Short-ID:psa1907
[This author has chosen not to make the email address public]
https://sites.google.com/view/alessio-saretto-webpage/home

Affiliation

Economic Research Department
Federal Reserve Bank of Dallas

Dallas, Texas (United States)
http://www.dallasfed.org/research.cfm
RePEc:edi:efrbdus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

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.
  2. Andrea Gamba & Alessio Saretto, 2023. "Debt Maturity and Commitment on Firm Policies," Working Papers 2303, Federal Reserve Bank of Dallas.
  3. Amit Goyal & Alessio Saretto, 2022. "Are Equity Option Returns Abnormal? IPCA Says No," Working Papers 2214, Federal Reserve Bank of Dallas.
  4. Andrea Gamba & Alessio Saretto, 2022. "Endogenous Option Pricing," Working Papers 2202, Federal Reserve Bank of Dallas.
  5. 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.
  6. 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.
  7. Sriya Anbil & Alessio Saretto & Heather Tookes, 2016. "Does Hedging with Derivatives Reduce the Market's Perception of Credit Risk?," Finance and Economics Discussion Series 2016-100, Board of Governors of the Federal Reserve System (U.S.).
  8. 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.
  9. 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.

Articles

  1. Pallavi Basu & Luella Fu & Alessio Saretto & Wenguang Sun, 2024. "An Empirical Bayes Approach to Controlling the False Discovery Exceedance," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 1041-1052, July.
  2. 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.
  3. 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.
  4. Andrea Gamba & Alessio Saretto, 2020. "Growth Options and Credit Risk," Management Science, INFORMS, vol. 66(9), pages 4269-4291, September.
  5. 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.
  6. 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.
  7. 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.
  8. McConnell, John J. & Saretto, Alessio, 2010. "Auction failures and the market for auction rate securities," Journal of Financial Economics, Elsevier, vol. 97(3), pages 451-469, September.
  9. Goyal, Amit & Saretto, Alessio, 2009. "Cross-section of option returns and volatility," Journal of Financial Economics, Elsevier, vol. 94(2), pages 310-326, November.
  10. Santa-Clara, Pedro & Saretto, Alessio, 2009. "Option strategies: Good deals and margin calls," Journal of Financial Markets, Elsevier, vol. 12(3), pages 391-417, August.

    RePEc:inm:ormnsc:v:62:y:2016:i:11:p:3235-3253 is not listed on IDEAS

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages, Weighted by Simple Impact Factor
  2. Number of Journal Pages, Weighted by Recursive Impact Factor

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CFN: Corporate Finance (2) 2022-04-25 2023-05-29
  2. NEP-ECM: Econometrics (2) 2019-05-13 2021-11-29
  3. NEP-FMK: Financial Markets (2) 2017-01-01 2022-09-12
  4. NEP-ORE: Operations Research (2) 2021-11-29 2022-04-25
  5. NEP-RMG: Risk Management (2) 2017-01-01 2022-04-25
  6. NEP-CMP: Computational Economics (1) 2021-11-29
  7. NEP-CWA: Central and Western Asia (1) 2022-04-25
  8. NEP-DES: Economic Design (1) 2023-05-29

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