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
Education
·
PhD Finance, UCLA (2006)
·
PhD Mathematical Finance, University of Brescia, Italy (2002)
Publications
·
Corporate
Leverage, Debt Maturity and Credit Supply: The Role of Credit Default Swaps
(with Heather Tookes), 2012, forthcoming Review of Financial Studies.
·
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
·
Firm
Policies and the Cross-section of CDS Spreads (with Andrea Gamba)
·
Complex
Securities and Reputation: Do Reputable Underwriters Produce Better Securities?
(with John Griffin
and Richard Lowery)
·
Dynamic
Capacity Choice, Dynamic Capital Structure, and Credit Risk (with Mamen Aranda and Andrea Gamba)
·
Leverage
and the Interaction Between Firms and
Non-financial Stakeholders: Evidence from Contract Negotiations and Union
Strikes (with Brett
Myers)
·
Predicting
and Pricing the Probability of Default
Work in Progress
·
Complex Securities and Business Ties (with John Griffin and Richard Lowery)
·
Credit Default Swaps and Managerial Risk Taking (with Sriya Anbil and Heather Tookes)
Research Interest
·
Empirical Asset Pricing, Capital Structure, Credit Risk, Structured
Finance