Alessio Saretto

        Assistant Professor of Finance

        Jindal School of Management
        University of Texas at Dallas

        800 Campbell Road SM31

        Richardson, TX, 75080

        e-mail: asarett[email protected]   

        Phone: 972-883-5907

Curriculum Vitae



       PhD Finance, UCLA (2006)

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


Research links


       Google Scholar



       Growth Options and Credit Risk (with Andrea Gamba), Forthcoming, Management Science.

       Does Hedging with Derivatives Reduce the Cost of Corporate Debt? The Role of Basis Risk (with Sriya Anbil and Heather Tookes), Forthcoming, Journal of Financial Stability.

       Leverage and the Interaction Between Firms and Non-financial Stakeholders: Evidence from Contract Negotiations 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. [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

       Anomalies and Multiple Hypothesis Testing: Evidence from Two Million Trading Strategies (with Tarun Chordia and Amit Goyal)

       The Trust Alternative (with Indraneel Chakraborty and Malcolm Wardlaw)

       The Agency Component of Credit Spreads (with Andrea Gamba)

       Marginal Fuel Switching and Price Volatility in PJM (with Anastasia Shcherbakova and Jeremy Lin)


Permanent Working Papers

       Predicting and Pricing the Probability of Default


Work in Progress

       Endogenous Option Pricing


Research Interest

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