Details about Alessio Saretto

Access statistics for papers by Alessio Saretto.

Last updated 2025-09-08. Update your information in the RePEc Author Service.

Short-id: psa1907

Working Papers

2025

1. Debt Maturity and Commitment on Firm Policies
   Working Papers, Federal Reserve Bank of Dallas

2024

2. What Fuels the Volatility of Electricity Prices?
   Working Papers, Federal Reserve Bank of Dallas View citations (1)
   See also Journal Article What Fuels the Volatility of Electricity Prices?, The Energy Journal (2025) (2025)

2022

3. Are Equity Option Returns Abnormal? IPCA Says No
   Working Papers, Federal Reserve Bank of Dallas View citations (1)
4. Endogenous Option Pricing
   Working Papers, Federal Reserve Bank of Dallas

2021

5. Empirical Bayes Control of the False Discovery Exceedance
   Working Papers, Federal Reserve Bank of Dallas

2018

6. p-Hacking: Evidence from Two Million Trading Strategies
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)

2016

7. Does Hedging with Derivatives Reduce the Market's Perception of Credit Risk?
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2010

8. Why Did Auction Rate Bond Auctions Fail During 2007-2008?
   Purdue University Economics Working Papers, Purdue University, Department of Economics View citations (1)

Journal Articles

2025

1. Can Equity Option Returns Be Explained by a Factor Model? IPCA Says Yes
   The Review of Financial Studies, 2025, 38, (6), 1783-1821
2. What Fuels the Volatility of Electricity Prices?
   The Energy Journal, 2025, 46, (2), 201-225
   See also Working Paper What Fuels the Volatility of Electricity Prices?, Working Papers (2024) View citations (1) (2024)

2024

3. An Empirical Bayes Approach to Controlling the False Discovery Exceedance
   Journal of Business & Economic Statistics, 2024, 42, (3), 1041-1052

2020

4. An Evaluation of Alternative Multiple Testing Methods for Finance Applications
   The Review of Asset Pricing Studies, 2020, 10, (2), 199-248 View citations (10)
5. Anomalies and False Rejections
   The Review of Financial Studies, 2020, 33, (5), 2134-2179 View citations (43)
6. Growth Options and Credit Risk
   Management Science, 2020, 66, (9), 4269-4291 View citations (4)

2019

7. How does hedge designation impact the market’s perception of credit risk?
   Journal of Financial Stability, 2019, 41, (C), 25-42 View citations (3)

2014

8. Complex Securities and Underwriter Reputation: Do Reputable Underwriters Produce Better Securities?
   The Review of Financial Studies, 2014, 27, (10), 2872-2925 View citations (22)

2013

9. Corporate Leverage, Debt Maturity, and Credit Supply: The Role of Credit Default Swaps
   The Review of Financial Studies, 2013, 26, (5), 1190-1247 View citations (119)

2010

10. Auction failures and the market for auction rate securities
    Journal of Financial Economics, 2010, 97, (3), 451-469 View citations (13)

2009

11. Cross-section of option returns and volatility
    Journal of Financial Economics, 2009, 94, (2), 310-326 View citations (104)
12. Option strategies: Good deals and margin calls
    Journal of Financial Markets, 2009, 12, (3), 391-417 View citations (61)