I am at the Federal Reserve Bank of Dallas.
Please contact me at the following address:
alessiosaretto@gmail.com
Education
PhD Finance, UCLA
PhD Mathematical Finance, University of Brescia, Italy
Research links
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Disclaimer: The views of my research papers are solely those of the author(s) and should not be interpreted as reflecting the views of the Federal Reserve System or its staff.
Publications
Review of Financial Studies, 38(6), 1783-1821.
What Fuels the Volatility of Electricity Prices? (with Anastasia Shcherbakova and Jeremy Lin), 2025.
Energy Journal, 46(2), 201-225.
Empirical Bayes Control of the False Discovery Exceedance (with Pallavi Basu, Luella Fu, and Wenguang Sun), 2023.
Journal of Business and Economic Statistics, 42(3),1041-1052.
An Evaluation of Alternative Multiple Testing Methods for Finance Application (with Campbell Harvey and Yan Liu), 2020.
Review of Asset Pricing Studies, 10(2), 199-248. Editor’s choice.
Anomalies and False Rejections (with Tarun Chordia and Amit Goyal), 2020.
Review of Financial Studies, 33(5), 2134-2179.
Growth Options and Credit Risk (with Andrea Gamba), 2020.
Management Science, 66(9), 4269-4291.
Does Hedging with Derivatives Reduce the Cost of Corporate Debt? The Role of Basis Risk (with Sriya Anbil and Heather Tookes), 2019.
Journal of Financial Stability, 41(C), 25-42.
Does Capital Structure Affect the Behavior of Non-financial Stakeholders? An Empirical Investigation into Leverage 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.
BlackRock prize for best paper at the 26th Australasian Banking and Finance Conference.
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. Editor’s choice. [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.
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.
Journal of Financial Markets 12, 391-417.
Working Papers
Real Options, Skewness, and the Pricing of Equity Options (with Andrea Gamba)
Debt Maturity and Commitment on Firm Policies (with Andrea Gamba)
Permanent Working Papers
Work in Progress
Heat Waves and Weather Derivatives
Machine Learning and the Cost and Benefit of False Discovery Control
Storage Risk and Convenience Yields in the Crude Oil Market
Research Interest
Empirical Asset Pricing, Capital Structure, Credit Risk, Structured Finance
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