Economists

Alessio Saretto

Senior Research Economist and Advisor
Federal Reserve Bank of Dallas

Alessio Saretto is a senior research economist and advisor at the Federal Reserve Bank of Dallas. Before joining the Dallas Fed in 2021, he held positions in finance departments at Purdue University, the University of Texas at Austin, the University of Texas at Dallas and Washington University in St. Louis. He holds a PhD in applied mathematics from the University of Brescia and a PhD in finance from the University of California at Los Angeles.

Publications

“An Evaluation of Alternative Multiple Testing Methods for Finance Applications,” with Campbell Harvey and Yan Liu, The Review of Asset Pricing Studies, vol. 10, no. 2, 2020, pp. 199–248. https://doi.org/10.1093/rapstu/raaa003.
“Anomalies and False Rejections,” with Tarun Chordia and Amit Goyal, The Review of Financial Studies, vol. 33, no. 5, 2020, pp. 2134–79. https://doi.org/10.1093/rfs/hhaa018.
“Growth Options and Credit Risk,” with Andrea Gamba, Management Science, vol. 66, no. 9, 2020, pp. 4269–91. https://doi.org/10.1287/mnsc.2019.3387.
“How Does Hedge Designation Impact the Market's Perception of Credit Risk?” with Sriya Anbil and Heather Tookes, Journal of Financial Stability, vol. 41, 2019, pp. 25–42. https://doi.org/10.1016/j.jfs.2019.01.001.
“Does Capital Structure Affect the Behavior of Nonfinancial Stakeholders? An Empirical Investigation into Leverage and Union Strikes,” with Brett Myers, Management Science, vol. 62, no. 11, 2016, pp. 3235–53. https://doi.org/10.1287/mnsc.2015.2267.
“Complex Securities and Underwriter Reputation: Do Reputable Underwriters Produce Better Securities?” with John Griffin and Richard Lowery, The Review of Financial Studies, vol. 27, no. 10, 2014, pp. 2872–925. https://doi.org/10.1093/rfs/hhu030.
“Corporate Leverage, Debt Maturity and Credit Supply: The Role of Credit Default Swaps,” with Heather Tookes, The Review of Financial Studies, vol. 26, no. 5, 2013, pp. 1190–247. https://doi.org/10.1093/rfs/hht007.
“Why Did Auction Rate Bond Auctions Fail during 2007-2008?” with Baixiao Liu and John McConnell, The Journal of Fixed Income, vol. 20, no. 2, 2010, pp. 5–18. https://doi.org/10.3905/jfi.2010.20.2.005.
“Auction Failures and the Market for Auction Rate Securities,” with John McConnell, Journal of Financial Economics, vol. 97, no. 3, 2010, pp. 451–69. https://doi.org/10.1016/j.jfineco.2010.02.003.
“Cross-Section of Option Returns and Volatility,” with Amit Goyal, Journal of Financial Economics, vol. 94, no. 2, 2009, pp. 310–26. https://doi.org/10.1016/j.jfineco.2009.01.001.
“Option Strategies: Good Deals and Margin Calls,” with Pedro Santa-Clara, Journal of Financial Markets, vol. 12, no. 3, 2009, pp. 391–417. https://doi.org/10.1016/j.finmar.2009.01.002.

Working Papers

“Endogenous Option Pricing,” with Andrea Gamba.
“The Agency Component of Credit Spreads,” with Andrea Gamba.
“What Fuels the Volatility of Electricity Prices?” with Anastasia Shcherbakova and Jeremy Lin.
“The Trust Alternative,” with Indraneel Chakraborty and Malcolm Wardlaw.
“Predicting and Pricing the Probability of Default”