Alessio
Saretto
Assistant Professor of Finance
Krannert School of Management
Purdue University
403 West State Street
West Lafayette, IN, 47907-2056
e-mail: asaretto@purdue.edu
Phone: 765-496-7591
Fax:
765-496-1778
Education
PhD Finance, UCLA (2006)
PhD Mathematical Finance, University of Brescia, Italy (2002)
Publications
Auction Failures and the Market for Auction Rate Securities (with John McConnell), forthcoming in Journal of Financial Economics.
Cross-Section of Option Returns and Volatility (with Amit Goyal), forthcoming in Journal of Financial Economics.
Option Strategies: Good Deals and Margin Calls (with Pedro Santa-Clara), 2009, Journal of Financial Markets 12, 391-417 .
Working Papers
Shareholder Base and Product Market Sales (with Laura Frieder and Heather Tookes)
Research Interest
Empirical Asset Pricing, Derivatives