Alessio Saretto

Assistant Professor - Management
Tags: Financial & Managerial Economics

Professional Preparation

Ph.D. - Finance
University of California, Los Angeles - 2006
Ph.D. - Mathematical Finance
University of Brescia - 2002
M.A. - International Economics
Catholic University of Milan - 1999

Research Areas

Research Interest

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


“Auction Failures and the Pricing of Auction Rate Securities” with John McConnell, 2010, Journal  of Financial Economics, 97, 451-469. 2010 - Publication
“Why Did Auction Rate Bond Auctions Fail during 2007-2008?”  with Baixiao Liu and John  McConnell, 2010, Journal of Fixed Income, 20, 5-18. 2010 - Publication
Option Strategies: Good Deals and Margin Calls with Pedro Santa-Clara, 2009, Journal of Financial Markets, 12, 391-417. 2009 - Publication
“Cross-Section of Option Returns and Volatility”  with Amit Goyal,  2009,  Journal of Financial  Economics, 94, 310-326. 2009 - Publication


Assistant Professor
University of Texas at Dallas [2012–Present]
School of Management
Visiting Assistant Professor
University of Texas at Austin [2010–2012]
McCombs School of Business
Assistant Professor
Purdue University [2006–2010]
Krannert School of Management
Visiting Instructor
Purdue University [2005–2006]
Krannert School of Management

Additional Information

Teaching Experience
Purdue Mgmt 411: Investments (upper level undergraduate). 
  • Purdue Mgmt 641: Options and Futures (2nd year MBA elective). 
  • Purdue Mgmt 671: Asset Pricing Theory (PhD Seminar). 
  • Purdue Mgmt 691: Asset Pricing Empirical (PhD Seminar). 
  • Purdue Mgmt 571: Student Managed Investment Fund (MBA Seminar). 
  • UT Fin 367: Investment Management (upper level undergraduate). 
  • UT Fin 397-1: Investment Theory and Practice (2nd year MBA) 
  • UT Fin 397-4: Energy Risk Management (2nd year MBA) 
Served as committee member for the following Purdue PhD students: 
  • Matt Cain (2007 Notre Dame) 
  • Rachel Diana (2009 Penn State) 
  • Nestor Rodriguez (2010 Purdue, Agricultural Economics) 
Served as Faculty advisor to the Purdue Student Managed Investment Fund (2007 – 2009) 
Awards and Honors
  • Associate at Credit Suisse First Boston (2001): proprietary equity trading desk, London. 
  • Consulting projects 
    • Unicredit (2003): helped developing and implementing a model to price the recovery value of defaulted commercial loans 
    • Dorchester Capital (2004): developed a statistical model to evaluate the value added by hedge fund managers through market timing and style picking 
Awards and Honors
  • BSI Gamma Foundation Research Grant (2008)
  • CIBER Purdue International Research and Curriculum Development Award (2006)
  • UCLA Regents Fellowship (2001-2004)University of Verona Post-Doctoral Research Fellowship (2002)
  • University of Brescia Fellowship (1998-2001)
  • Research Grant in the Field of Finance (Banca Popolare di Verona, 1999-2000)