Alessio Saretto

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


“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
“Auction Failures and the Pricing of Auction Rate Securities” with John McConnell, 2010, Journal  of Financial Economics, 97, 451-469. 2010 - Publication
“Cross-Section of Option Returns and Volatility”  with Amit Goyal,  2009,  Journal of Financial  Economics, 94, 310-326. 2009 - Publication
Option Strategies: Good Deals and Margin Calls with Pedro Santa-Clara, 2009, Journal of Financial Markets, 12, 391-417. 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

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)
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) 
Professional Service
Ad-hoc referee: Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Futures  Markets, Financial Review, Economic Notes, Annals of Finance