Research Page of Alexander David
Curriculum Vitae
Publications
1. Inflation
Uncertainty,
Asset Valuations, and the Credit Spreads Puzzle Review of Financial
Studies, 2008. Appendices
B and C
2. Heterogeneous
Beliefs, Speculation, and the Equity Premium Journal of
Finance, 2008. Appendices
C and D
3. Pricing the Strategic Value of
Putable
Securities in Liquidity Crises Journal of Financial Economics,
2001.
4. Fluctuating
Confidence in Stock Markets: Implications for Returns and Volatility
Journal of Financial and Quantitative Analysis,
1997.
5. Controlling
Information Premia By Repackaging Asset Backed Securities, Journal
of Risk and Insurance, 1997.
Working Papers
1. Macroeconomic
Uncertainty
and Fear Measures Extracted From Index Options with Pietro
Veronesi, March 2009.
2. Interbank
Hedging and Systemic
Risk: The Role of Renegotiation Breakdowns with Alfred Lehar,
November 2008.
3. Inflation
and Earnings Uncertainty and Volatility Forecasts: A Structural Form
Approach
with Pietro Veronesi, March 2008.
4. Options
Prices with Uncertain
Fundamentals with Pietro Veronesi,
December 2002.
5."Business Cycle Risk and the Equity Premium," Working Paper,
University of California Los Angeles, 1994.
6. "A Continuous Time Filter for Tracking Regime Switches",
Working Paper, University of California Los Angeles, 1993.
7. "Cyclical Fluctuations in Uncertainty: An Application to the Premium
on Equities", Working Paper, University of California Los
Angeles, 1992, with Joseph Ostroy, Seongwan Oh, and Kwanho Shin.