Hitesh Doshi

University of Houston - C.T. Bauer College of Business

Houston, TX 77204-6021

United States

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 13,230

SSRN RANKINGS

Top 13,230

in Total Papers Downloads

4,892

SSRN CITATIONS
Rank 7,776

SSRN RANKINGS

Top 7,776

in Total Papers Citations

85

CROSSREF CITATIONS

83

Scholarly Papers (17)

1.

Managerial Activeness and Mutual Fund Performance

Review of Asset Pricing Studies, Forthcoming
Number of pages: 44 Posted: 20 Apr 2014 Last Revised: 09 May 2015
Hitesh Doshi, Redouane Elkamhi and Mikhail Simutin
University of Houston - C.T. Bauer College of Business, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 1,151 (24,238)
Citation 17

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Mutual fund performance, Portfolio management, closet indexing

2.
Downloads 854 ( 36,871)
Citation 58

Precarious Politics and Return Volatility

Number of pages: 49 Posted: 18 Dec 2008 Last Revised: 28 Jul 2011
University of Edinburgh, University of Houston - C.T. Bauer College of Business, University of Iowa - Henry B. Tippie College of Business and Massey University
Downloads 723 (45,582)
Citation 9

Abstract:

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Politics, Volatility

Precarious Politics and Return Volatility

Review of Financial Studies, Forthcoming
Number of pages: 49 Posted: 27 Jul 2011
University of Edinburgh, University of Iowa - Henry B. Tippie College of Business, University of Houston - C.T. Bauer College of Business and Massey University
Downloads 131 (281,918)
Citation 16

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3.

Leverage and the Cross-Section of Equity Returns

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 10 Sep 2014 Last Revised: 16 Sep 2018
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business, University of Houston - Department of Finance and University of Houston - Department of Finance
Downloads 644 (53,908)
Citation 6

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Leverage; unlevered equity returns; asset beta; value premium; size discount; volatility puzzle; heteroskedasticity

4.

On Pricing Credit Default Swaps with Observable Covariates

Number of pages: 49 Posted: 02 Jul 2011 Last Revised: 16 Mar 2012
University of Houston - C.T. Bauer College of Business, McGill University, University of Houston - C.T. Bauer College of Business and University of Houston - C.T. Bauer College of Business
Downloads 307 (129,331)
Citation 17

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credit default swap, no-arbitrage, observable covariates, volatility, leverage, distance-to-default

5.

Synthetic Options and Implied Volatility for the Corporate Bond Market

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 51 Posted: 01 Nov 2021 Last Revised: 02 Dec 2021
Texas A&M International University, University of Houston - C.T. Bauer College of Business and University of Wisconsin - Madison
Downloads 306 (129,790)

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synthetic options, corporate bond index, option-implied moments, credit risk models

6.

Uncertainty, Capital Investment, and Risk Management

Forthcoming, Management Science
Number of pages: 43 Posted: 25 Aug 2013 Last Revised: 03 Apr 2017
Hitesh Doshi, Praveen Kumar and Vijay Yerramilli
University of Houston - C.T. Bauer College of Business, University of Houston - Department of Finance and University of Houston, C. T. Bauer College of Business
Downloads 281 (141,933)
Citation 3

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Uncertainty; capital investment; hedging; real options; financial frictions

7.

Macroeconomic Determinants of the Term Structure: Long-Run and Short-Run Dynamics

Journal of Empirical Finance, Vol. 48, 2018
Number of pages: 50 Posted: 07 Feb 2015 Last Revised: 07 Jul 2020
Hitesh Doshi, Kris Jacobs and Rui Liu
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business and Duquesne University - Palumbo Donahue School of Business
Downloads 221 (179,735)

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term structure; inflation; real activity growth; long-run component; filtering

8.

Never a Dull Moment: Entropy Risk in Commodity Markets

Number of pages: 59 Posted: 14 Dec 2018 Last Revised: 06 Mar 2020
University of Massachusetts Amherst - Isenberg School of Management, University of Houston - C.T. Bauer College of Business and Baylor University - Hankamer School of Business
Downloads 201 (196,411)

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commodity returns; entropy; options; risk premium

9.

Economic and Financial Determinants of Credit Risk Premiums in the Sovereign CDS Market

Number of pages: 43 Posted: 14 Mar 2014 Last Revised: 30 Oct 2014
Hitesh Doshi, Kris Jacobs and Carlos Zurita
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business and University of Houston - Bauer College of Business
Downloads 195 (201,831)
Citation 6

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credit default swap; sovereign risk; risk premiums; economic determinants; financial crisis

10.

Pricing Structured Products with Economic Covariates

Number of pages: 52 Posted: 20 Dec 2015 Last Revised: 21 Feb 2019
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business and University of Houston - C.T. Bauer College of Business
Downloads 186 (210,549)
Citation 1

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structured product, collateralized debt obligation, tranche pricing, economic determinants, risk premiums

11.

Information in the Term Structure: A Forecasting Perspective

Number of pages: 54 Posted: 23 May 2015 Last Revised: 07 Jul 2020
Hitesh Doshi, Kris Jacobs and Rui Liu
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business and Duquesne University - Palumbo Donahue School of Business
Downloads 133 (279,227)
Citation 1

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term structure; forecasting; loss function; state variables; hidden factor

12.

Uncertain linguistic tone and credit default swap spreads

Number of pages: 43 Posted: 08 Jan 2019 Last Revised: 13 Jun 2021
University of Houston - C.T. Bauer College of Business, Ivey Business School, Western University, affiliation not provided to SSRN and Richard Ivey School of Business - University of Western Ontario
Downloads 126 (289,217)
Citation 1

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Textual Analysis, Default Risk, Uncertainty, Tone, Accounting Disclosure

13.

What Interbank Rates Tell Us About Time-Varying Disaster Risk

Number of pages: 58 Posted: 23 Oct 2019 Last Revised: 23 Jul 2021
Hitesh Doshi, Hyung Joo Kim and Sang Byung Seo
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business and University of Wisconsin - Madison
Downloads 89 (365,742)

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economic disasters, time-varying disaster risk, interbank rates, interbank rate options, maximum likelihood estimation, extended Kalman filter

14.

The Term Structure of Expected Recovery Rates

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 62 Posted: 14 Aug 2018
University of Houston - C.T. Bauer College of Business, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 73 (410,575)
Citation 2

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Credit Default Swaps (CDS); Stochastic Recovery; Term Structure Seniority; No-Arbitrage

15.

Asset Variance Risk and Compound Option Prices

Number of pages: 54 Posted: 14 Jul 2021
University of Houston - C.T. Bauer College of Business, McGill University, HEC Montreal and University of Wisconsin - Madison
Downloads 70 (420,030)

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16.

Corporate Hedging, Investment, and Higher Moments of Stock Returns

Number of pages: 48 Posted: 06 Dec 2021
Hitesh Doshi, Praveen Kumar and Virgilio Zurita
University of Houston - C.T. Bauer College of Business, University of Houston - Department of Finance and Baylor University - Hankamer School of Business
Downloads 29 (598,773)

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Hedging; Investment, Option Prices, Risk Management, Skewness

17.

Modeling Volatility in Dynamic Term Structure Models

Number of pages: 54 Posted: 12 Feb 2021
Hitesh Doshi, Kris Jacobs and Rui Liu
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business and Duquesne University - Palumbo Donahue School of Business
Downloads 26 (617,836)

Abstract:

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term structure; stochastic volatility; GARCH.