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  4. Alejandro Bernales

Alejandro Bernales

  • Profesor Asociado
    Formación Académica

  • Ph.D. en Finanzas, The Univerisity of Manchester, Manchester, Inglaterra
    Magister en Ciencias de la Ingeniería, Pontificia Universidad Católica, Santiago, Chile
    Ingeniero Civil Industrial, Pontificia Universidad Católica, Santiago, Chile

    Biografía

  • Ingeniero Civil Industrial, Pontificia Universidad Católica, Santiago, Chile
    Profesor Asociado, Departamento de Administración, Facultad de Economía y Negocios de la Universidad de Chile. Sus áreas de Especilización son: Valorización de Activos, Derivados, Microestructura, Macro Finanzas y Economía de la Energía.

    Campos de Investigación
  • Valorización de Activos, Derivados, Microestructura, Macro Finanzas y Economía de la Energía.
Publicaciones en Revistas con Comité Editorial
● 2024 (Forthcoming) / Aggregate Risk and Lending Decisions in the Interbank Market / JOURNAL OF MONEY CREDIT AND BANKING -
● 2024 / Trader Competition in Fragmented Markets: Liquidity Supply Versus Picking-Off Risk / JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS -
● 2023 / Blue-Collar Crime and Finance / Journal of International Financial Markets Institutions & Money - Vol. 83
● 2022 / Speculative bubbles under supply constraints, background risk and investment fraud in the art market / JOURNAL OF CORPORATE FINANCE - Vol. 77
● 2021 / The effect of environmental policies on risk reductions in energy generation / JOURNAL OF ECONOMIC DYNAMICS AND CONTROL - Vol. 126
● 2020 / Do investors follow the herd in option markets? / JOURNAL OF BANKING & FINANCE - Vol. 119
● 2020 / What do we know about individual equity options? / JOURNAL OF FUTURES MARKETS - Vol. 40, No. 1
● 2020 / Learning and Index Option Returns / Journal of Business & Economic Statistics - Vol. 38, No. 2
● 2019 / Make-Take Decisions under High-Frequency Trading Competition / JOURNAL OF FINANCIAL MARKETS - Vol. 45
● 2018 / Bid-ask spread and liquidity searching behaviour of informed investors in option markets / Finance Research Letters - Vol. 25
● 2017 / The success of option listings / Journal of Empirical Finance - Vol. 40
● 2017 / Learning and forecasts about option returns through the volatility risk premium / JOURNAL OF ECONOMIC DYNAMICS AND CONTROL - Vol. 82
● 2016 / CVaR Constrained Planning of Renewable Generation with Consideration of System Inertial Response, Reserve Services and Demand Participation / ENERGY ECONOMICS - Vol. 59
● 2015 / Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface? / JOURNAL OF FINANCIAL MARKETS - Vol. 26
● 2014 / Thinly Traded Securities and Risk Management / Estudios de Economia - Vol. 41, No. 1
● 2014 / Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests / JOURNAL OF BANKING & FINANCE - Vol. 46, No. 1
Capítulos de libros
● 2013 / The Effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Derivatives and Credit Default Swaps
Research Monographs
● 2020 / Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk / No. 234
● 2018 / Art Market Bubbles, Limited Art Supply and Collectors' Wealth
● 2017 / Blue-Collar Crime and Finance
● 2017 / The Effect of Environmental Policies on Risk Reductions in Energy Generation
● 2017 / A Tale of One Exchange and Two Order Books: Effects of Fragmentation in the Absence of Competition / No. 234
● 2013 / The Effects of Asymmetric Information on the Adoption of Equity Options / No. 484
● 2012 / Learning How to Smile: Can Rational Learning Explain the Predictable Dynamics in the Implied Volatility Surface?
● 2012 / Risk Management with Thinly Traded Securities: Methodology and Implementation
● 2012 / Can We Forecast the Implied Volatility Surface Dynamics for CBOE Equity Options? / Vol. 456
● 2011 / Diffusion of the Financial Innovation and Learning dynamics with Asymmetric Information: The Case of Stock Option Listings
● 2009 / Value-at-Risk in Emerging Fixed-Income Markets with Incomplete Panels of Prices: A No-Arbitrage Term-Structure Model Approach
Columna de Opinión
● 2020 / EE.UU., el acuerdo climático de París y los beneficios económicos
● 2017 / Mensaje a Trump sobre la salida de Estados Unidos del acuerdo de París
● 2017 / Nuevos enfoques en el tema de las pensiones
● 2017 / ¿Por qué las AFPs podrían no estar invirtiendo bien las pensiones de los chilenos?
Academic/Professional meeting Presentations
● 2022 / Decomposing Asymmetric Information in Equity Options: Underlying Stock Value and Volatility Information Components
Competitive Research Awards Received
● 2024 / Climate Change and Neighboring Effects: Exploring their Impact on International Migration / No. 1.240.312
● 2023 / Understanding Information Effects on Market Activity, and Market Activity Effects on Information / No. 1.231.660
● 2023 / On Financial Government Policies and Group Effects / No. 1.231.630
● 2019 / The effect of information flows on investment decisions and financial stability
● 2019 / Financial Decisions under Market Frictions: Funding Decisions and Investment Planning
● 2014 / Market Dynamics: Inter-Bank Markets And Centralized Multi-Markets / No. 11.140.628