Research Page of Alexander David


Curriculum Vitae



·        Exploration Activity, Long Run Decisions and the Risk Premium on Energy Futures, Review of Financial Studies, 2019.  Outreach Version of Article   Podcast

·        Imperfect Renegotiations in Interbank Financial Networks with Alfred Lehar, Management Science, 2018

·        Investor and Central Bank Uncertainty  Embedded in Index Options with Pietro Veronesi, Review of Financial Studies, 2014. Online Appendix

·        What Ties Return Volatilities to Price Valuations and Fundamentals?   with Pietro Veronesi, Journal of Political Economy , Vol. 121, No. 4  pp. 682-746, August 2013. Online Appendix    Beliefs and Volatilities Spreadsheet (Updated to 2020:Q4 )

·        Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle Review of Financial Studies, 2008. Appendices B and C  

·        Heterogeneous Beliefs, Speculation, and the Equity Premium   Journal of Finance, 2008.  Appendices C and D

·        Pricing the Strategic Value of Putable Securities in Liquidity Crises Journal of Financial Economics, 2001.

·        Fluctuating Confidence in Stock Markets: Implications for Returns and Volatility Journal of Financial and Quantitative Analysis, 1997.

·        Controlling Information Premia By Repackaging Asset Backed Securities, Journal of Risk and Insurance, 1997.


Current Working Papers

·        A Survey of Alternative Measures of Macroeconomic Uncertainty: Which Measures Forecast Real Variables and Explain Fluctuations in Asset Volatilities Better?, with Pietro Veronesi, 2021.

·        When is the Price of Analysts’ Dispersion Risk Positive?, with Amel Farhat, 2021.

·        What Do CDO Tranche Spreads Tell Us About Credit Availability and Credit Rating Standards?, with Maksim Isakin, 2021.

·        A New Measure of Credit Ratings Manipulation, 2020. Link available soon.


Book Chapters

·       The Economics of the Covariance of Stocks and Bonds, with Pietro Veronesi in Handbook of Fixed Income Securities, Wiley, 2016


Old Working Papers

·        Options Prices with Uncertain Fundamentals with Pietro Veronesi, December 2002.

·        Business Cycle Risk and the Equity Premium, Working Paper, University of California Los Angeles, 1994.

·        A Continuous Time Filter for Tracking Regime Switches,  Working Paper, University of California Los Angeles, 1993

·        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.