Marco Sammon

SCHOLARLY PAPERS

12

DOWNLOADS

1,614

SSRN CITATIONS

92

CROSSREF CITATIONS

3

Scholarly Papers (12)

1.

Retail Investors’ Contrarian Behavior Around News and the Momentum Effect

Number of pages: 53 Posted: 05 Apr 2020 Last Revised: 03 Dec 2020
affiliation not provided to SSRN, Federal Reserve Bank of Chicago, Kellogg School of Management - Department of Finance and Harvard Business School - Finance Unit
Downloads 384 (93,036)
Citation 3

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Retail Investors; Momentum; Earnings Surprises

2.

Trade Policy Uncertainty and Stock Returns

Number of pages: 39 Posted: 14 Mar 2019 Last Revised: 23 Jul 2020
Tufts University - Department of Economics, Tufts University - Department of Economics and Kellogg School of Management - Department of Finance
Downloads 313 (116,589)
Citation 7

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trade policy, uncertainty, stock returns, risk premium

3.

Implied Volatility and the Risk-Free Rate of Return in Options Markets

North American Journal of Economics and Finance, 31, 2015
Number of pages: 40 Posted: 29 Jan 2014 Last Revised: 01 May 2015
Tufts University - Department of Economics, Tufts University and Kellogg School of Management - Department of Finance
Downloads 178 (202,006)

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re-pricing options, forecasting volatility, seemingly unrelated regression, implied volatility

4.

Passive Ownership and Price Informativeness

Number of pages: 61 Posted: 27 Nov 2018 Last Revised: 06 Jan 2021
Marco Sammon
Downloads 173 (207,024)
Citation 2

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Passive Ownership, ETFs, Market Efficiency

5.

The Unprecedented Stock Market Impact of Covid-19

NBER Working Paper No. w26945
Number of pages: 24 Posted: 06 Apr 2020 Last Revised: 17 Apr 2020
Northwestern University, Kellogg School of Management, Department of Finance, Stanford University - Department of Economics, University of Chicago, University of Chicago, Kellogg School of Management - Department of Finance and University of Pennsylvania
Downloads 121 (275,783)
Citation 78

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6.

Pricing Dollar Strength Risk

Number of pages: 67 Posted: 27 Sep 2016 Last Revised: 15 Aug 2017
Marcelo Bianconi and Marco Sammon
Tufts University - Department of Economics and Kellogg School of Management - Department of Finance
Downloads 116 (284,308)

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factor models, global risk, momentum, exposure

7.

What Triggers Stock Market Jumps?

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-42
Number of pages: 76 Posted: 09 Apr 2021
Northwestern University, Stanford University - Department of Economics, University of Chicago and Kellogg School of Management - Department of Finance
Downloads 92 (336,715)

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stock market jumps, policy news, market clarity, market volatility, uncertainty, newspapers, human classification

8.
Downloads 73 (380,851)
Citation 4

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9.
Downloads 66 (402,066)

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customer base, customers, transaction data, customer churn

10.

ETFs, Learning, and Information in Stock Prices

Number of pages: 74 Posted: 04 May 2020 Last Revised: 04 Aug 2020
Marco Sammon
Downloads 62 (415,202)

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Asset Pricing, Information Choice

11.

Measuring Customer Churn and Interconnectedness

NBER Working Paper No. w27707
Number of pages: 56 Posted: 17 Aug 2020 Last Revised: 17 Mar 2021
Scott R. Baker, Brian Baugh and Marco Sammon
Downloads 29 (556,693)

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12.

What Triggers Stock Market Jumps?

NBER Working Paper No. w28687
Number of pages: 76 Posted: 19 Apr 2021 Last Revised: 24 Apr 2021
Downloads 7 (708,338)
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