G. William Schwert : Citation Profile

Are you G. William Schwert?

University of Rochester (50% share)
National Bureau of Economic Research (NBER) (50% share)

32

H index

41

i10 index

9206

Citations

RESEARCH PRODUCTION:

44

Articles

28

Papers

2

Chapters

RESEARCH ACTIVITY:

   45 years (1977 - 2022). See details.
   Cites by year: 204
   Journals where G. William Schwert has often published
   Relations with other researchers
   Recent citing documents: 330.    Total self citations: 16 (0.17 %)

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   Permalink: http://citec.repec.org/psc116
   Updated: 2024-12-03    RAS profile: 2024-03-06    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with G. William Schwert.

Is cited by:

Bollerslev, Tim (73)

GUPTA, RANGAN (64)

Renneboog, Luc (52)

Campbell, John (50)

Andersen, Torben (48)

Bekaert, Geert (45)

Ghysels, Eric (42)

Diebold, Francis (39)

Degiannakis, Stavros (38)

Wohar, Mark (36)

Nelson, Charles (35)

Cites to:

Ritter, Jay (11)

Ljungqvist, Alexander (8)

Campbell, John (7)

Hanley, Kathleen (5)

French, Kenneth (5)

Shiller, Robert (4)

Christie, William (4)

Lowry, Michelle (3)

Stambaugh, Robert (3)

Grossman, Sanford (3)

Fama, Eugene (3)

Main data

Where G. William Schwert has published?

Journals with more than one article published# docs
Journal of Financial Economics12
Journal of Finance8
Carnegie-Rochester Conference Series on Public Policy5
Journal of Monetary Economics3
Journal of Political Economy2
Journal of Econometrics2
The Journal of Business2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc19

Recent works citing G. William Schwert (2024 and 2023)

YearTitle of citing document
2023The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984.

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2023Information Transmission between Banks and the Market for Corporate Control. (2023). Saidi, Farzad ; Pala, Melissa ; Fecht, Falko ; Bittner, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:250.

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2024What Determines Equity Returns in Emerging Markets?. (2024). Foye, James. In: CAFE Working Papers. RePEc:akf:cafewp:29.

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2024Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434.

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2024Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (2022). Marcellino, Massimiliano ; Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2211.04752.

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2024Security Issuance, Institutional Investors and Quid Pro Quo: Insights from SPACs. (2022). Aryal, Gaurab ; Yung, Chris ; Yao, Yuchi ; Chen, Zhaohui. In: Papers. RePEc:arx:papers:2211.16643.

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2023Bitcoin Does Not Hedge Inflation. (2023). Pinchuk, Mykola. In: Papers. RePEc:arx:papers:2301.10117.

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2023Utility-based indifference pricing of pure endowments in a Markov-modulated market model. (2023). Salterini, Benedetta ; Cretarola, Alessandra. In: Papers. RePEc:arx:papers:2301.13575.

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2023Physical Momentum in the Indian Stock Market. (2023). Das, Tulasi Narendra ; Devulapally, Naresh Kumar. In: Papers. RePEc:arx:papers:2302.13245.

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2023Stock Broad-Index Trend Patterns Learning via Domain Knowledge Informed Generative Network. (2023). Wang, Guiling ; Deek, Fadi P ; Gu, Jingyi. In: Papers. RePEc:arx:papers:2302.14164.

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2023Predicting Stock Price Movement as an Image Classification Problem. (2023). Steinbacher, Matej. In: Papers. RePEc:arx:papers:2303.01111.

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2023Optimal Investment and Consumption Strategies with General and Linear Transaction Costs under CRRA Utility. (2023). Zhang, Qiang ; Miao, Yingting. In: Papers. RePEc:arx:papers:2304.07672.

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2023Stock Price Predictability and the Business Cycle via Machine Learning. (2023). Fan, Xiuyi ; Fu, Hsuan ; Wang, Lirong. In: Papers. RePEc:arx:papers:2304.09937.

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2024Maximally Machine-Learnable Portfolios. (2023). Goebel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2306.05568.

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2024An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics. (2023). Ventre, Carmine ; Polukarov, Maria ; Cao, YI ; Li, Haochen. In: Papers. RePEc:arx:papers:2308.14235.

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2024Regret-Optimal Federated Transfer Learning for Kernel Regression with Applications in American Option Pricing. (2023). Lucchi, Aurelien ; Grasselli, Matheus ; Krach, Florian ; Kratsios, Anastasis ; Yang, Xuwei. In: Papers. RePEc:arx:papers:2309.04557.

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2024Information-Enriched Selection of Stationary and Non-Stationary Autoregressions using the Adaptive Lasso. (2024). Arnold, Martin C ; Reinschlussel, Thilo. In: Papers. RePEc:arx:papers:2402.16580.

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2024Do Weibo platform experts perform better at predicting stock market?. (2024). Chochlov, Muslim ; Buckley, Jim ; Ryan, Conor ; Ma, Ziyuan. In: Papers. RePEc:arx:papers:2403.00772.

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2023Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303.

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2023Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309.

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2023.

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2023Excess Asset Returns Predictability in an Emerging Economy: The Case of Colombia. (2023). Sarmiento, Eduardo ; López, Martha. In: Borradores de Economia. RePEc:bdr:borrec:1243.

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2023Audit Effort and Stock Price Crash Risk. (2023). Zhou, Wei ; Wu, Liansheng ; Luo, Wei ; Han, Xiaomei. In: Abacus. RePEc:bla:abacus:v:59:y:2023:i:1:p:230-257.

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2024Accounting for Inflation: The Dog That Didnt Bark. (2024). Ball, Ray. In: Abacus. RePEc:bla:abacus:v:60:y:2024:i:1:p:1-12.

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2023Sarbanes?Oxley Act and the acquisition of private targets. (2021). Hossain, Ashrafee T ; Bhabra, Harjeet S. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:1457-1487.

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2023IPO suspension and pricing: Evidence from China. (2023). Shen, Zhe ; Zhao, Junkun ; Huang, Yong. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:5:p:5143-5182.

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2024The effect of auditor experience on stock price crash risk. (2024). Zhang, Bikun ; Li, Si Ying ; Wang, Liangcheng ; Peng, Tao. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:411-444.

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2024The disciplinary role of unsuccessful takeovers and changes in corporate governance. (2024). Zu, Yanglan ; Shan, Yaowen ; Bugeja, Martin. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:941-973.

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2023The Impact of the Tone of a Prospectus on IPO Underpricing: Evidence from China. (2023). Chi, Qinwei ; Qi, Jun ; Ouyang, Junyan. In: Australian Accounting Review. RePEc:bla:ausact:v:33:y:2023:i:4:p:375-390.

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2023Americas decoupling from China: A perspective from stock markets. (2023). Liu, Kerry. In: Economic Affairs. RePEc:bla:ecaffa:v:43:y:2023:i:1:p:32-52.

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2024Do markets Trump politics? Fossil and renewable market reactions to major political events. (2024). Sterner, Thomas ; Mukanjari, Samson. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:2:p:805-836.

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2023Auctions versus bookbuilding: The effects of IPO regulation in Japan. (2023). Weber, Matthias ; Lehmann, Timo. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:1:p:117-141.

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2023Understanding the transmission of crash risk between cryptocurrency and equity markets. (2023). Corbet, Shaen ; Liu, Zhifeng ; Toan, Luu Duc ; Goodell, John W ; Dai, Pengfei. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:3:p:539-573.

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2023Average skewness in global equity markets. (2023). Kirli, Imra ; Gunaydin, Doruk A ; Demirtas, Ozgur K ; Atilgan, Yigit. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:245-271.

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2023The consequences of earnings management for the acquisition premium in friendly takeovers. (2023). Spadetti, Cedric ; Missonierpiera, Franck. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:50:y:2023:i:1-2:p:308-334.

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2023Macroeconomic News in Asset Pricing and Reality. (2023). Duffee, Gregory R. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1499-1543.

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2023How Wealthy are the Rich?. (2023). Milaković, Mishael ; Schulz, Jan. In: Review of Income and Wealth. RePEc:bla:revinw:v:69:y:2023:i:1:p:100-123.

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2023Oil and the Stock Market Revisited: A mixed functional VAR approach. (2023). Bjørnland, Hilde ; Cross, Jamie L ; Chang, Yoosoon ; Bjrnland, Hilde C. In: Working Papers. RePEc:bny:wpaper:0114.

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2023The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets. (2023). Bachmair, K. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2303.

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2023Macroeconomic Expectations and State-Dependent Factor Returns. (2023). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10720.

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2023Do investors care about carbon risk? The impact of the Paris agreement on the inflation hedging performance of commodities. (2023). Selmi, Refk. In: Economics Bulletin. RePEc:ebl:ecbull:eb-22-00030.

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2023Education, employment, and labor force participation in the United States. (2023). Emerson, Jamie. In: Economics Bulletin. RePEc:ebl:ecbull:eb-23-00244.

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2023Who bears the costs of inflation? Euro area households and the 2021–2022 shock. (2023). Paz-Pardo, Gonzalo ; Pallotti, Filippo ; Violante, Giovanni L ; Tristani, Oreste ; Slacalek, Jiri. In: Working Paper Series. RePEc:ecb:ecbwps:20232877.

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2023The Dynamic Relationship among Domestic Stock Returns Volatility, Oil Prices, Exchange Rate and Macroeconomic Factors of Investment. (2023). Irmak, Esma ; Pelit, Irem ; Said, Laila Refiana ; Shabbir, Malik Shahzad. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-03-62.

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2024Privileged information access, analyst consensus building, and stock return volatility: Evidence from the JOBS Act. (2024). Wang, Isabel Yanyan ; Kimbrough, Michael D ; Jin, Shunyao. In: Advances in accounting. RePEc:eee:advacc:v:64:y:2024:i:c:s0882611023000883.

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2023International spillovers of U.S. monetary uncertainty and equity market volatility to China’s stock markets. (2023). Lee, Chi-Chuan. In: Journal of Asian Economics. RePEc:eee:asieco:v:84:y:2023:i:c:s1049007822001312.

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2023Is the effect of shared auditors driven by shared audit partners? The case of M&As. (2023). Bond, David ; Czernkowski, Robert ; Bugeja, Martin ; Bedford, Anna. In: The British Accounting Review. RePEc:eee:bracre:v:55:y:2023:i:2:s0890838922000294.

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2023Hurst exponent dynamics of S&P 500 returns: Implications for market efficiency, long memory, multifractality and financial crises predictability by application of a nonlinear dynamics analysis framewo. (2023). Vogl, Markus. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:166:y:2023:i:c:s0960077922010633.

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2023Syndicate structure and IPO outcomes: The impact of underwriter roles and syndicate concentration. (2023). King, Michael R ; Dunbar, Craig G. In: Journal of Corporate Finance. RePEc:eee:corfin:v:79:y:2023:i:c:s0929119923000317.

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2023The world cup in football and the US IPO market. (2023). Shekhar, Chander ; Lv, Jin Roc ; Fjesme, Sturla Lyngnes. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000597.

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2023Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density. (2023). Jach, Agnieszka ; McElroy, Tucker S. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:177:y:2023:i:c:s0167947322001608.

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2023Interest rate changes and the cross-section of global equity returns. (2023). Long, Huaigang ; Bianchi, Robert J ; Cakici, Nusret ; Zaremba, Adam. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188923000027.

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2023Acquiring for innovation: Evidence from the U.S. technology industry. (2023). Schiereck, Dirk ; Kaufmann, Mattheo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:152:y:2023:i:c:s0165188923000799.

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2024Risks and risk premia in the US Treasury market. (2024). Sarno, Lucio ; Zinna, Gabriele ; Li, Junye. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s016518892300194x.

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2023The Effect of ESG performance on the stock market during the COVID-19 Pandemic — Evidence from Japan. (2023). Lu, Changrong ; Nemoto, Naoko ; Liu, Lian. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:702-712.

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2023Network centrality and technology acquisitions: Evidence from Chinas listed business groups. (2023). Cai, Jiayao ; Hai, Mengdie ; Xing, Fei. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322004187.

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2023A regime-switching model of stock returns with momentum and mean reversion. (2023). Zakamulin, Valeriy ; Giner, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000494.

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2023Testing for integration and cointegration when time series are observed with noise. (2023). Pelagatti, Matteo ; Parisio, Lucia ; Maranzano, Paolo ; Gianfreda, Angelica. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001645.

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2023Risk-return tradeoff and serial correlation in the Chinese stock market: A bailout-driven crash feedback hypothesis. (2023). Yang, Yiwen ; Yao, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003644.

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2024Ambiguity and risk in the oil market. (2024). Qadan, Mahmoud ; Ayoub, Mahmoud. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999324000075.

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2023Impact of serial entrepreneurs on IPO valuation: Evidence from U.S. IPOs. (2023). Wu, Shuai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001929.

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2024The volume-implied volatility relation in financial markets: A behavioral explanation. (2024). Padungsaksawasdi, Chaiyuth ; Cheuathonghua, Massaporn. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000238.

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2024Cross-regional connectedness of financial market: Measurement and determinants. (2024). Cao, Jie ; Wang, Xuya ; Yang, Xin ; Huang, Chuangxia ; Zhao, Lili. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000822.

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2024Speculative and non-speculative equity premia. (2024). Dorobiala, Zachary ; Schneider, Mark ; Ghazi, Soroush. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524001022.

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2024Volatility of volatility and leverage effect from options. (2024). Todorov, Viktor ; Chong, Carsten H. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000150.

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2024A new macro-financial condition index for the euro area. (2024). MORANA, CLAUDIO. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:64-87.

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2024First passage times in portfolio optimization: A novel nonparametric approach. (2024). , Paulo ; Nicolau, Joo ; Zsurkis, Gabriel. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:3:p:1074-1085.

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2023Inflation and west African sectoral stock price indices: An asymmetric kernel method analysis. (2023). Banto, Jean Michel ; Some, Sobom Matthieu ; Aurelien, Libaud Rudy. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122001042.

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2023Out-of-sample equity premium prediction: The role of option-implied constraints. (2023). Zhou, TI ; Wang, Yunqi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:199-226.

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2023Estimation with mixed data frequencies: A bias-correction approach. (2023). Linton, Oliver ; Ghosh, Anisha. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000701.

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2023Social capital and the pricing of initial public offerings. (2023). Goyal, Abhinav ; Duong, Huu Nhan ; Chen, Yangyang ; Veeraraghavan, Madhu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000762.

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2023Forecasting realized volatility with wavelet decomposition. (2023). Vivian, Andrew ; Souropanis, Ioannis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000993.

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2023Does the substitution effect lead to feedback effect linkage between ethanol, crude oil, and soft agricultural commodities?. (2023). Rao, Sandeep ; Singh, Vipul Kumar ; Kumar, Pawan. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000725.

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2023Drivers and pass-through of the EU ETS price: Evidence from the power sector. (2023). Okullo, Samuel J ; Bai, Yiyi. In: Energy Economics. RePEc:eee:eneeco:v:123:y:2023:i:c:s0140988323001962.

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2023Short- and long-run determinants of the price behavior of US clean energy stocks: A dynamic ARDL simulations approach. (2023). , Mohamed. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002694.

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2023Shanghai crude oil futures: Returns Independence, volatility asymmetry, and hedging potential. (2023). Umar, Muhammad ; Mirza, Nawazish ; Naqvi, Bushra ; Abbas, Syed Kumail. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006084.

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2023Impact of renewable energy generation on power reserve energy demand. (2023). Boucher, Quentin ; Deman, Laureen. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006710.

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2023The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Bastianin, Andrea ; Casoli, Chiara. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006813.

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2023Fifty years of Energy Policy: A bibliometric overview. (2023). Du, Huibin ; Yao, YE ; Yeh, Sonia ; Neumann, Anne ; Antunes, Carlos Henggeler ; Zhou, Peng ; Zou, Hongyang. In: Energy Policy. RePEc:eee:enepol:v:183:y:2023:i:c:s0301421523003543.

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2023Are commodity futures a hedge against inflation? A Markov-switching approach. (2023). Zhou, Zhiping ; Zhang, Xuan ; Liu, Chunbo. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s105752192300008x.

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More than 100 citations found, this list is not complete...

Works by G. William Schwert:

YearTitleTypeCited
1977Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis That the Real Rate of Interest is Constant. In: American Economic Review.
[Full Text][Citation analysis]		article137
2002Tests for Unit Roots: A Monte Carlo Investigation. In: Journal of Business & Economic Statistics.
[Citation analysis]		article769
1989Tests for Unit Roots: A Monte Carlo Investigation..(1989) In: Journal of Business & Economic Statistics.
[Citation analysis]
This paper has nother version. Agregated cites: 769		article
1988Tests For Unit Roots: A Monte Carlo Investigation.(1988) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 769		paper
2011Stock Volatility during the Recent Financial Crisis In: European Financial Management.
[Full Text][Citation analysis]		article87
2011Stock Volatility During the Recent Financial Crisis.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 87		paper
1981The Adjustment of Stock Prices to Information about Inflation. In: Journal of Finance.
[Full Text][Citation analysis]		article146
1989 Why Does Stock Market Volatility Change over Time? In: Journal of Finance.
[Full Text][Citation analysis]		article1098
1990 Heteroskedasticity in Stock Returns. In: Journal of Finance.
[Full Text][Citation analysis]		article174
1988HETEROSKEDASTICITY IN STOCK RETURNS.(1988) In: Rochester, Business - General.
[Citation analysis]
This paper has nother version. Agregated cites: 174		paper
1989Heteroskedasticity in Stock Returns.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 174		paper
1990 Stock Returns and Real Activity: A Century of Evidence. In: Journal of Finance.
[Full Text][Citation analysis]		article325
1990Stock Returns and Real Activity: A Century of Evidence.(1990) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 325		paper
2000Hostility in Takeovers: In the Eyes of the Beholder? In: Journal of Finance.
[Full Text][Citation analysis]		article329
1999Hostility in Takeovers: In the Eyes of the Beholder?.(1999) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 329		paper
2002Joint Editorial In: Journal of Finance.
[Full Text][Citation analysis]		article0
2002IPO Market Cycles: Bubbles or Sequential Learning? In: Journal of Finance.
[Full Text][Citation analysis]		article187
2000IPO Market Cycles: Bubbles or Sequential Learning?.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 187		paper
2010The Variability of IPO Initial Returns In: Journal of Finance.
[Full Text][Citation analysis]		article122
2006The Variability of IPO Initial Returns.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 122		paper
1979Potential GNP: Its measurement and significance : A dissenting opinion In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article29
1979Tests of causality : The message in the innovations In: Carnegie-Rochester Conference Series on Public Policy.
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1986The time series behavior of real interest rates A comment In: Carnegie-Rochester Conference Series on Public Policy.
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1989Business cycles, financial crises, and stock volatility : Reply to Shiller In: Carnegie-Rochester Conference Series on Public Policy.
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1989Business cycles, financial crises, and stock volatility In: Carnegie-Rochester Conference Series on Public Policy.
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1988BUSINESS CYCLES, FINANCIAL CRISES AND STOCK VOLATILITY.(1988) In: Rochester, Business - General.
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1989Business Cycles, Financial Crises, and Stock Volatility.(1989) In: NBER Working Papers.
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1990Testing for covariance stationarity in stock market data In: Economics Letters.
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1990Alternative models for conditional stock volatility In: Journal of Econometrics.
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1989ALTERNATIVE MODELS FOR CONDITIONAL STOCK VOLATILITY.(1989) In: Rochester, Business - General.
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1989Alternative Models For Conditional Stock Volatility.(1989) In: NBER Working Papers.
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1977Estimation of a non-invertible moving average process : The case of overdifferencing In: Journal of Econometrics.
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2003Anomalies and market efficiency In: Handbook of the Economics of Finance.
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1985A discussion of CEO deaths and the reaction of stock prices In: Journal of Accounting and Economics.
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1983Size and stock returns, and other empirical regularities In: Journal of Financial Economics.
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1987Expected stock returns and volatility In: Journal of Financial Economics.
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1989Clinical papers and their role in the development of financial economics In: Journal of Financial Economics.
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1990Editorial In: Journal of Financial Economics.
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1993The journal of financial economics*1: A retrospective evaluation (1974-1991) In: Journal of Financial Economics.
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1995Poison or placebo? Evidence on the deterrence and wealth effects of modern antitakeover measures In: Journal of Financial Economics.
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1993Poison or Placebo? Evidence on the Deterrent and Wealth Effects of Modern Antitakeover Measures.(1993) In: NBER Working Papers.
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1996Markup pricing in mergers and acquisitions In: Journal of Financial Economics.
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1994Mark-up Pricing in Mergers and Acquisitions..(1994) In: Rochester, Business - Financial Research and Policy Studies.
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1994Mark-Up Pricing in Mergers and Acquisitions.(1994) In: NBER Working Papers.
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1997Symposium on market microstructure: Focus on Nasdaq In: Journal of Financial Economics.
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1977Stock exchange seats as capital assets In: Journal of Financial Economics.
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1977Human capital and capital market equilibrium In: Journal of Financial Economics.
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1977Asset returns and inflation In: Journal of Financial Economics.
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2004Is the IPO pricing process efficient? In: Journal of Financial Economics.
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1987Effects of model specification on tests for unit roots in macroeconomic data In: Journal of Monetary Economics.
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2002Stock volatility in the new millennium: how wacky is Nasdaq? In: Journal of Monetary Economics.
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2001Stock Volatility in the New Millennium: How Wacky Is Nasdaq?.(2001) In: NBER Working Papers.
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1978Money, income, and sunspots: Measuring economic relationships and the effects of differencing In: Journal of Monetary Economics.
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1989MARGIN REQUIREMENTS AND STOCK VOLATILITY. In: Columbia - Center for Futures Markets.
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1989STOCK VOLATILITY AND THE CRASH OF 87 In: Rochester, Business - General.
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1989Stock Volatility and the Crash of 87.(1989) In: NBER Working Papers.
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1990Stock Volatility and the Crash of 87..(1990) In: The Review of Financial Studies.
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1989INDEXES OF UNITED STATES STOCK PRICES FROM 1802-1987 In: Rochester, Business - General.
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1989Indexes of United States Stock Prices From 1802 to 1987.(1989) In: NBER Working Papers.
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1982Differencing as a Test of Specification. In: International Economic Review.
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1988Why Does Stock Market Volatility Change Over Time? In: NBER Working Papers.
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2020The Remarkable Growth in Financial Economics, 1974-2020 In: NBER Working Papers.
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1998Stock Market Volatility: Ten Years After the Crash In: NBER Working Papers.
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1997Stock Market Volatility: Ten Years After the Crash.(1997) In: Center for Financial Institutions Working Papers.
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2001Biases in the IPO Pricing Process In: NBER Working Papers.
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2001Short Sales, Damages and Class Certification in 10b-5 Actions In: NBER Working Papers.
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1977Public Regulation of National Securities Exchanges: A Test of the Capture Hypothesis In: Bell Journal of Economics.
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1981Using Financial Data to Measure Effects of Regulation. In: Journal of Law and Economics.
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1979Inflation, Interest, and Relative Prices. In: The Journal of Business.
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1990Indexes of U.S. Stock Prices from 1802 to 1987. In: The Journal of Business.
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1983Effects of Nominal Contracting on Stock Returns. In: Journal of Political Economy.
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1985Information Aggregation, Inflation, and the Pricing of Indexed Bonds. In: Journal of Political Economy.
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