G. William Schwert

University of Rochester - Simon Business School

Distinguished University Professor of Finance and Statistics

Carol Simon Hall 3-110L

Rochester, NY 14627

United States

http://schwert.ssb.rochester.edu

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 1,165

SSRN RANKINGS

Top 1,165

in Total Papers Downloads

19,416

CITATIONS
Rank 134

SSRN RANKINGS

Top 134

in Total Papers Citations

2,164

Scholarly Papers (25)

1.
Downloads 5,689 ( 898)
Citation 178

Anomalies and Market Efficiency

Simon School of Business Working Paper No. FR 02-13
Number of pages: 54 Posted: 22 Oct 2002
G. William Schwert
University of Rochester - Simon Business School
Downloads 5,588 (918)
Citation 178

Abstract:

Market Efficiency, Anomaly, Size Effect, Value Effect, Selection Bias, Momentum

Anomalies and Market Efficiency

NBER Working Paper No. w9277
Number of pages: 54 Posted: 19 Oct 2002
G. William Schwert
University of Rochester - Simon Business School
Downloads 101 (222,655)
Citation 178

Abstract:

2.
Downloads 2,513 ( 3,753)
Citation 18

Biases in the IPO Pricing Process

Simon School of Business Working Paper No. FR 01-02
Number of pages: 40 Posted: 22 Feb 2001
Michelle Lowry and G. William Schwert
Drexel University and University of Rochester - Simon Business School
Downloads 2,454 (3,809)
Citation 18

Abstract:

IPO, Underpricing, Private Information, Learning

Biases in the IPO Pricing Process

NBER Working Paper No. w8586
Number of pages: 43 Posted: 10 Nov 2001
Michelle Lowry and G. William Schwert
Drexel University and University of Rochester - Simon Business School
Downloads 59 (307,800)
Citation 18

Abstract:

3.
Downloads 2,077 ( 5,219)
Citation 147

IPO Market Cycles: Bubbles or Sequential Learning?

Simon School of Business Working Paper No. FR 00-21
Number of pages: 29 Posted: 18 Jan 2001
Michelle Lowry and G. William Schwert
Drexel University and University of Rochester - Simon Business School
Downloads 2,010 (5,387)
Citation 147

Abstract:

IPO, Underpricing, Cycles, Private Information, Learning

IPO Market Cycles: Bubbles or Sequential Learning?

NBER Working Paper No. w7935
Number of pages: 35 Posted: 30 Sep 2000
Michelle Lowry and G. William Schwert
Drexel University and University of Rochester - Simon Business School
Downloads 67 (287,846)
Citation 147

Abstract:

IPO Market Cycles: Bubbles or Sequential Learning?

Journal of Finance, Vol. 57, pp. 1171-1200, 2002
Posted: 29 Nov 2003
Michelle Lowry and G. William Schwert
Drexel University and University of Rochester - Simon Business School

Abstract:

4.

Editorial: Clinical Papers and Their Role in the Development of Financial Economics

Number of pages: 4 Posted: 28 Nov 2003
University of Chicago - Finance, SSRN, Simon Graduate School of Business, University of Rochester, Harvard Business School, University of Rochester - Simon Business School, Simon Graduate School of Business, University of Rochester and University of Rochester – Simon Business School
Downloads 1,532 (7,458)
Citation 4

Abstract:

Clinical Papers, case studies, perfect and imperfect markets

5.
Downloads 1,441 ( 9,698)
Citation 27

The Variability of IPO Initial Returns

Simon School Working Paper No. FR 06-06, forthcoming, Journal of Finance
Number of pages: 37 Posted: 07 Jul 2006 Last Revised: 13 Feb 2009
Micah S. Officer, Michelle Lowry and G. William Schwert
Loyola Marymount University - Department of Finance and Computer Information Systems, Drexel University and University of Rochester - Simon Business School
Downloads 1,383 (10,146)
Citation 27

Abstract:

IPO, Underpricing, Cycles, Information Asymmetry, Conditional Heteroskedasticity, Volatility

The Variability of IPO Initial Returns

NBER Working Paper No. w12295
Number of pages: 54 Posted: 16 Jun 2006
Micah S. Officer, Michelle Lowry and G. William Schwert
Loyola Marymount University - Department of Finance and Computer Information Systems, Drexel University and University of Rochester - Simon Business School
Downloads 58 (310,532)
Citation 27

Abstract:

6.
Downloads 1,234 ( 12,439)
Citation 36

Stock Market Volatility: Ten Years After the Crash

Simon School of Business Working Paper
Number of pages: 46 Posted: 03 Dec 1997
G. William Schwert
University of Rochester - Simon Business School
Downloads 1,189 (12,942)
Citation 36

Abstract:

Stock Market Volatility: Ten Years after the Crash

NBER Working Paper No. w6381
Number of pages: 47 Posted: 01 Jul 2000
G. William Schwert
University of Rochester - Simon Business School
Downloads 45 (349,877)
Citation 36

Abstract:

7.

Risk Management Research Report - Spring 2010

Risk Management Research Report, Spring 2010
Number of pages: 16 Posted: 23 Apr 2010
HEC Paris - Finance Department, affiliation not provided to SSRN, University of Massachusetts Amherst - Department of Finance, Brooklyn College - CUNY, Drexel University, Loyola Marymount University - Department of Finance and Computer Information Systems, University of Rochester - Simon Business School, Temple University - Department of Finance, Southern Illinois University at Edwardsville - Department of Economics & Finance, University of California, Santa Barbara - Department of Economics, University of California, San Diego (UCSD) - Rady School of Management, University of Utah - David Eccles School of Business, Purdue University - Krannert School of Management, HEC Paris - Finance Department, Harvard Law School, Columbia Business School - Finance and Economics, New York University (NYU) - Department of Finance, Department of Economics, Texas A&M University, Texas A&M University - Department of Economics, International Food Policy Research Institute (IFPRI), IMD International, University of Georgia - Department of Banking and Finance, Southern Methodist University (SMU) - Edwin L. Cox School of Business, Pennsylvania State University, Smeal College of Business, University of California at Los Angeles - Anderson School of Management, Columbia Business School - Accounting, Business Law & Taxation, University of South Florida - College of Business Administration, Gabelli School of Business, Fordham University, New York University (NYU) - Department of Finance, Gabelli School of Business, Fordham University and Loyola University of Chicago - Department of Finance
Downloads 1,220 (11,647)

Abstract:

Risk, Risk Management, Derivatives, Corporate Governance, Financial Derivatives, Value-At-Risk, VaR, Ethics, Volatility, Variance, Standard Deviation, Systemic, Systematic

8.
Downloads 1,077 ( 15,400)
Citation 206

Hostility in Takeovers: In the Eyes of the Beholder?

Number of pages: 52 Posted: 11 Jan 1998
G. William Schwert
University of Rochester - Simon Business School
Downloads 1,029 (16,168)
Citation 206

Abstract:

Hostility in Takeovers: In the Eyes of the Beholder?

NBER Working Paper No. NBER_W7085
Number of pages: 53 Posted: 25 May 2006
G. William Schwert
University of Rochester - Simon Business School
Downloads 39 (370,866)
Citation 206

Abstract:

Hostility in Takeovers: in the Eyes of the Beholder?

NBER Working Paper No. w7085
Number of pages: 53 Posted: 16 May 2011
G. William Schwert
University of Rochester - Simon Business School
Downloads 9 (524,803)
Citation 206

Abstract:

Short Sales, Damages and Class Certification in 10b-5 Actions

Simon School of Business Working Paper No. FR 01-19
Number of pages: 34 Posted: 02 Oct 2001
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Bondholder Communications Group, University of Rochester - Simon Business School and Jones Day - Washington, D.C. Office
Downloads 383 (62,098)
Citation 8

Abstract:

Short Sales, Securities Fraud, Class Certification, 10b-5

Short Sales, Damages and Class Certification in 10b-5 Actions

NBER Working Paper No. w8618
Number of pages: 43 Posted: 29 Nov 2001
Bondholder Communications Group, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Rochester - Simon Business School and Jones Day - Washington, D.C. Office
Downloads 51 (330,861)
Citation 9

Abstract:

10.
Downloads 202 (125,166)
Citation 2

Stock Volatility During the Recent Financial Crisis

Number of pages: 48 Posted: 18 Apr 2011
G. William Schwert
University of Rochester - Simon Business School
Downloads 151 (162,725)
Citation 2

Abstract:

Stock Volatility During the Recent Financial Crisis

NBER Working Paper No. w16976
Number of pages: 32 Posted: 25 Apr 2011
G. William Schwert
University of Rochester - Simon Business School
Downloads 49 (337,160)
Citation 2

Abstract:

Stock Volatility During the Recent Financial Crisis

European Financial Management, Vol. 17, Issue 5, pp. 789-805, 2011
Number of pages: 17 Posted: 19 Oct 2011
G. William Schwert
University of Rochester - Simon Business School
Downloads 2 (564,288)
Citation 2
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Abstract:

Volatility, crisis, unemployment, recession, depression, G11, G12

11.

Why Does Stock Market Volatility Change Over Time?

NBER Working Paper No. w2798
Number of pages: 72 Posted: 05 Jul 2004
G. William Schwert
University of Rochester - Simon Business School
Downloads 199 (112,172)
Citation 535

Abstract:

12.

Gene Fama's Impact: A Quantitative Analysis

Simon Business School Working Paper No. FR 14-17
Number of pages: 32 Posted: 17 Sep 2014
G. William Schwert and René M. Stulz
University of Rochester - Simon Business School and Ohio State University (OSU) - Department of Finance
Downloads 152 (106,980)

Abstract:

Fama, Citations

13.

Business Cycles, Financial Crises, and Stock Volatility

NBER Working Paper No. w2957
Number of pages: 45 Posted: 27 Apr 2000 Last Revised: 09 Aug 2010
G. William Schwert
University of Rochester - Simon Business School
Downloads 133 (180,232)
Citation 32

Abstract:

14.

Mark-Up Pricing in Mergers and Acquisitions

NBER Working Paper No. w4863
Number of pages: 51 Posted: 25 Jul 2000
G. William Schwert
University of Rochester - Simon Business School
Downloads 130 (164,403)
Citation 166

Abstract:

15.

Alternative Models for Conditional Stock Volatility

NBER Working Paper No. w2955
Number of pages: 40 Posted: 27 Dec 2006
Adrian Pagan and G. William Schwert
Australian National University (ANU) - Research School of Social Sciences (RSSS) and University of Rochester - Simon Business School
Downloads 117 (199,096)
Citation 148

Abstract:

16.

Stock Volatility and the Crash of '87

NBER Working Paper No. w2954
Number of pages: 34 Posted: 04 Jul 2004 Last Revised: 30 Jul 2010
G. William Schwert
University of Rochester - Simon Business School
Downloads 94 (232,297)
Citation 131

Abstract:

Poison or Placebo? Evidence on the Deterrent and Wealth Effects of Modern Antitakeover Measures

NBER Working Paper No. w4316
Number of pages: 33 Posted: 25 Jun 2004
Robert Comment and G. William Schwert
Independent and University of Rochester - Simon Business School
Downloads 77 (265,566)
Citation 162

Abstract:

Poison or Placebo? Evidence on the Deterrent and Wealth Effects of Modern Antitakeover Measures

JOURNAL OF FINANCIAL ECONOMICS, 1995
Posted: 04 May 2000
Robert Comment and G. William Schwert
Independent and University of Rochester - Simon Business School

Abstract:

18.

Heteroskedasticity in Stock Returns

NBER Working Paper No. w2956
Number of pages: 34 Posted: 15 Jan 2007 Last Revised: 09 Aug 2010
G. William Schwert and Paul J. Seguin
University of Rochester - Simon Business School and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 76 (265,183)
Citation 59

Abstract:

19.

Stock Volatility in the New Millennium: How Wacky is NASDAQ?

NBER Working Paper No. w8436
Number of pages: 35 Posted: 20 Aug 2001 Last Revised: 23 Oct 2010
G. William Schwert
University of Rochester - Simon Business School
Downloads 58 (306,328)
Citation 26

Abstract:

20.

Stock Returns and Real Activity: a Century of Evidence

NBER Working Paper No. w3296
Number of pages: 24 Posted: 25 Jul 2007
G. William Schwert
University of Rochester - Simon Business School
Downloads 45 (311,636)
Citation 79

Abstract:

21.

Indexes of United States Stock Prices from 1802 to 1987

NBER Working Paper No. w2985
Number of pages: 52 Posted: 09 Oct 2007
G. William Schwert
University of Rochester - Simon Business School
Downloads 43 (328,628)
Citation 76

Abstract:

22.

Tests for Unit Roots: a Monte Carlo Investigation

NBER Working Paper No. t0073
Number of pages: 29 Posted: 26 Dec 2000
G. William Schwert
University of Rochester - Simon Business School
Downloads 37 (325,681)
Citation 97

Abstract:

23.

Video: Stock Volatility: Past, Present, and Future

Posted: 27 Sep 2012
G. William Schwert
University of Rochester - Simon Business School

Abstract:

24.

Markup Pricing in Mergers & Acquisitions

Posted: 06 Sep 1999
G. William Schwert
University of Rochester - Simon Business School

Abstract:

25.

IPO Market Cycles: An Exploratory Investigation

Simon School of Business Working Paper No. FR 00-18
Number of pages: 35 Posted: 14 Feb 2000
Michelle Lowry and G. William Schwert
Drexel University and University of Rochester - Simon Business School
Downloads 0
Citation 8

Abstract: