Marco Sammon

Harvard Business School

Boston, MA 02163

United States

  • Harvard Business School

SCHOLARLY PAPERS

15

DOWNLOADS

4,820

SSRN CITATIONS

188

CROSSREF CITATIONS

5

Scholarly Papers (15)

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1.

Retail Investors’ Contrarian Behavior Around News, Attention, and the Momentum Effect

Number of pages: 53 Posted: 05 Apr 2020 Last Revised: 26 May 2022
Cheng Luo, Enrichetta Ravina, Marco Sammon and Luis M. Viceira
affiliation not provided to SSRN, Federal Reserve Bank of Chicago, Harvard Business School and Harvard Business School - Finance Unit
Downloads 873 (44,543)
Citation 5

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Retail Investors; Momentum; Earnings Surprises

2.

The Passive-Ownership Share Is Double What You Think It Is

Number of pages: 47 Posted: 10 Sep 2022 Last Revised: 20 May 2023
Alex Chinco and Marco Sammon
City University of NY, Baruch College, Zicklin School of Business and Harvard Business School
Downloads 766 (53,211)

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Passive Ownership, Index-Linked Investing, Prearranged Trades, Index Funds, Direct Indexers, Reconstitution Day

3.

Passive Ownership and Price Informativeness

Number of pages: 100 Posted: 27 Nov 2018 Last Revised: 23 Dec 2022
Marco Sammon
Harvard Business School
Downloads 640 (67,419)
Citation 2

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Passive Ownership, ETFs, Market Efficiency

4.

The Disappearing Index Effect

Downloads 567 (78,465)

The Disappearing Index Effect

Number of pages: 51 Posted: 13 Dec 2022 Last Revised: 22 Dec 2022
Robin M. Greenwood and Marco Sammon
Harvard Business School - Finance Unit and Harvard Business School
Downloads 563 (78,232)

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index inclusion, passive ownership, market efficiency

The Disappearing Index Effect

NBER Working Paper No. w30748
Number of pages: 48 Posted: 12 Dec 2022 Last Revised: 14 Apr 2023
Robin M. Greenwood and Marco Sammon
Harvard Business School - Finance Unit and Harvard Business School
Downloads 4 (994,136)
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5.

Trade Policy Uncertainty and Stock Returns

Journal of International Money and Finance, Vol. 119, 2021
Number of pages: 39 Posted: 14 Mar 2019 Last Revised: 11 Mar 2023
Marcelo Bianconi, Federico Esposito and Marco Sammon
Tufts University - Department of Economics, Tufts University - Department of Economics and Harvard Business School
Downloads 445 (105,399)
Citation 13

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trade policy, uncertainty, stock returns, risk premium

6.

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
Marcelo Bianconi, Scott MacLachlan and Marco Sammon
Tufts University - Department of Economics, Tufts University and Harvard Business School
Downloads 247 (198,950)

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

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
Scott R. Baker, Nicholas Bloom, Steven J. Davis and Marco Sammon
Northwestern University, Stanford University - Department of Economics, University of Chicago and Harvard Business School
Downloads 243 (202,070)

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

8.

The Unprecedented Stock Market Impact of Covid-19

NBER Working Paper No. w26945
Number of pages: 24 Posted: 06 Apr 2020 Last Revised: 15 Feb 2023
Scott R. Baker, Nicholas Bloom, Steven J. Davis, Kyle Kost, Marco Sammon and Tasaneeya Viratyosin
Northwestern University, Kellogg School of Management, Department of Finance, Stanford University - Department of Economics, University of Chicago, University of Chicago, Harvard Business School and University of Pennsylvania
Downloads 223 (219,586)
Citation 78

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9.

Environmental, Social, and Governance Criteria: Why Investors are Paying Attention

NBER Working Paper No. w24063
Number of pages: 27 Posted: 06 Dec 2017 Last Revised: 02 Apr 2023
Ravi Jagannathan, Ashwin Ravikumar and Marco Sammon
Northwestern University - Kellogg School of Management, Amherst College and Harvard Business School
Downloads 211 (231,288)
Citation 5

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10.

Customer Churn and Intangible Capital

Number of pages: 78 Posted: 20 May 2020 Last Revised: 31 Oct 2022
Scott R. Baker, Brian Baugh and Marco Sammon
Northwestern University, Kellogg School of Management, Department of Finance, University of Nebraska at Lincoln and Harvard Business School
Downloads 156 (301,294)

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customer base, customers, transaction data, customer churn

11.

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 Harvard Business School
Downloads 142 (325,272)

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factor models, global risk, momentum, exposure

12.

ETFs, Learning, and Information in Stock Prices

Number of pages: 74 Posted: 04 May 2020 Last Revised: 04 Aug 2020
Marco Sammon
Harvard Business School
Downloads 131 (346,329)

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Asset Pricing, Information Choice

13.

The Retail Habitat

Number of pages: 51 Posted: 09 Nov 2022
Toomas Laarits and Marco Sammon
New York University (NYU) - Department of Finance and Harvard Business School
Downloads 97 (429,249)

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retail investors, retail heterogeneity, earnings announcer premium

14.

Measuring Customer Churn and Interconnectedness

NBER Working Paper No. w27707
Number of pages: 56 Posted: 17 Aug 2020 Last Revised: 17 Mar 2023
Scott R. Baker, Brian Baugh and Marco Sammon
Northwestern University, Kellogg School of Management, Department of Finance, Univeristy of Nebraska at Lincoln (UNL) - Department of Finance and Harvard Business School
Downloads 67 (533,501)
Citation 1

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15.

What Triggers Stock Market Jumps?

NBER Working Paper No. w28687
Number of pages: 76 Posted: 19 Apr 2021 Last Revised: 21 May 2023
Scott R. Baker, Nicholas Bloom, Steven J. Davis and Marco Sammon
Northwestern University, Kellogg School of Management, Department of Finance, Stanford University - Department of Economics, University of Chicago and Harvard Business School
Downloads 12 (887,348)

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