Marco Sammon

SCHOLARLY PAPERS

5

DOWNLOADS

562

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

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 167 (185,269)

Abstract:

Loading...

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

2.

Trade Policy Uncertainty and Stock Returns

Number of pages: 46 Posted: 14 Mar 2019 Last Revised: 30 Jul 2019
Tufts University - Department of Economics, Tufts University - Department of Economics and Kellogg School of Management - Department of Finance
Downloads 148 (205,219)

Abstract:

Loading...

trade policy, uncertainty, stock returns, risk premium

3.

Earnings Announcements and the Rise of Passive Ownership

Number of pages: 71 Posted: 27 Nov 2018 Last Revised: 20 Feb 2020
Marco Sammon
Downloads 109 (259,071)

Abstract:

Loading...

Passive Ownership, ETFs, Market Efficiency

4.

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 105 (265,978)

Abstract:

Loading...

factor models, global risk, momentum, exposure

Abstract:

Loading...