Marco Sammon

Harvard Business School

Boston, MA 02163

United States

  • Harvard Business School

SCHOLARLY PAPERS

13

DOWNLOADS

2,517

SSRN CITATIONS

116

CROSSREF CITATIONS

6

Scholarly Papers (13)

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1.

Retail Investors’ Contrarian Behavior Around News and the Momentum Effect

Number of pages: 56 Posted: 05 Apr 2020 Last Revised: 02 Dec 2021
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 572 (66,356)
Citation 6

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Retail Investors; Momentum; Earnings Surprises

2.

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: 23 Sep 2021
Marcelo Bianconi, Federico Esposito and Marco Sammon
Tufts University - Department of Economics, Tufts University - Department of Economics and Harvard Business School
Downloads 407 (99,526)
Citation 9

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trade policy, uncertainty, stock returns, risk premium

3.

Passive Ownership and Price Informativeness

Number of pages: 53 Posted: 27 Nov 2018 Last Revised: 22 Feb 2022
Marco Sammon
Harvard Business School
Downloads 372 (110,940)
Citation 2

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Passive Ownership, ETFs, Market Efficiency

4.

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 199 (207,434)

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

5.

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 182 (224,459)

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

6.

The Unprecedented Stock Market Impact of Covid-19

NBER Working Paper No. w26945
Number of pages: 24 Posted: 06 Apr 2020 Last Revised: 14 Feb 2022
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 180 (226,506)
Citation 78

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7.

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 2022
Ravi Jagannathan, Ashwin Ravikumar and Marco Sammon
Northwestern University - Kellogg School of Management, Amherst College and Harvard Business School
Downloads 129 (296,550)
Citation 5

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8.

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 122 (308,996)

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factor models, global risk, momentum, exposure

9.

Firm Customer Bases

Number of pages: 55 Posted: 20 May 2020
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 107 (338,798)

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customer base, customers, transaction data, customer churn

10.

Excess Reconstitution-Day Volume

Number of pages: 49 Posted: 22 Dec 2021 Last Revised: 26 Feb 2022
Alex Chinco and Marco Sammon
City University of NY, Baruch College, Zicklin School of Business and Harvard Business School
Downloads 100 (354,295)

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Indexing, Passive Investing, Exchange-Traded Funds (ETFs), Russell Reconstitution Day, Trading Volume, Information-Based Asset Pricing

11.

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 98 (358,874)

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Asset Pricing, Information Choice

12.

Measuring Customer Churn and Interconnectedness

NBER Working Paper No. w27707
Number of pages: 56 Posted: 17 Aug 2020 Last Revised: 17 Mar 2022
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 40 (559,943)

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13.

What Triggers Stock Market Jumps?

NBER Working Paper No. w28687
Number of pages: 76 Posted: 19 Apr 2021 Last Revised: 20 Nov 2021
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 9 (775,470)
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