Marco Sammon

Kellogg School of Management - Department of Finance

PhD Student

Evanston, IL 60208

United States

http://marcosammon.com/

  • Kellogg School of Management - Department of Finance

SCHOLARLY PAPERS

10

DOWNLOADS

1,315

SSRN CITATIONS

78

CROSSREF CITATIONS

2

Scholarly Papers (10)

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1.

Retail Investors’ Contrarian Behavior Around News and the Momentum Effect

Number of pages: 53 Posted: 05 Apr 2020 Last Revised: 03 Dec 2020
Cheng Luo, Enrichetta Ravina, Marco Sammon and Luis M. Viceira
affiliation not provided to SSRN, Federal Reserve Bank of Chicago, Kellogg School of Management - Department of Finance and Harvard Business School - Finance Unit
Downloads 298 (117,668)
Citation 2

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Retail Investors; Momentum; Earnings Surprises

2.

Trade Policy Uncertainty and Stock Returns

Number of pages: 39 Posted: 14 Mar 2019 Last Revised: 23 Jul 2020
Marcelo Bianconi, Federico Esposito and Marco Sammon
Tufts University - Department of Economics, Tufts University - Department of Economics and Kellogg School of Management - Department of Finance
Downloads 285 (123,288)
Citation 6

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trade policy, uncertainty, stock returns, risk premium

3.

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 Kellogg School of Management - Department of Finance
Downloads 173 (198,717)

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

4.

Passive Ownership and Price Informativeness

Number of pages: 61 Posted: 27 Nov 2018 Last Revised: 06 Jan 2021
Marco Sammon
Kellogg School of Management - Department of Finance
Downloads 156 (216,999)
Citation 2

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Passive Ownership, ETFs, Market Efficiency

5.

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 114 (276,725)

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factor models, global risk, momentum, exposure

6.

The Unprecedented Stock Market Impact of Covid-19

NBER Working Paper No. w26945
Number of pages: 24 Posted: 06 Apr 2020 Last Revised: 17 Apr 2020
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, Kellogg School of Management - Department of Finance and University of Pennsylvania
Downloads 98 (306,876)
Citation 60

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8.

Firm Customer Bases

Number of pages: 52 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 Kellogg School of Management - Department of Finance
Downloads 53 (430,852)

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customer base, customers, transaction data, customer churn

9.

ETFs, Learning, and Information in Stock Prices

Number of pages: 74 Posted: 04 May 2020 Last Revised: 04 Aug 2020
Marco Sammon
Kellogg School of Management - Department of Finance
Downloads 52 (434,428)

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Asset Pricing, Information Choice

10.

Measuring Customer Churn and Interconnectedness

NBER Working Paper No. w27707
Number of pages: 56 Posted: 17 Aug 2020
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 Kellogg School of Management - Department of Finance
Downloads 23 (573,595)

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