Author Page for John T. Scruggs

1.

Risk Premia and the Dynamic Covariance between Stock and Bond Returns

Journal of Financial and Quantitative Analysis (JFQA), Vol. 38, No. 2, 2003

Number of pages: 37 Posted: 05 Jul 2001 Last Revised: 23 Oct 2012

John T. Scruggs and Paskalis Glabadanidis

Allianz Global Investors and Essential Services Commission of South Australia

Downloads 899 (41,215)

Citation 8

Abstract:

2.

Why Does Stock Market Volatility Change Over Time? A Time-Varying Variance Decomposition for Stock Returns

EFA 2005 Moscow Meetings

Number of pages: 56 Posted: 06 Mar 2005

John T. Scruggs and Federico Nardari

Allianz Global Investors and University of Melbourne - Department of Finance

Downloads 897 (41,325)

Citation 2

Abstract:

3.

Analysis of Linear Factor Models with Multivariate Stochastic Volatility for Stock and Bond Returns

Number of pages: 46 Posted: 18 Jul 2003

John T. Scruggs and Federico Nardari

Allianz Global Investors and University of Melbourne - Department of Finance

Downloads 532 (81,774)

Abstract:

4.

Noise Trader Risk: Evidence from the Siamese Twins

Downloads 511 (85,973)

2

Noise Trader Risk: Evidence from the Siamese Twins

Number of pages: 40 Posted: 25 Mar 2005

John T. Scruggs

Allianz Global Investors

Downloads 511 (85,103)

Citation 1

Abstract:

Noise Trader Risk: Evidence from the Siamese Twins

Journal of Financial Markets, Forthcoming

Posted: 24 Aug 2006

John T. Scruggs

Allianz Global Investors

Abstract:

5.

Expected Returns and Markov-Switching Illiquidity

Number of pages: 40 Posted: 06 Mar 2007

Tyler R. Henry and John T. Scruggs

Miami University and Allianz Global Investors

Downloads 422 (107,974)

Abstract:

6.

Bayesian Analysis of Linear Factor Models with Latent Factors, Multivariate Stochastic Volatility, and Apt Pricing Restrictions

Journal of Financial and Quantitative Analysis, Forthcoming

Number of pages: 55 Posted: 08 May 2006

John T. Scruggs and Federico Nardari

Allianz Global Investors and University of Melbourne - Department of Finance

Downloads 415 (110,094)

Citation 1

Abstract:

7.

Estimating the Cross-Sectional Market Response to an Endogenous Event: Naked vs. Underwritten Calls of Convertible Bonds

Downloads 159 (284,988)

2

Estimating the Cross-Sectional Market Response to an Endogenous Event: Naked vs. Underwritten Calls of Convertible Bonds

Number of pages: 38 Posted: 02 Mar 2006

John T. Scruggs

Allianz Global Investors

Downloads 159 (285,424)

Citation 1

Abstract:

Estimating the Cross-Sectional Market Response to an Endogenous Event: Naked vs. Underwritten Calls of Convertible Bonds

Journal of Empirical Finance, Forthcoming

Posted: 24 Aug 2006

John T. Scruggs

Allianz Global Investors

Abstract:

8.

Who Trades Around the Ex-Dividend Day? Evidence from NYSE Audit File Data

Financial Management, Vol. 27, No. 3, Autumn 1998

Posted: 28 Jan 1999

Jennifer L. Koski and John T. Scruggs

University of Washington - Michael G. Foster School of Business and Allianz Global Investors

Abstract:

9.

Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and the Conditional Market Variance: A Two Factor Approach

Posted: 08 Aug 1998

John T. Scruggs

Allianz Global Investors

John T. Scruggs

Allianz Global Investors

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Scholarly Papers (9)

Risk Premia and the Dynamic Covariance between Stock and Bond Returns

Abstract:

Why Does Stock Market Volatility Change Over Time? A Time-Varying Variance Decomposition for Stock Returns

Abstract:

Analysis of Linear Factor Models with Multivariate Stochastic Volatility for Stock and Bond Returns

Abstract:

Noise Trader Risk: Evidence from the Siamese Twins

Noise Trader Risk: Evidence from the Siamese Twins

Abstract:

Noise Trader Risk: Evidence from the Siamese Twins

Abstract:

Expected Returns and Markov-Switching Illiquidity

Abstract:

Bayesian Analysis of Linear Factor Models with Latent Factors, Multivariate Stochastic Volatility, and Apt Pricing Restrictions

Abstract:

Estimating the Cross-Sectional Market Response to an Endogenous Event: Naked vs. Underwritten Calls of Convertible Bonds

Estimating the Cross-Sectional Market Response to an Endogenous Event: Naked vs. Underwritten Calls of Convertible Bonds

Abstract:

Estimating the Cross-Sectional Market Response to an Endogenous Event: Naked vs. Underwritten Calls of Convertible Bonds

Abstract:

Who Trades Around the Ex-Dividend Day? Evidence from NYSE Audit File Data

Abstract:

Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and the Conditional Market Variance: A Two Factor Approach

Abstract:

Other Papers (1)

Expected Returns and Markov-Switching Illiquidity

Abstract: