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Details about G. William Schwert

Homepage:http://schwert.ssb.rochester.edu
Workplace:William E. Simon Graduate School of Business Administration, University of Rochester, (more information at EDIRC)
National Bureau of Economic Research (NBER), (more information at EDIRC)

Access statistics for papers by G. William Schwert.

Last updated 2012-08-03. Update your information in the RePEc Author Service.

Short-id: psc116


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Working Papers

2011

  1. Stock Volatility During the Recent Financial Crisis
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (21)

2006

  1. The Variability of IPO Initial Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in Journal of Finance (2010)

2002

  1. Anomalies and Market Efficiency
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
    See also Chapter (2003)

2001

  1. Biases in the IPO Pricing Process
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
  2. Short Sales, Damages and Class Certification in 10b-5 Actions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
  3. Stock Volatility in the New Millennium: How Wacky Is Nasdaq?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article in Journal of Monetary Economics (2002)

2000

  1. IPO Market Cycles: Bubbles or Sequential Learning?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article in Journal of Finance (2002)

1999

  1. Hostility in Takeovers: In the Eyes of the Beholder?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in Journal of Finance (2000)

1998

  1. Stock Market Volatility: Ten Years After the Crash
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (18)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1997) View citations (2)

1994

  1. Mark-Up Pricing in Mergers and Acquisitions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (17)
    Also in Working Papers, Rochester, Business - Financial Research and Policy Studies (1994) View citations (1)

    See also Journal Article in Journal of Financial Economics (1996)

1993

  1. Poison or Placebo? Evidence on the Deterrent and Wealth Effects of Modern Antitakeover Measures
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    See also Journal Article in Journal of Financial Economics (1995)

1990

  1. Stock Returns and Real Activity: A Century of Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (185)
    See also Journal Article in Journal of Finance (1990)

1989

  1. ALTERNATIVE MODELS FOR CONDITIONAL STOCK VOLATILITY
    Working Papers, Rochester, Business - General View citations (9)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1989) Downloads View citations (302)

    See also Journal Article in Journal of Econometrics (1990)
  2. Business Cycles, Financial Crises, and Stock Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (34)
    Also in Working Papers, Rochester, Business - General (1988)

    See also Journal Article in Carnegie-Rochester Conference Series on Public Policy (1989)
  3. Heteroskedasticity in Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    Also in Working Papers, Rochester, Business - General (1988)

    See also Journal Article in Journal of Finance (1990)
  4. INDEXES OF UNITED STATES STOCK PRICES FROM 1802-1987
    Working Papers, Rochester, Business - General View citations (1)
  5. Indexes of United States Stock Prices From 1802 to 1987
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
  6. MARGIN REQUIREMENTS AND STOCK VOLATILITY
    Working Papers, Columbia - Center for Futures Markets View citations (19)
  7. STOCK VOLATILITY AND THE CRASH OF '87
    Working Papers, Rochester, Business - General View citations (22)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1989) Downloads View citations (136)

    See also Journal Article in Review of Financial Studies (1990)

1988

  1. Tests For Unit Roots: A Monte Carlo Investigation
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    See also Journal Article in Journal of Business & Economic Statistics (2002)
  2. Why Does Stock Market Volatility Change Over Time?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    See also Journal Article in Journal of Finance (1989)

Journal Articles

2010

  1. The Variability of IPO Initial Returns
    Journal of Finance, 2010, 65, (2), 425-465 Downloads View citations (38)
    See also Working Paper (2006)

2004

  1. Is the IPO pricing process efficient?
    Journal of Financial Economics, 2004, 71, (1), 3-26 Downloads View citations (49)

2002

  1. IPO Market Cycles: Bubbles or Sequential Learning?
    Journal of Finance, 2002, 57, (3), 1171-1200 Downloads View citations (123)
    See also Working Paper (2000)
  2. Joint Editorial
    Journal of Finance, 2002, 57, (2), 1031-1032 Downloads
  3. Stock volatility in the new millennium: how wacky is Nasdaq?
    Journal of Monetary Economics, 2002, 49, (1), 3-26 Downloads View citations (38)
    See also Working Paper (2001)
  4. Tests for Unit Roots: A Monte Carlo Investigation
    Journal of Business & Economic Statistics, 2002, 20, (1), 5-17 View citations (8)
    Also in Journal of Business & Economic Statistics, 1989, 7, (2), 147-59 (1989) View citations (469)

    See also Working Paper (1988)

2000

  1. Hostility in Takeovers: In the Eyes of the Beholder?
    Journal of Finance, 2000, 55, (6), 2599-2640 Downloads View citations (171)
    See also Working Paper (1999)

1997

  1. Symposium on market microstructure: Focus on Nasdaq
    Journal of Financial Economics, 1997, 45, (1), 3-8 Downloads View citations (8)

1996

  1. Markup pricing in mergers and acquisitions
    Journal of Financial Economics, 1996, 41, (2), 153-192 Downloads View citations (155)
    See also Working Paper (1994)

1995

  1. Poison or placebo? Evidence on the deterrence and wealth effects of modern antitakeover measures
    Journal of Financial Economics, 1995, 39, (1), 3-43 Downloads View citations (140)
    See also Working Paper (1993)

1993

  1. The journal of financial economics*1: A retrospective evaluation (1974-1991)
    Journal of Financial Economics, 1993, 33, (3), 369-424 Downloads View citations (5)

1990

  1. Alternative models for conditional stock volatility
    Journal of Econometrics, 1990, 45, (1-2), 267-290 Downloads View citations (410)
    See also Working Paper (1989)
  2. Editorial
    Journal of Financial Economics, 1990, 28, (1-2), 3-5 Downloads
  3. Heteroskedasticity in Stock Returns
    Journal of Finance, 1990, 45, (4), 1129-55 Downloads View citations (111)
    See also Working Paper (1989)
  4. Indexes of U.S. Stock Prices from 1802 to 1987
    The Journal of Business, 1990, 63, (3), 399-426 Downloads View citations (45)
  5. Stock Returns and Real Activity: A Century of Evidence
    Journal of Finance, 1990, 45, (4), 1237-57 Downloads View citations (197)
    See also Working Paper (1990)
  6. Stock Volatility and the Crash of '87
    Review of Financial Studies, 1990, 3, (1), 77-102 Downloads View citations (175)
    See also Working Paper (1989)
  7. Testing for covariance stationarity in stock market data
    Economics Letters, 1990, 33, (2), 165-170 Downloads View citations (39)

1989

  1. Business cycles, financial crises, and stock volatility
    Carnegie-Rochester Conference Series on Public Policy, 1989, 31, (1), 83-125 Downloads View citations (75)
    See also Working Paper (1989)
  2. Business cycles, financial crises, and stock volatility: Reply to Shiller
    Carnegie-Rochester Conference Series on Public Policy, 1989, 31, (1), 133-137 Downloads View citations (42)
  3. Clinical papers and their role in the development of financial economics
    Journal of Financial Economics, 1989, 24, (1), 3-6 Downloads View citations (6)
  4. Why Does Stock Market Volatility Change over Time?
    Journal of Finance, 1989, 44, (5), 1115-53 Downloads View citations (906)
    See also Working Paper (1988)

1987

  1. Effects of model specification on tests for unit roots in macroeconomic data
    Journal of Monetary Economics, 1987, 20, (1), 73-103 Downloads View citations (167)
  2. Expected stock returns and volatility
    Journal of Financial Economics, 1987, 19, (1), 3-29 Downloads View citations (967)

1986

  1. The time series behavior of real interest rates A comment
    Carnegie-Rochester Conference Series on Public Policy, 1986, 24, (1), 275-287 Downloads View citations (2)

1985

  1. A discussion of CEO deaths and the reaction of stock prices
    Journal of Accounting and Economics, 1985, 7, (1-3), 175-178 Downloads View citations (3)
  2. Information Aggregation, Inflation, and the Pricing of Indexed Bonds
    Journal of Political Economy, 1985, 93, (1), 92-114 Downloads View citations (14)

1983

  1. Effects of Nominal Contracting on Stock Returns
    Journal of Political Economy, 1983, 91, (1), 70-96 Downloads View citations (27)
  2. Size and stock returns, and other empirical regularities
    Journal of Financial Economics, 1983, 12, (1), 3-12 Downloads View citations (20)

1982

  1. Differencing as a Test of Specification
    International Economic Review, 1982, 23, (3), 535-52 Downloads View citations (13)

1981

  1. The Adjustment of Stock Prices to Information about Inflation
    Journal of Finance, 1981, 36, (1), 15-29 Downloads View citations (84)
  2. Using Financial Data to Measure Effects of Regulation
    Journal of Law and Economics, 1981, 24, (1), 121-58 Downloads View citations (92)

1979

  1. Inflation, Interest, and Relative Prices
    The Journal of Business, 1979, 52, (2), 183-209 Downloads View citations (6)
  2. Potential GNP: Its measurement and significance: A dissenting opinion
    Carnegie-Rochester Conference Series on Public Policy, 1979, 10, (1), 179-186 Downloads View citations (14)
  3. Tests of causality: The message in the innovations
    Carnegie-Rochester Conference Series on Public Policy, 1979, 10, (1), 55-96 Downloads View citations (7)

1978

  1. Money, income, and sunspots: Measuring economic relationships and the effects of differencing
    Journal of Monetary Economics, 1978, 4, (4), 637-660 Downloads View citations (43)

1977

  1. Asset returns and inflation
    Journal of Financial Economics, 1977, 5, (2), 115-146 Downloads View citations (498)
  2. Estimation of a non-invertible moving average process: The case of overdifferencing
    Journal of Econometrics, 1977, 6, (2), 199-224 Downloads View citations (21)
  3. Human capital and capital market equilibrium
    Journal of Financial Economics, 1977, 4, (1), 95-125 Downloads View citations (60)
  4. Public Regulation of National Securities Exchanges: A Test of the Capture Hypothesis
    Bell Journal of Economics, 1977, 8, (1), 128-150 Downloads View citations (7)
  5. Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis That the Real Rate of Interest is Constant
    American Economic Review, 1977, 67, (3), 478-86 Downloads View citations (66)
  6. Stock exchange seats as capital assets
    Journal of Financial Economics, 1977, 4, (1), 51-78 Downloads View citations (9)

Chapters

2003

  1. Anomalies and market efficiency
    Chapter 15 in Handbook of the Economics of Finance, 2003, vol. 1, Part 2, pp 939-974 Downloads View citations (85)
    See also Working Paper (2002)

Editor

  1. Journal of Financial Economics
    Elsevier
 
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