Details about G. William Schwert

Access statistics for papers by G. William Schwert.

Last updated 2024-03-06. Update your information in the RePEc Author Service.

Short-id: psc116

Working Papers

2020

1. The Remarkable Growth in Financial Economics, 1974-2020
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2011

2. Stock Volatility During the Recent Financial Crisis
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (88)
   See also Journal Article Stock Volatility during the Recent Financial Crisis, European Financial Management, European Financial Management Association (2011) View citations (85) (2011)

2006

3. The Variability of IPO Initial Returns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)
   See also Journal Article The Variability of IPO Initial Returns, Journal of Finance, American Finance Association (2010) View citations (122) (2010)

2002

4. Anomalies and Market Efficiency
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (41)
   See also Chapter Anomalies and market efficiency, Handbook of the Economics of Finance, Elsevier (2003) View citations (310) (2003)

2001

5. Biases in the IPO Pricing Process
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
6. Short Sales, Damages and Class Certification in 10b-5 Actions
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
7. Stock Volatility in the New Millennium: How Wacky Is Nasdaq?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
   See also Journal Article Stock volatility in the new millennium: how wacky is Nasdaq?, Journal of Monetary Economics, Elsevier (2002) View citations (67) (2002)

2000

8. IPO Market Cycles: Bubbles or Sequential Learning?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
   See also Journal Article IPO Market Cycles: Bubbles or Sequential Learning?, Journal of Finance, American Finance Association (2002) View citations (187) (2002)

1999

9. Hostility in Takeovers: In the Eyes of the Beholder?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
   See also Journal Article Hostility in Takeovers: In the Eyes of the Beholder?, Journal of Finance, American Finance Association (2000) View citations (329) (2000)

1998

10. Stock Market Volatility: Ten Years After the Crash
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (29)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1997) View citations (3)

1994

11. Mark-Up Pricing in Mergers and Acquisitions
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
    Also in Working Papers, Rochester, Business - Financial Research and Policy Studies (1994) View citations (2)
    See also Journal Article Markup pricing in mergers and acquisitions, Journal of Financial Economics, Elsevier (1996) View citations (296) (1996)

1993

12. Poison or Placebo? Evidence on the Deterrent and Wealth Effects of Modern Antitakeover Measures
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
    See also Journal Article Poison or placebo? Evidence on the deterrence and wealth effects of modern antitakeover measures, Journal of Financial Economics, Elsevier (1995) View citations (215) (1995)

1990

13. Stock Returns and Real Activity: A Century of Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (320)
    See also Journal Article Stock Returns and Real Activity: A Century of Evidence, Journal of Finance, American Finance Association (1990) View citations (327) (1990)

1989

14. ALTERNATIVE MODELS FOR CONDITIONAL STOCK VOLATILITY
    Working Papers, Rochester, Business - General View citations (15)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1989) View citations (309)
    See also Journal Article Alternative models for conditional stock volatility, Journal of Econometrics, Elsevier (1990) View citations (566) (1990)
15. Business Cycles, Financial Crises, and Stock Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (134)
    Also in Working Papers, Rochester, Business - General (1988) View citations (1)
    See also Journal Article Business cycles, financial crises, and stock volatility, Carnegie-Rochester Conference Series on Public Policy, Elsevier (1989) View citations (142) (1989)
16. Heteroskedasticity in Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    Also in Working Papers, Rochester, Business - General (1988) View citations (6)
    See also Journal Article Heteroskedasticity in Stock Returns, Journal of Finance, American Finance Association (1990) View citations (169) (1990)
17. INDEXES OF UNITED STATES STOCK PRICES FROM 1802-1987
    Working Papers, Rochester, Business - General View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1989) View citations (4)
18. MARGIN REQUIREMENTS AND STOCK VOLATILITY
    Working Papers, Columbia - Center for Futures Markets View citations (34)
19. STOCK VOLATILITY AND THE CRASH OF '87
    Working Papers, Rochester, Business - General View citations (29)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1989) View citations (149)
    See also Journal Article Stock Volatility and the Crash of '87, The Review of Financial Studies, Society for Financial Studies (1990) View citations (382) (1990)

1988

20. Tests For Unit Roots: A Monte Carlo Investigation
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (17)
    See also Journal Article Tests for Unit Roots: A Monte Carlo Investigation, Journal of Business & Economic Statistics, American Statistical Association (2002) View citations (50) (2002)
21. Why Does Stock Market Volatility Change Over Time?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (27)

Journal Articles

2011

1. Stock Volatility during the Recent Financial Crisis
   European Financial Management, 2011, 17, (5), 789-805 View citations (85)
   See also Working Paper Stock Volatility During the Recent Financial Crisis, NBER Working Papers (2011) View citations (88) (2011)

2010

2. The Variability of IPO Initial Returns
   Journal of Finance, 2010, 65, (2), 425-465 View citations (122)
   See also Working Paper The Variability of IPO Initial Returns, NBER Working Papers (2006) View citations (15) (2006)

2004

3. Is the IPO pricing process efficient?
   Journal of Financial Economics, 2004, 71, (1), 3-26 View citations (125)

2002

4. IPO Market Cycles: Bubbles or Sequential Learning?
   Journal of Finance, 2002, 57, (3), 1171-1200 View citations (187)
   See also Working Paper IPO Market Cycles: Bubbles or Sequential Learning?, NBER Working Papers (2000) View citations (11) (2000)
5. Stock volatility in the new millennium: how wacky is Nasdaq?
   Journal of Monetary Economics, 2002, 49, (1), 3-26 View citations (67)
   See also Working Paper Stock Volatility in the New Millennium: How Wacky Is Nasdaq?, NBER Working Papers (2001) View citations (6) (2001)
6. Tests for Unit Roots: A Monte Carlo Investigation
   Journal of Business & Economic Statistics, 2002, 20, (1), 5-17 View citations (50)
   Also in Journal of Business & Economic Statistics, 1989, 7, (2), 147-59 (1989) View citations (717)
   See also Working Paper Tests For Unit Roots: A Monte Carlo Investigation, NBER Technical Working Papers (1988) View citations (17) (1988)

2000

7. Hostility in Takeovers: In the Eyes of the Beholder?
   Journal of Finance, 2000, 55, (6), 2599-2640 View citations (329)
   See also Working Paper Hostility in Takeovers: In the Eyes of the Beholder?, NBER Working Papers (1999) View citations (3) (1999)

1997

8. Symposium on market microstructure: Focus on Nasdaq
   Journal of Financial Economics, 1997, 45, (1), 3-8 View citations (9)

1996

9. Markup pricing in mergers and acquisitions
   Journal of Financial Economics, 1996, 41, (2), 153-192 View citations (296)
   See also Working Paper Mark-Up Pricing in Mergers and Acquisitions, NBER Working Papers (1994) View citations (16) (1994)

1995

10. Poison or placebo? Evidence on the deterrence and wealth effects of modern antitakeover measures
    Journal of Financial Economics, 1995, 39, (1), 3-43 View citations (215)
    See also Working Paper Poison or Placebo? Evidence on the Deterrent and Wealth Effects of Modern Antitakeover Measures, NBER Working Papers (1993) View citations (12) (1993)

1993

11. The journal of financial economics*1: A retrospective evaluation (1974-1991)
    Journal of Financial Economics, 1993, 33, (3), 369-424 View citations (30)

1990

12. Alternative models for conditional stock volatility
    Journal of Econometrics, 1990, 45, (1-2), 267-290 View citations (566)
    See also Working Paper ALTERNATIVE MODELS FOR CONDITIONAL STOCK VOLATILITY, Working Papers (1989) View citations (15) (1989)
13. Editorial
    Journal of Financial Economics, 1990, 28, (1-2), 3-5
14. Heteroskedasticity in Stock Returns
    Journal of Finance, 1990, 45, (4), 1129-55 View citations (169)
    See also Working Paper Heteroskedasticity in Stock Returns, NBER Working Papers (1989) View citations (3) (1989)
15. Indexes of U.S. Stock Prices from 1802 to 1987
    The Journal of Business, 1990, 63, (3), 399-426 View citations (79)
16. Stock Returns and Real Activity: A Century of Evidence
    Journal of Finance, 1990, 45, (4), 1237-57 View citations (327)
    See also Working Paper Stock Returns and Real Activity: A Century of Evidence, NBER Working Papers (1990) View citations (320) (1990)
17. Stock Volatility and the Crash of '87
    The Review of Financial Studies, 1990, 3, (1), 77-102 View citations (382)
    See also Working Paper STOCK VOLATILITY AND THE CRASH OF '87, Working Papers (1989) View citations (29) (1989)
18. Testing for covariance stationarity in stock market data
    Economics Letters, 1990, 33, (2), 165-170 View citations (49)

1989

19. Business cycles, financial crises, and stock volatility
    Carnegie-Rochester Conference Series on Public Policy, 1989, 31, (1), 83-125 View citations (142)
    See also Working Paper Business Cycles, Financial Crises, and Stock Volatility, NBER Working Papers (1989) View citations (134) (1989)
20. Business cycles, financial crises, and stock volatility: Reply to Shiller
    Carnegie-Rochester Conference Series on Public Policy, 1989, 31, (1), 133-137 View citations (64)
21. Clinical papers and their role in the development of financial economics
    Journal of Financial Economics, 1989, 24, (1), 3-6 View citations (14)

1987

22. Effects of model specification on tests for unit roots in macroeconomic data
    Journal of Monetary Economics, 1987, 20, (1), 73-103 View citations (236)
23. Expected stock returns and volatility
    Journal of Financial Economics, 1987, 19, (1), 3-29 View citations (1668)

1986

24. The time series behavior of real interest rates A comment
    Carnegie-Rochester Conference Series on Public Policy, 1986, 24, (1), 275-287 View citations (5)

1985

25. A discussion of CEO deaths and the reaction of stock prices
    Journal of Accounting and Economics, 1985, 7, (1-3), 175-178 View citations (4)
26. Information Aggregation, Inflation, and the Pricing of Indexed Bonds
    Journal of Political Economy, 1985, 93, (1), 92-114 View citations (17)

1983

27. Effects of Nominal Contracting on Stock Returns
    Journal of Political Economy, 1983, 91, (1), 70-96 View citations (36)
28. Size and stock returns, and other empirical regularities
    Journal of Financial Economics, 1983, 12, (1), 3-12 View citations (46)

1982

29. Differencing as a Test of Specification
    International Economic Review, 1982, 23, (3), 535-52 View citations (24)

1981

30. The Adjustment of Stock Prices to Information about Inflation
    Journal of Finance, 1981, 36, (1), 15-29 View citations (148)
31. Using Financial Data to Measure Effects of Regulation
    Journal of Law and Economics, 1981, 24, (1), 121-58 View citations (167)

1979

32. Inflation, Interest, and Relative Prices
    The Journal of Business, 1979, 52, (2), 183-209 View citations (7)
33. Potential GNP: Its measurement and significance: A dissenting opinion
    Carnegie-Rochester Conference Series on Public Policy, 1979, 10, (1), 179-186 View citations (29)
34. Tests of causality: The message in the innovations
    Carnegie-Rochester Conference Series on Public Policy, 1979, 10, (1), 55-96 View citations (12)

1978

35. Money, income, and sunspots: Measuring economic relationships and the effects of differencing
    Journal of Monetary Economics, 1978, 4, (4), 637-660 View citations (64)

1977

36. Asset returns and inflation
    Journal of Financial Economics, 1977, 5, (2), 115-146 View citations (880)
37. Estimation of a non-invertible moving average process: The case of overdifferencing
    Journal of Econometrics, 1977, 6, (2), 199-224 View citations (35)
38. Human capital and capital market equilibrium
    Journal of Financial Economics, 1977, 4, (1), 95-125 View citations (94)
39. Public Regulation of National Securities Exchanges: A Test of the Capture Hypothesis
    Bell Journal of Economics, 1977, 8, (1), 128-150 View citations (12)
40. 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 View citations (138)
41. Stock exchange seats as capital assets
    Journal of Financial Economics, 1977, 4, (1), 51-78 View citations (12)

Chapters

2022

1. Eugene F. Fama (1939–)
   Springer

2003

2. Anomalies and market efficiency
   Chapter 15 in Handbook of the Economics of Finance, 2003, vol. 1, Part 2, pp 939-974 View citations (310)
   See also Working Paper Anomalies and Market Efficiency, National Bureau of Economic Research, Inc (2002) View citations (41) (2002)