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John T. Scruggs · Study

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John T. Scruggs

6 works· latest 2007· 3 institutionscluster: provisional

h-index6

i106

Citations811

Works here6

98

01

03

06

07

Most cited in this library

Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two‐Factor Approach1998 · 427 citations
Risk Premia and the Dynamic Covariance between Stock and Bond Returns2003 · 159 citations
Who Trades around the Ex-Dividend Day? Evidence from NYSE Audit File Data1998 · 103 citations
Noise trader risk: Evidence from the Siamese twins2006 · 49 citations
Risk Premia and the Dynamic Covariance between Stock and Bond Returns2001 · 41 citations

Works

6 shown

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

Journal of Financial and Quantitative Analysis·2007·2 authors

32citations

Noise trader risk: Evidence from the Siamese twins

Journal of Financial Markets·2006·1 author·Open access

49citations

Risk Premia and the Dynamic Covariance between Stock and Bond Returns

Journal of Financial and Quantitative Analysis·2003·2 authors

159citations

Risk Premia and the Dynamic Covariance between Stock and Bond Returns

SSRN Electronic Journal·2001·2 authors·preprint·Open access

41citations

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

The Journal of Finance·1998·1 author·Open access

427citations

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

Financial Management·1998·2 authors·Open access

103citations