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Savickas, Robert's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
7,797 |
Total
Citations
142 |
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1.
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Savickas, Robert
George Washington University - School of Business - Department of Finance
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1,280
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2.
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Guo, Hui
University of Cincinnati - Department of Finance - Real Estate Savickas, Robert
George Washington University - School of Business - Department of Finance
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774
(13,790)
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41
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Idiosyncratic stock volatility, stock market volatility, consumption-wealth ratio,stock return predictability, out-of-sample forecast, stock market timing strategies, and portfolio choices
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3.
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Guo, Hui
University of Cincinnati - Department of Finance - Real Estate Savickas, Robert
George Washington University - School of Business - Department of Finance
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737
(14,788)
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Stock Return Predictability, Average Idiosyncratic Variance, Stock Market Variance, Discount-Rate Shock, Cash-Flow Shock, CAPM, and ICAPM
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4.
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Savickas, Robert
George Washington University - School of Business - Department of Finance
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623
(18,890)
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Stochastic volatility, event studies, GARCH
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5.
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Guo, Hui
University of Cincinnati - Department of Finance - Real Estate Savickas, Robert
George Washington University - School of Business - Department of Finance
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25 May 06
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Last Revised:
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09 Apr 10
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447
(29,482)
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6
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Stock return predictability, Average idiosyncratic variance, Stock market variance, Cross-section of stock returns, Value premium, CAPM
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6.
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Savickas, Robert
George Washington University - School of Business - Department of Finance
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385
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7.
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Guo, Hui
University of Cincinnati - Department of Finance - Real Estate Savickas, Robert
George Washington University - School of Business - Department of Finance
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331
(42,872)
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1
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Exchange rate predictability, average idiosyncratic volatility, monetary model
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8.
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Guo, Hui
University of Cincinnati - Department of Finance - Real Estate Wang, Zijun
Texas A&M University Savickas, Robert
George Washington University - School of Business - Department of Finance Yang, Jian
University of Colorado Denver - The Business School
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331
(42,872)
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18
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CAPM, ICAPM, Fama and French Three Factors, Stock Market Return Predictability, Realized Volatility, and GARCH, Value Premium
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9.
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Hilliard, Jimmy E.
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration Savickas, Robert
George Washington University - School of Business - Department of Finance
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304
(47,325)
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3
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10.
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Bandara, Wachindra
George Washington University - Department of Finance Savickas, Robert
George Washington University - School of Business - Department of Finance
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30 Jan 07
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Last Revised:
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20 Mar 13
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290
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ICAPM, asset productivity, value premium, growth stocks, firm volatility, noise
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11.
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Savickas, Robert
George Washington University - School of Business - Department of Finance Wilson, Arthur J.
George Washington University - Department of Finance
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289
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6
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buyer-initiated, seller-initiated, tick rule, quote rule, transaction data, options
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12.
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Average Idiosyncratic Volatility in G7 Countries
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Versions (2)
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Guo, Hui
University of Cincinnati - Department of Finance - Real Estate Savickas, Robert
George Washington University - School of Business - Department of Finance
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Posted:
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08 Nov 04
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Last Revised:
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29 Jul 10
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288
(50,428)
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35
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Guo, Hui
University of Cincinnati - Department of Finance - Real Estate Savickas, Robert
George Washington University - School of Business - Department of Finance
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0
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G1
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Guo, Hui
University of Cincinnati - Department of Finance - Real Estate Savickas, Robert
George Washington University - School of Business - Department of Finance
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288
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35
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Idiosyncratic Volatility, Stock Market Volatility, Value Premium, Stock Return Predictability, ICAPM, Unit Root, Deterministic Trend, Granger Causality
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13.
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On the Statistical Significance of Event Effects on Unsystematic Volatility
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Show Abstracts |
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Savickas, Robert
George Washington University - School of Business - Department of Finance Hillard, Jimmy E.
Louisiana State University, Baton Rouge - Department of Finance
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Posted:
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25 Feb 00
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Last Revised:
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30 Jul 01
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288
(50,428)
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5
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Savickas, Robert
George Washington University - School of Business - Department of Finance Hillard, Jimmy E.
Louisiana State University, Baton Rouge - Department of Finance
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Hilliard, Jimmy E.
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration Savickas, Robert
George Washington University - School of Business - Department of Finance
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288
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14.
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Savickas, Robert
George Washington University - School of Business - Department of Finance Tchuindjo, Leonard
George Washington University - School of Engineering and Applied Science (SEAS)
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208
(71,713)
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1
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defaultable bond, credit spread, PDE, Ho and Lee model, HJM model
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15.
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Guo, Hui
University of Cincinnati - Department of Finance - Real Estate Savickas, Robert
George Washington University - School of Business - Department of Finance
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193
(77,344)
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Stock Return Predictability, Cross Section of Stock Returns, Size Premium, Value Premium, and Momentum Profit
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16.
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Guo, Hui
University of Cincinnati - Department of Finance - Real Estate Mortal, Sandra
University of Memphis Savickas, Robert
George Washington University - School of Business - Department of Finance Wood, Robert
University of Memphis - Fogelman College of Business and Economics
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24 Jan 10
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Last Revised:
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31 Mar 11
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164
(90,200)
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liquidity, stock return predictability, and conditional equity premium
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17.
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Guo, Hui
University of Cincinnati - Department of Finance - Real Estate Savickas, Robert
George Washington University - School of Business - Department of Finance
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151
(97,184)
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exchange rate predictability, average idiosyncratic volatility, monetary model, bootstrap, data mining
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18.
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Yuan, Jianhua
George Washington University - Department of Finance Savickas, Robert
George Washington University - School of Business - Department of Finance
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29 Dec 08
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Last Revised:
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20 Jul 09
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147
(99,497)
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1
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Cross-Sectional Regression, Consistent Estimator, Efficient Estimator, Risk Premium, Zero-Beta Return, Model Misspecification, Beta-Variation
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19.
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Desai, Chintal A.
University of Texas - Pan American Savickas, Robert
George Washington University - School of Business - Department of Finance
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22 Mar 09
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Last Revised:
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10 May 10
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137
(105,699)
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3
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Conglomerate breakups, Spinoffs, Equity carveouts, Divestitures, Volatility.
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20.
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Guo, Hui
University of Cincinnati - Department of Finance - Real Estate Wang, Zijun
Texas A&M University Savickas, Robert
George Washington University - School of Business - Department of Finance Yang, Jian
University of Colorado Denver - The Business School
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119
(118,614)
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17
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ICAPM, value premium, stock return predictability, realized variance, and GARCH
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21.
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Savickas, Robert
George Washington University - School of Business - Department of Finance Zhao, Bo
George Washington University
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22 Sep 12
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Last Revised:
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20 Mar 13
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106
(129,523)
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Dividend policy, market sentiment, financial decisions
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22.
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Savickas, Robert
George Washington University - School of Business - Department of Finance Zhao, Bo
George Washington University
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20 Mar 12
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Last Revised:
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03 Feb 13
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63
(179,007)
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idiosyncratic volatility discount, dividend policy
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23.
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Desai, Chintal A.
University of Texas - Pan American Nguyen, Khoa Huu
The University of Texas - Pan American Savickas, Robert
George Washington University - School of Business - Department of Finance
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18 Sep 11
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Last Revised:
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19 Aug 12
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55
(191,510)
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Dividend Initiation, Idiosyncratic Volatility
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24.
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Chang, Yuan-Szu
George Washington University - School of Business - Department of Finance Savickas, Robert
George Washington University - School of Business - Department of Finance
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04 Nov 12
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Last Revised:
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25 Feb 13
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45
(209,384)
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ICAPM, return decomposition, cash-flow news, discount-rate news, state-space model, value-premium
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25.
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Thomas, Jason
Savickas, Robert
George Washington University - School of Business - Department of Finance
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17 Jan 12
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Last Revised:
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20 Mar 13
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42
(215,429)
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House prices, convenience yield, residential mortgage default
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26.
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Savickas, Robert
George Washington University - School of Business - Department of Finance
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27.
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Savickas, Robert
George Washington University - School of Business - Department of Finance
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28.
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Savickas, Robert
George Washington University - School of Business - Department of Finance
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option-pricing, S&P500, Weibull distribution, Black-Scholes, skewness
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