Robert Savickas

George Washington University - School of Business - Department of Finance

Associate Professor

Funger Hall, Suite 501R

2201 G Street, N.W.

Washington, DC 20052

United States

http://savickas.net/

SCHOLARLY PAPERS

29

DOWNLOADS
Rank 3,897

SSRN RANKINGS

Top 3,897

in Total Papers Downloads

9,345

CITATIONS
Rank 3,428

SSRN RANKINGS

Top 3,428

in Total Papers Citations

158

Scholarly Papers (29)

1.

A Simple Option Pricing Formula (New Version)

Number of pages: 30 Posted: 10 May 2001
Robert Savickas
George Washington University - School of Business - Department of Finance
Downloads 1,433 (11,385)
Citation 2

Abstract:

Loading...

2.

Understanding Stock Return Predictability

FRB of St. Louis Working Paper No. 2006-019B
Number of pages: 60 Posted: 15 Apr 2006
Hui Guo and Robert Savickas
University of Cincinnati - Department of Finance - Real Estate and George Washington University - School of Business - Department of Finance
Downloads 976 (20,598)

Abstract:

Loading...

Stock Return Predictability, Average Idiosyncratic Variance, Stock Market Variance, Discount-Rate Shock, Cash-Flow Shock, CAPM, and ICAPM

3.

Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns

AFA 2005 Philadelphia Meetings
Number of pages: 56 Posted: 08 Mar 2004
Hui Guo and Robert Savickas
University of Cincinnati - Department of Finance - Real Estate and George Washington University - School of Business - Department of Finance
Downloads 894 (23,404)
Citation 44

Abstract:

Loading...

Idiosyncratic stock volatility, stock market volatility, consumption-wealth ratio,stock return predictability, out-of-sample forecast, stock market timing strategies, and portfolio choices

4.

Abnormal Returns

Number of pages: 19 Posted: 11 May 2001
Robert Savickas
George Washington University - School of Business - Department of Finance
Downloads 647 (36,670)

Abstract:

Loading...

Stochastic volatility, event studies, GARCH

5.

Relation between Time-Series and Cross-Sectional Effects of Idiosyncratic Variance on Stock Returns

FRB of St. Louis Working Paper No. 2006-036A
Number of pages: 48 Posted: 25 May 2006 Last Revised: 09 Apr 2010
Hui Guo and Robert Savickas
University of Cincinnati - Department of Finance - Real Estate and George Washington University - School of Business - Department of Finance
Downloads 586 (41,775)
Citation 8

Abstract:

Loading...

Stock return predictability, Average idiosyncratic variance, Stock market variance, Cross-section of stock returns, Value premium, CAPM

6.

A Theory and Evidence on Technology, Value Premium, and Volatility

Number of pages: 101 Posted: 30 Jan 2007 Last Revised: 30 Apr 2015
Wachi Bandara and Robert Savickas
Pluribus Labs and George Washington University - School of Business - Department of Finance
Downloads 392 (68,948)

Abstract:

Loading...

asset productivity, asset liquidity, value premium, growth stocks, firm volatility, noise, ICAPM, elasticity of expectations

7.

Foreign Exchange Rates Don't Follow a Random Walk

Number of pages: 48 Posted: 17 Mar 2005
Hui Guo and Robert Savickas
University of Cincinnati - Department of Finance - Real Estate and George Washington University - School of Business - Department of Finance
Downloads 388 (69,816)
Citation 1

Abstract:

Loading...

Exchange rate predictability, average idiosyncratic volatility, monetary model

8.

A Simple Option Pricing Formula

Number of pages: 13 Posted: 22 Jun 2000
Robert Savickas
George Washington University - School of Business - Department of Finance
Downloads 385
Citation 3

Abstract:

Loading...

9.

Is Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence

FRB of St. Louis Working Paper No. 2005-026B
Number of pages: 65 Posted: 17 Mar 2005
Hui Guo, Zijun Wang, Robert Savickas and Jian Yang
University of Cincinnati - Department of Finance - Real Estate, Texas A&M University, George Washington University - School of Business - Department of Finance and University of Colorado at Denver - Business School
Downloads 376 (72,417)
Citation 19

Abstract:

Loading...

CAPM, ICAPM, Fama and French Three Factors, Stock Market Return Predictability, Realized Volatility, and GARCH, Value Premium

Average Idiosyncratic Volatility in G7 Countries

FRB of St. Louis Working Paper No. 2004-027C
Number of pages: 62 Posted: 08 Nov 2004
Hui Guo and Robert Savickas
University of Cincinnati - Department of Finance - Real Estate and George Washington University - School of Business - Department of Finance
Downloads 358 (76,098)
Citation 39

Abstract:

Loading...

Idiosyncratic Volatility, Stock Market Volatility, Value Premium, Stock Return Predictability, ICAPM, Unit Root, Deterministic Trend, Granger Causality

Average Idiosyncratic Volatility in G7 Countries

The Review of Financial Studies, Vol. 21, Issue 3, pp. 1259-1296, 2008
Posted: 02 Jul 2008
Hui Guo and Robert Savickas
University of Cincinnati - Department of Finance - Real Estate and George Washington University - School of Business - Department of Finance

Abstract:

Loading...

G1

11.

Market Sentiment and Dividend Policy: Cross Sectional Evidence

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 50 Posted: 22 Sep 2012 Last Revised: 20 Mar 2013
Robert Savickas and Bo Zhao
George Washington University - School of Business - Department of Finance and George Washington University
Downloads 346 (79,748)

Abstract:

Loading...

Dividend policy, market sentiment, financial decisions

12.

On Stochastic Volatility and More Powerful Parametric Tests of Event Effects on Unsystematic Returns

Number of pages: 50 Posted: 07 Feb 2000
Jimmy E. Hilliard and Robert Savickas
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and George Washington University - School of Business - Department of Finance
Downloads 329 (84,540)
Citation 3

Abstract:

Loading...

13.

On Inferring the Direction of Option Trades

Number of pages: 47 Posted: 27 Dec 2001
Robert Savickas and Arthur J. Wilson
George Washington University - School of Business - Department of Finance and George Washington University - Department of Finance
Downloads 320 (87,164)
Citation 6

Abstract:

Loading...

buyer-initiated, seller-initiated, tick rule, quote rule, transaction data, options

On the Statistical Significance of Event Effects on Unsystematic Volatility

Number of pages: 41 Posted: 25 Feb 2000
Jimmy E. Hilliard and Robert Savickas
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and George Washington University - School of Business - Department of Finance
Downloads 315 (88,129)
Citation 5

Abstract:

Loading...

On the Statistical Significance of Event Effects on Unsystematic Volatility

Forthcoming in Journal of Financial Research
Posted: 08 Jun 2001
Robert Savickas and Jimmy E. Hilliard
George Washington University - School of Business - Department of Finance and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration

Abstract:

Loading...

15.

Market Illiquidity and Conditional Equity Premium

Number of pages: 44 Posted: 24 Jan 2010 Last Revised: 09 Oct 2016
Hui Guo, Sandra Mortal, Robert Savickas and Robert Wood
University of Cincinnati - Department of Finance - Real Estate, University of Alabama - Culverhouse College of Commerce & Business Administration, George Washington University - School of Business - Department of Finance and University of Memphis - Fogelman College of Business and Economics
Downloads 279 (101,320)
Citation 7

Abstract:

Loading...

liquidity, stock return predictability, conditional equity premium

16.

On the Cross Section of Conditionally Expected Stock Returns

Number of pages: 44 Posted: 08 Mar 2004
Hui Guo and Robert Savickas
University of Cincinnati - Department of Finance - Real Estate and George Washington University - School of Business - Department of Finance
Downloads 212 (133,696)

Abstract:

Loading...

Stock Return Predictability, Cross Section of Stock Returns, Size Premium, Value Premium, and Momentum Profit

17.

Cross-Sectional Estimation Biases in Risk Premia and Zero-Beta Excess Returns

Number of pages: 38 Posted: 29 Dec 2008 Last Revised: 20 Jul 2009
Jianhua Yuan and Robert Savickas
George Washington University - Department of Finance and George Washington University - School of Business - Department of Finance
Downloads 185 (151,827)
Citation 1

Abstract:

Loading...

Cross-Sectional Regression, Consistent Estimator, Efficient Estimator, Risk Premium, Zero-Beta Return, Model Misspecification, Beta-Variation

18.

On the Causes of Volatility Effects of Conglomerate Breakups

Number of pages: 49 Posted: 22 Mar 2009 Last Revised: 10 May 2010
Chintal A. Desai and Robert Savickas
Virginia Commonwealth University (VCU) and George Washington University - School of Business - Department of Finance
Downloads 176 (158,802)
Citation 2

Abstract:

Loading...

Conglomerate breakups, Spinoffs, Equity carveouts, Divestitures, Volatility.

19.

Asset Pricing Anomalies: Two Hedge Factors with Negative Risk Premia Embedded in Portfolios!

Number of pages: 38 Posted: 16 Jan 2017
Arun Muralidhar, Robert Savickas and Tzu-Jui Mao
AlphaEngine Global Investment Solutions, George Washington University - School of Business - Department of Finance and International Finance Corporations (IFC)
Downloads 167 (166,282)

Abstract:

Loading...

Relative Asset Pricing Model, RAPM, Fama-French, Factor-Based Investing, Asset Pricing Model Tests, Negative Risk Premia, Adaptive Markets Hypothesis

20.

Idiosyncratic Volatility, Economic Fundamentals, and Foreign Exchange Rates

FRB of St. Louis Working Paper No. 2005-025B
Number of pages: 53 Posted: 17 May 2006
Hui Guo and Robert Savickas
University of Cincinnati - Department of Finance - Real Estate and George Washington University - School of Business - Department of Finance
Downloads 165 (168,061)

Abstract:

Loading...

exchange rate predictability, average idiosyncratic volatility, monetary model, bootstrap, data mining

21.

Is the Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 51 Posted: 24 Oct 2006
Hui Guo, Zijun Wang, Robert Savickas and Jian Yang
University of Cincinnati - Department of Finance - Real Estate, Texas A&M University, George Washington University - School of Business - Department of Finance and University of Colorado at Denver - Business School
Downloads 129 (205,777)
Citation 18

Abstract:

Loading...

ICAPM, value premium, stock return predictability, realized variance, and GARCH

22.

Return Decomposition: A Bayesian State-Space Model Approach

Number of pages: 76 Posted: 04 Nov 2012 Last Revised: 16 Mar 2015
Yuan-Szu Chang and Robert Savickas
George Washington University - School of Business - Department of Finance and George Washington University - School of Business - Department of Finance
Downloads 113 (227,291)

Abstract:

Loading...

ICAPM, return decomposition, cash-flow news, discount-rate news, state-space model, value-premium, Bayesian

23.

Distribution Effect and Idiosyncratic Volatility Discount

Number of pages: 62 Posted: 20 Mar 2012 Last Revised: 03 Feb 2013
Robert Savickas and Bo Zhao
George Washington University - School of Business - Department of Finance and George Washington University
Downloads 97 (252,718)

Abstract:

Loading...

idiosyncratic volatility discount, dividend policy

24.

House Price Variation and the Convenience Yield to Owning One’s Home

Number of pages: 36 Posted: 17 Jan 2012 Last Revised: 20 Mar 2013
Jason Thomas and Robert Savickas
George Washington University - Department of Finance and George Washington University - School of Business - Department of Finance
Downloads 77 (291,523)

Abstract:

Loading...

House prices, convenience yield, residential mortgage default

25.

An Examination of the Risk Premium and the Forward Premium Anomaly

Posted: 16 Apr 2018
Tina T Swan, Bruce Q Sun and Robert Savickas
SUNY Buffalo State, State University of New York (SUNY) and George Washington University - School of Business - Department of Finance

Abstract:

Loading...

Term Structure, Forward Premium, Exchange Rate, Affine Model, Global Factor

26.

Linear Term Structure Models and the Forward Premium Anomaly

Midwest Finance Association 2012 Annual Meetings Paper
Posted: 28 Sep 2011 Last Revised: 19 May 2018
Tina T Swan, Bruce Q Sun and Robert Savickas
SUNY Buffalo State, State University of New York (SUNY) and George Washington University - School of Business - Department of Finance

Abstract:

Loading...

Term Structure, Forward Premium, Exchange Rate, Affine Model, Global Factor

27.

Evidence on Delta Hedging and Implied Volatilities for the Black-Scholes, Gamma and Weibull Option-Pricing Models

Journal of Financial Research, Forthcoming
Posted: 15 Jun 2004
Robert Savickas
George Washington University - School of Business - Department of Finance

Abstract:

Loading...

28.

Event-Induced Volatility and Tests for Abnormal Performance

Journal of Financial Research, Forthcoming
Posted: 01 Aug 2002
Robert Savickas
George Washington University - School of Business - Department of Finance

Abstract:

Loading...

29.

A Simple Option-Pricing Formula

Forthcoming in The Financial Review
Posted: 22 Dec 2001
Robert Savickas
George Washington University - School of Business - Department of Finance

Abstract:

Loading...

option-pricing, S&P500, Weibull distribution, Black-Scholes, skewness