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

30

DOWNLOADS
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Top 4,415

in Total Papers Downloads

9,903

SSRN CITATIONS
Rank 17,090

SSRN RANKINGS

Top 17,090

in Total Papers Citations

48

CROSSREF CITATIONS

9

Scholarly Papers (30)

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 1,471 (13,409)
Citation 2

Abstract:

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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 1,044 (22,559)

Abstract:

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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

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 911 (27,501)
Citation 21

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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

4.

Abnormal Returns

Number of pages: 19 Posted: 11 May 2001
Robert Savickas
George Washington University - School of Business - Department of Finance
Downloads 657 (43,136)

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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 608 (47,794)
Citation 4

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

6.

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 404 (79,270)
Citation 2

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Exchange rate predictability, average idiosyncratic volatility, monetary model

7.

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 397 (80,911)
Citation 2

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

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

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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 384 (83,379)
Citation 24

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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:

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G1

10.

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 379 (85,367)
Citation 2

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

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 366 (88,920)

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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 332 (99,227)
Citation 2

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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 329 (100,247)
Citation 2

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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 321 (102,460)

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On the Statistical Significance of Event Effects on Unsystematic Volatility

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

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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 318 (104,106)
Citation 1

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liquidity, stock return predictability, conditional equity premium

16.

The Social Media Risk Premium

Number of pages: 48 Posted: 29 Jan 2020
George Washington University - Department of Finance, George Washington University - Department of Finance, George Mason University - Department of Finance and George Washington University - School of Business - Department of Finance
Downloads 224 (149,572)

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Stock Returns, Social Media Risk, Social Media Risk Factor, Machine Learning, Twitter

17.

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 214 (156,114)
Citation 1

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

18.

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 189 (175,094)
Citation 1

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

19.

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 186 (177,642)

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

20.

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 177 (185,633)

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

21.

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 (197,237)

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

22.

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 131 (238,145)
Citation 4

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

23.

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 120 (254,524)

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

24.

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 109 (272,551)

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idiosyncratic volatility discount, dividend policy

25.

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 82 (327,750)

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House prices, convenience yield, residential mortgage default

26.

Dynamic Risk Factors and the Asset Returns

Posted: 25 Mar 2019 Last Revised: 04 Mar 2020
Tina T Swan, Bruce Q Sun and Robert Savickas
University of Pitsburgh, State University of New York (SUNY) and George Washington University - School of Business - Department of Finance

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Stochastic Volatility; Risk Factor; Intertemporal Capital Asset; Term Spread.

27.

The Excess Volatility in Foreign Exchange Risk Premium and the Forward Rate Bias

Posted: 16 Apr 2018 Last Revised: 25 Mar 2019
Tina T Swan, Bruce Q Sun and Robert Savickas
University of Pitsburgh, State University of New York (SUNY) and George Washington University - School of Business - Department of Finance

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Risk Premium, Forward Bias, Gray Rhino, Term Structure, Global Factor

28.

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

Posted: 15 Jun 2004
Robert Savickas
George Washington University - School of Business - Department of Finance

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29.

Event-Induced Volatility and Tests for Abnormal Performance

Posted: 01 Aug 2002
Robert Savickas
George Washington University - School of Business - Department of Finance

Abstract:

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30.

A Simple Option-Pricing Formula

Posted: 22 Dec 2001
Robert Savickas
George Washington University - School of Business - Department of Finance

Abstract:

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