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Distribution Effect and Idiosyncratic Volatility Discount by Robert...

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Based on information signaling theory, this paper empirically shows that distribution effect matters for idiosyncratic volatility discount. Idiosyncratic volati

Savickas, Robert [WorldCat Identities]

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Publications about Robert Savickas Publications by Robert Savickas off 0 Publications by Robert Savickas off 0 Publications by Robert Savickas.

asset pricing anomalies: two hedge factors with negative risk ...

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1 Robert Savickas is an Associate Professor, at the Department of Finance, School of Business, ... Technologies and AlphaEngine Global Investment Solutions. › SSRN_ID _code

SSRN-Is the Value Premium a Proxy for Time-Varying Investment...

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SSRN-Is the Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence by Hui Guo, Robert Savickas, Zijun Wang, Jian Yang

Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock...

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We show that the value-weighted idiosyncratic stock volatility and aggregate stock market volatility jointly exhibit strong predictive abilities for excess stoc

Understanding Stock Return Predictability by Hui Guo, Robert Savickas...

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Over the period 1927:Q1 to 2005:Q4, the average CAPM-based idiosyncratic variance (IV) and stock market variance jointly forecast stock market returns. This res

On the Cross Section of Conditionally Expected Stock Returns by Hui...

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Robert Savickas George Washington University - School of Business - Department of Finance October 28, Abstract: We test and find evidence against Sharpe (1964

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Dokumente zum Namen Robert Savickas

Distribution Effect and Idiosyncratic Volatility Discount by Robert...

Savickas, Robert [WorldCat Identities]

asset pricing anomalies: two hedge factors with negative risk ...

SSRN-Is the Value Premium a Proxy for Time-Varying Investment...

Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock...

Understanding Stock Return Predictability by Hui Guo, Robert Savickas...

On the Cross Section of Conditionally Expected Stock Returns by Hui...