Robert Savickas
Title: Associate Professor of Finance
Department: Finance
Address: Funger Hall 501R
Phone: (202) 994-8936
Email: savickas@gwu.edu
Personal Web Site: www.savickas.net/Robert
Degrees: Ph.D., University of Georgia, 2000
M.B.A., Western Illinois University, 1996
M.A., Western Illinois University, 1994
Engineer, Riga Technical University (Latvia), 1994
B.S., Riga Technical University (Latvia), 1993
Area of Expertise: Continuous Time; Asset Pricing; Investments; Derivatives.
Publications: Hui Guo and Robert Savickas, “Idiosyncratic volatility, stock market volatility, and expected stock returns,'' 2005, Journal of Business and Economic Statistics 24, pp. 43-56.
Robert Savickas, “Evidence on delta hedging and implied volatilities for the Black-Scholes, gamma, and Weibull option pricing models," 2005, Journal of Financial Research 28, pp. 299-317.
Zhan Onayev and Robert Savickas, “The effect of ex-ante price on momentum profits," 2004, Journal of Behavioral Finance 5, pp. 8-22.
Robert Savickas and Arthur Wilson, “On inferring the direction of option trades," 2003, Journal of Financial and Quantitative Analysis 38, pp. 881-902.
Robert Savickas, “Event-Induced Volatility and Tests for Abnormal Performance," 2003, Journal of Financial Research, 26, pp. 165-178.
Jimmy Hilliard and Robert Savickas, “On the statistical significance of event effects on unsystematic volatility," 2002, Journal of Financial Research 25, pp. 1-16.
Robert Savickas, “A simple option pricing formula," 2002, The Financial Review 37, pp. 207-226.
Editorial Positions: Referee at: Journal of Empirical Finance;
Journal of Futures Markets;
Review of Economics and Statistics;
Journal of Business;
Journal of Financial Research;
Journal of Corporate Finance;
The Financial Review
Professional Activities: Visiting Scholar at Federal Reserve Bank of St. Louis
Member of the Board of Directors of the Washington Area Finance Association
Consultant at the World Bank and the Inter-American Development Bank
Current Research: Asset Pricing, Investments