Robert Savickas
Biographic Data
| ID | 8920689 |
|---|---|
| NAME | Robert Savickas |
| GIVEN NAMES | Robert |
| FAMILY NAME | Savickas |
| SIGNATURE | SAVICKAS R |
| AFFILIATIONS | George Washington University |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2006 |
| LATEST PUBLICATION YEAR | 2006 |
| H-INDEX | 0 |
Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns
We find that the value-weighted idiosyncratic stock volatility and aggregate stock market volatility jointly exhibit strong predictive power for excess stock market returns. The stock market risk–return relation is found to be positive, as stipulated by the capital asset pricing model; however, idiosyncratic volatility is negatively related to future stock market returns. Also, idiosyncratic volatility appears to be a pervasive macrovariable, and…
No prominent works on this page.
Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns
We find that the value-weighted idiosyncratic stock volatility and aggregate stock market volatility jointly exhibit strong predictive power for excess stock market returns. The stock market risk–return relation is found to be positive, as stipulated by the capital asset pricing model; however, idiosyncratic volatility is negatively related to future stock market returns. Also, idiosyncratic volatility appears to be a pervasive macrovariable, and…
Capital asset pricing model (1 work) · Econometrics (1 work) · Economics (1 work) · Financial economics (1 work) · Financial Markets and Investment Strategies (1 work) · Financial Risk and Volatility Modeling (1 work) · Forward volatility (1 work) · Implied volatility (1 work) · Market Dynamics and Volatility (1 work) · Monetary economics (1 work)