I am a financial economist and an Assistant Professor of Finance (tenure track) at WU Vienna.

Before that, I was a research fellow at Ross (U of Michigan, Ann Arbor).

My research interests are in Asset Pricing. I am particularly interested in what asset prices tell us about peoples' preferences, how they are affected by different states of the world.

Right now, I am mostly working on risk sharing between heterogeneous agents and its effects on asset prices.


Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution (Journal of Financial Economics, 2021)

(joint with Christian Schlag and Julian Thimme)

We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that investors demand on average about seven percent return per year as a compensation for a late resolution of uncertainty. In a general equilibrium model, we show that `late' stocks can only have higher expected returns than `early' stocks, if the investor exhibits a preference for early resolution of uncertainty. Our empirical analysis thus provides a purely market-based assessment of the timing preferences of the marginal investor.

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Working papers

Risk Sharing Within and Outside the Firm: The Disparate Effects of Employment Protection on Expected Stock Returns

(joint with Robert Mahlstedt)

We study the effect of wrongful-discharge laws (WDL) on firm-level risk sharing and stock returns. Consistent with rational, risk-based pricing, the effect on returns is linked to how firms and workers share systematic risk via the distinct channels of employment and wage flexibility. We find disparate effects depending on the degree to which the law addresses problems arising from incomplete contracts. In states where WDLs prohibit employers from holding up employees by firing them, workers accept more variable compensation such that they bear more firm risk and expected returns are lower.Vaguer legislation applying exlusively to discharges in retaliation for following public policy only makes employment more sticky such that workers bear less firm risk and expected returns are higher.

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Institutional Investors, Households and the Time-Variation in Expected Stock Returns

I document a new stylized fact: the higher the degree of institutional ownership (IO) in a portfolio, the more time-varying expected returns rather than changes in expected cash flow growth drive changes in its valuation. Empirical evidence indicates that stock characteristics do not explain the result, but suggests that institutions’ time-varying sensitivity to the risk of holding stocks translates into time-varying expected returns on high-IO stocks. A proxy for institutional sector-specific risk positively predicts returns only for high IO stocks. This motivates my model, in which imperfect risk sharing between different types of investors generates cross-sectional differences in return predictability based on ownership, even among a-priori identical stocks. My findings help explain the weak return predictability of small and value stocks as well as predictability reversals of stocks and REITs.

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Value, Duration and Predictability

I test the hypothesis that the differences in return predictability between the value and growth portfolios are indeed due to value stocks having shorter cash flow duration. I find that duration acts as amplification for the change in dividend yields that is caused by discount rate variation. However, differences in return predictability across book-to-market sorted portfolios go beyond the effect of duration. For comparable cash flow duration, discount rate variation explains about 40% more of the dividend yield variation for growth stocks as opposed to value stocks. This is consistent with recent research suggesting that the exposure to value-specific risks is not driven by duration.

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