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I am the Mitsui Life Research Fellow at the Ross School of Business at the University of Michigan, Ann Arbor.

My research interests are in theoretical and empirical Asset Pricing.

For more information, see my CV.



E-Mail: rcweber [at] umich [dot] edu








I document a new stylized fact: the higher the share of institutional ownership in a stock, the more its price-dividend ratio is driven by discount rate variation rather than by changes in dividend growth expectations. Hence, the dividend-price ratio of stocks with high institutional ownership predicts returns. Conversely, for stocks held mostly by individual investors, returns are not predictable. As a general equilibrium outcome, return predictability crucially depends on properties of the marginal investor. Strongly time-varying volatility in the marginal utility of institutions acting as marginal investors in the respective stocks provides a natural explanation for the observed pattern. In an equilibrium model, time-varying redemption risk generates the observed predictability patterns among a priori identical stocks. My findings help explain the weak return predictability of small and value stocks and the postwar predictability reversal.


Read on here


Using implied volatilities of different maturities, we identify stocks with late and early resolution of uncertainty and show that stocks which provide a late resolution of uncertainty have on average higher returns. We introduce a convenient stock-level measure for the timeliness of uncertainty resolution called Implied Volatility Duration (IVD). In the above figures that depict the cumulated term structure of implied volatility, IVD is roughly proportional to the striped area above the curve. A stock with low IVD has a lot of its expected future volatility resolved early on, i.e. its uncertainty is resolve early (like the stock in the upper graph). Returns on stocks with high IVD have an on average seven percent higher return per year. In a general equilibrium model, we show that a positive return differential between stocks with high and low IVD can be generated if the investor has a preference for early resolution of uncertainty.
Read on here and on my SSRN page.



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.

Read on here.