I am the Mitsui Life Research Fellow at the Ross School of Business at the University of Michigan, Ann Arbor. This fall, I will join WU Vienna as Assistant Professor of Finance (tenure track).

My research interests are in theoretically founded empirical Asset Pricing.

For more information, see my CV.

Contact: 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 expected return variation rather than by changes in dividend growth expectations. As a general equilibrium outcome, expected return variation (i.e. return predictability) crucially depends on investor properties. Strongly time-varying volatility in the marginal utility of institutional managers as marginal investors in stocks with high institutional ownership provides a natural explanation for the result. In a general equilibrium model, imperfectly shared 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

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.
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.