I am a financial economist at Goethe University Frankfurt.
I'm interested in all of (financial) economics, typically from an Asset Pricing point of view.
Right now, I am mostly working on risk sharing between heterogeneous agents and its effects on asset prices. I'm also very interested in the term structure of equity premia.
Publications (selected)
Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution (Journal of Financial Economics, 2021)
(joint with Christian Schlag and Julian Thimme)
Based on the insight that the resolution of uncertainty over a time period corresponds to expected volatility over that period, we use option-implied volatility to identify stocks that resolve uncertainty earlier rather than later. It turns out that early resolution stocks have on average lower returns, consistent with a preference for early resolution of uncertainty.
Institutional Investors, Households and the Time-Variation in Expected Stock Returns (Journal of Financial and Quantitative Analysis, 2023)
"The financialization of stocks": With higher institutional ownership (IO) in a portfolio, time-varying expected returns rather than cash-flow growth drive changes in its valuation. Institutions’ time-varying sensitivity to the risk of holding stocks translates into time-varying expected returns on high-IO stocks. My findings suggest an economic rationale for the weak return predictability of small stocks as well as predictability reversals documented for stocks and REITs.
Beliefs About the Stock Market and Investment Choices: Evidence from a Field Experiment (Review of Financial Studies, 2026)
(joint with Christine Laudenbach, Annika Weber and Johannes Wohlfart)
Abstract: We survey retail investors at an online bank to study how beliefs about the autocorrelation of aggregate stock returns shape investment decisions measured in administrative account data. Individuals’ beliefs exhibit substantial heterogeneity and predict trading responses to market movements. We inform half of our respondents that, historically, the autocorrelation of returns was close to zero, which persistently changes their beliefs. The treatment significantly shifts respondents’ equity purchases during the Covid-19 crash months later in the direction implied by the belief changes caused by the intervention. Our results provide causal evidence on the drivers of disagreement and trade in asset markets. markets.
Working papers
Cross-sectional evidence on the equity term structure [all new version: supersedes "Is there a cash-flow timing premium?"]
(joint with Dominik Walter)
Abstract: We introduce TIM, a measure of a stock’s cash-flow timing. Unlike equity duration measures, TIM does not conflate discount rate with cash-flow timing information and allows for inference about equity term premia. We find unconditionally no relation between cash-flow timing and mean returns, consistent with recent findings on index dividend derivatives but contrasting with the equity duration literature. Late-minus-early timing returns exhibit a strong factor structure. This helps reconcile seemingly conflicting evidence on cyclicality based on the market dividend price ratio and recession indicators: Positive market beta implies countercyclical term premia, whereas negative investment beta suggests procyclical term premia.
Money in the Right Hands [all new version]
(joint with Aleksandra Rzeźnik)
Abstract: We study the price effects of mutual fund fire sales from a demand-based perspective. We find that the size of fire-sale discounts depends on specialized demand, determined by the availability of elastic investors for a specific stock. We identify investors' activeness, funding liquidity, and revealed preferences for a given stock as observable drivers of demand elasticity. When specialized, elastic demand is scarce, we document pronounced price pressure of the magnitude reported in earlier work, while avoiding the methodological concerns raised in recent critiques..
Methodological Uncertainty in Portfolio Sorts
(joint with Dominik Walter and Patrick Weiß)
Abstract: Systematically studying methodological variation in portfolio sorts reveals four key insights. (1) The average monthly non-standard error is 0.19% and exceeds standard errors. Despite this considerable variation, estimated premia are robust regarding their sign, statistical significance, and monotonicity. This alleviates concerns about replicability. (2) Decisions such as excluding firms with negative earnings or the information lag have an impact comparable to size-related choices. (3) Methodological choices induce not just orthogonal noise but add predictably non-zero returns of unclear origin. (4) To address methodological uncertainty, we propose a two-step protocol adaptable to economic motivations, for which we provide an open-source tool.
Firing Costs and the Stock Market
(joint with Robert Mahlstedt)
Abstract: We study the causal effects of firms' firing costs on stock market measures of risk and return by exploiting variation in wrongful-discharge laws (WDLs) adopted by U.S. states. We find disparate effects depending on the type of WDL that mirror how intra-firm risk sharing between labor and capital differs in states that adopted the respective laws. WDLs that increase mean returns, return volatility, Sharpe ratios, and factor betas are associated with more sticky employment and hence more risk-bearing by capital markets. Conversely, equity risk measures are lower in states where WDLs address agency frictions such that workers bear more risk via flexible wages.
Value, Duration and Predictability
Abstract: 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.