Technology spillover effects and patent announcements 

Technological innovations create value for the innovating firm and spillover effects on peer firms. This paper proposes a new methodology to infer technology spillover effects from patents: Around patent announcements, investors incorporate negative spillovers into stock prices of close rivals to the innovating firm (competition effects) and positive spillovers for peer firms that can learn from the patented technology (learning effects). Competition effects are six times larger than learning effects and amount to 25 percent of the private patent value. Studying patents allows for two novel insights. First, competition spillover effects have become less pronounced after 2000. I show that the American Inventors Protection Act of 1999 diminished the private patent value and thus reduced competition spillovers on close product rivals. Second, the labor mobility of inventors shows that peer firms learn by hiring new inventors.

Presentations: University of Konstanz, University of Cologne, Maastricht University, CUNEF University, Rotterdam School of Management, 30th Annual Meeting of the German Finance Association (DGF)

Methodological uncertainty in portfolio sorts 

joint work with Rüdiger Weber and Patrick Weiss 

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. 

Presentations:  50th Annual Meeting of the European Finance Association (EFA), 32nd Annual Meeting of the European Financial Management Association (EFMA), Australasian Finance and Banking Conference 2022, Paris Financial Management Conference 2022, Austrian Working Group on Banking and Finance (2022)

Is there a Cash-Flow Timing Premium? 

joint work with Rüdiger Weber 

Equity duration is a measure of discount-rate sensitivity driven by both, stock-specific cash-flow timing and stock-specific discount-rate levels. Established measures of equity duration using market-price information derive their predictive power for returns from using market-implied discount rate levels. We introduce new measures of pure cash-flow timing which disentangle discount-rate level from cash-flow timing information. Our results indicate an unconditionally flat relationship between timing and average returns. However, it turns out that in recessions (expansion episodes), there is a negative (positive) relation between cash-flow timing and average stock returns. 

Presentations: 33nd Annual Meeting of the European Financial Management Association (EFMA), 39th Conference of the French Finance Association (AFFI), 25th Annual Meeting of the Swiss Society for Financial Market Research (SGF), 28th Annual Meeting of the German Finance Association (DGF), New Zealand Finance Meeting 2022, Australasian Finance and Banking Conference 2022, Paris Financial Management Conference 2022, Austrian Working Group on Banking and Finance (2022),