Abstract

In January 2025, CRSP discontinued the existing stock tape used in many published papers. This transition rewrites 9.62\% of monthly returns by more than 1 basis point, primarily due to a change in the dividend reinvestment assumption. Analyzing the impact for a comprehensive set of premia in several thousand sorting specifications reveals that, on average, 11.43\% of all monthly long-short returns differ by more than 10 basis points — especially in early periods, NBER recessions, and return-based sorts. Reassuringly, average premia and their significance remain largely unaffected, suggesting CRSP changes mainly introduce unsystematic variation without altering key asset pricing conclusions.

Abstract

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: DGF 2024, Boca-ECGI 2024, Rotterdam School of Management, Maastricht University, CUNEF University, University of Konstanz, University of Cologne.

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. 

Presentations:  EFA 2023, EFMA 2023, DGF 2023, AFBC 2022, PFMC 2022, AWG (2022).

Abstract

Rather than merely capturing the timing of cash-flows, equity duration is also driven by stock-specific  discount rates. We find that established empirical measures of equity duration predict returns mechanically because they use market prices, i.e. functions of the stock's true discount rate (that may reflect mispricing). We propose new measures of cash-flow timing that are not susceptible to this critique. These discount-rate free measures are better predictors of cash-flow timing but  -- in contrast to established, discount-rate contaminated measures -- indicate an unconditionally flat relationship between cash-flow timing and average returns. However, in recessions (expansion episodes), there is a negative (positive) relation between cash-flow timing and average stock returns. These timing premia can be explained by the joint cross-section of profitability, investment, market capitalization and market beta.

Presentations:  AFA 2025, EFMA 2024, AFFI 2023, SGF 2023, DGF 2022, New Zealand Finance Meeting 2022, AFBC 2022, PFMC 2022, AWG 2022, University of Muenster.