I am an assistant professor of finance at Reykjavik University. My research interests focus on empirical asset pricing and, particularly, topics on the intersection between asset pricing and corporate finance for stocks and corporate bonds.

I also co-author Tidy Finance together with Christoph Scheuch, Stefan Voigt, and Christoph Frey:

Tidy Finance is available with R and Python.
We provide the entire material online and open source for everyone (including a blog) and print versions are published with Chapman & Hall/CRC.

Reykjavik University

Menntavegur 1
102 Reykjavik, Iceland

E-Mail: patrickw@ru.is

Socials: LinkedIn, Twitter

Research: SSRN, Google Scholar

Code: Github

Phone: +354 820 6247

My curriculum vitae.

News

New role: In August 2025, I will start a new position as data editor for the Review of Financial Studies (RFS) jointly with Christoph Scheuch.

Conference: Rewriting CRSP's history: Impact of altered monthly returns on asset pricing was awarded the Best Paper Award at AFFI 2025.

Conference: Greenness Demand for US Corporate Bonds was accepted for presentation at the AFS 2025, SFA 2025, and AFA 2026.

Next Events

I will join the VGSF 20-year conference in Vienna, August 26-27, 2025.

Research

Working Papers

Rewriting CRSP's history: Impact of altered monthly returns on asset pricing

with Patrick Schwarz (HEC Liege) and Dominik Walter (University of Konstanz). March 2025.

Abstract: In January 2025, the Center for Research in Security Prices (CRSP) discontinued the existing CRSP tape used in many published papers. This transition rewrites 9.62% of monthly returns by more than one basis point, primarily due to a change in the dividend reinvestment assumption. The mean absolute change equals 22 basis points. Analyzing the impact of these changes 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 ten basis points. Reassuringly, these differences do not translate into significant changes in (time-series) average premia or their significance. However, these changes potentially affect conditional analyses on return-based premia, dividend-paying industries, NBER recession periods, and samples prior to 2000.

Presentations: AFFI 2025* (incl. Best Paper Award).

This graph shows the evolution of institutional investors' greenness demand over time. The line shows the average greenness demand for each quarter from 2012 until the end of 2022. A 95% confidence band is drawn around the average. Greenness demand fluctatues from roughly 0 to 0.15.

Greenness Demand For US Corporate Bonds

with Rainer Jankowitsch (WU, VGSF), Alexander Pasler (WU), and Josef Zechner (WU, VGSF). July 2024.

Abstract: We characterize the demand for green securities based on institutional holdings of US corporate bonds. The generally positive demand for greenness shows significant time variation, with the highest average levels around the Paris Agreement in 2016 and a sharp decline during the Trump administration. The demand and its variation following exogenous events significantly affect prices and investors' wealth. We also document real effects of investors' greenness preferences at the corporate level. In particular, we find an association between increases in greenness demand and subsequent enhancement of firms' environmental performance, as well as with more frequent bond issues and larger face values chosen by greener firms.

We provide an Internet Appendix here.

Presentations: Adam Smith Sustainability Conference, AWG 2024*, DGF 2024*, C.r.e.d.i.t. 2024*, SGF 2025*, FMA Europe 2025°, AFS 2025°, SFA 2025°, and AFA 2026°.

Corporate Bond Market Event Studies: Event-Induced Variance and Liquidity

with Lukas Müller (TU Darmstadt), Kevin Riehl (TU Darmstadt), and Sonja Buschulte (TU Darmstadt). June 2024.

Abstract: This paper addresses the power of event studies in corporate bond markets. While an approach using standardized abnormal returns is well specified under standard conditions, we identify two market phenomena negatively impacting the informative value of results. In particular, we show that test power decreases rapidly in the presence of event-induced variance. Moreover, illiquidity becomes a material concern when the samples are geared towards above-average maturities and credit risks. Therefore, we suggest a refinement to the current standard approach and provide open-source tools to implement event studies.

Open-source code available via GitHub.

Presentations: DGF 2024°

Methodological Uncertainty in Portfolio Sorts (Revise & Resubmit)

with Dominik Walter (University of Konstanz) and Rüdiger Weber (Goethe University Frankfurt). June 2024.

Abstract: Systematically studying methodological variation in portfolio sorts and its drivers reveals four key insights: (1) The average monthly non-standard error is 0.19% and exceeds standard errors. Despite this considerable variation, the majority of 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. (4) To incorporate methodological uncertainty, we propose a two-step protocol adaptable to economic motivations, for which we provide an open-source tool.

Internet Appendix, open-source code on Github with full replication and all-in-one script.

Formerly circulated as "Non-standard errors in portfolio sorts".

Presentations: Australasian 2022, AWG 2022, DGF 2023, EFA 2023*, EFMA 2023*, PFMC 2022*, University of Vienna

Covenant Prices of US Corporate Bonds (Revise & Resubmit)

with Lukas Handler (WU) and Rainer Jankowitsch (WU, VGSF). February 2023.

Abstract: In this paper, we analyze the key drivers of bond covenant prices by employing a novel measurement approach based on secondary market data. We find that covenant prices vary significantly over time and are associated with market-wide credit risk, volatility, and macroeconomic variables. Apart from the time-series dynamics, there is also significant variation across bond and firm characteristics. In particular, covenant prices increase with the riskiness of bonds and are higher for firms that have more growth options, more tangible assets, and are smaller. Furthermore, we document a positive correlation between the prices of covenants and their subsequent inclusion rates.

Presentations: Australasian 2021, AWG 2021, EFMA 2022, DGF 2022, Reykjavik University, SFA 2022*, VGSF Conference 2019

(* presentation by coauthor; ° scheduled)

Publications

The Maturity Premium, in Journal of Financial Economics, 2022.

with Maria Chaderina (UOregon) and Josef Zechner (WU, VGSF).

Abstract: We show that firms with longer debt maturities earn risk premia not explained by unconditional factors. Embedding dynamic capital structure choices in an asset-pricing framework where the market price of risk evolves with the business cycle, we find that firms with long-term debt exhibit more countercyclical leverage. The induced covariance between betas and the market price of risk generates a maturity premium similar in size to our empirical estimate of 0.21% per month. We also provide direct evidence for the model mechanism and confirm that the maturity premium is consistent with observed leverage dynamics of long- and short-maturity firms.

Internet Appendix

Non-Standard Errors, in The Journal of Finance, 2024.

contributed as a member of the FINCAP team.

Abstract: In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: Non-standard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for better reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.

Reproducibility in Management Science, in Management Science, 2024.

Contributed as a member of the Management Science Reproducibility Collaboration.

Abstract: With the help of more than 700 reviewers, we assess the reproducibility of nearly 500 articles published in the journal Management Science before and after the introduction of a new Data and Code Disclosure policy in 2019. When considering only articles for which data accessibility and hardware and software requirements were not an obstacle for reviewers, the results of more than 95% of articles under the new disclosure policy could be fully or largely computationally reproduced. However, for 29% of articles, at least part of the data set was not accessible to the reviewer. Considering all articles in our sample reduces the share of reproduced articles to 68%. These figures represent a significant increase compared with the period before the introduction of the disclosure policy, where only 12% of articles voluntarily provided replication materials, of which 55% could be (largely) reproduced. Substantial heterogeneity in reproducibility rates across different fields is mainly driven by differences in data set accessibility. Other reasons for unsuccessful reproduction attempts include missing code, unresolvable code errors, weak or missing documentation, and software and hardware requirements and code complexity. Our findings highlight the importance of journal code and data disclosure policies and suggest potential avenues for enhancing their effectiveness.

Book: Tidy Finance with R, print by Chapman & Hall/CRC, 2023.

with Christoph Scheuch and Stefan Voigt (University of Copenhagen).

Available open source via www.tidy-finance.org.

Buy a print version at www.routledge.com (affiliate link).

Presentations: We presented the project at conferences, including useR!2023, useR!2024, and posit::conf(2024). Additionally, we gave talks on Tidy Finance hosted by the R Consortium (several webinars), workshops for Ukraine, and the portfolio management program (PMP) at ISK Wien.

The {tidyfinance} R-package is available on CRAN and GitHub.

Book: Tidy Finance with Python, print by Chapman & Hall/CRC, 2024.

with Christoph Scheuch, Stefan Voigt (University of Copenhagen), and Christoph Frey.