I am currently at WU Vienna University of Economics and Business as a post-doctoral researcher for two years. Furthermore, I am an external lecturer 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 with R together with Christoph Scheuch and Stefan Voigt. The book is scheduled for print release with Chapman & Hall/CRC in 2023. Additionally, we provide the entire book online and open source for everyone and continue developing it.


WU Vienna University of Economics and Business

Building D4, Room D4.4.216Welthandelsplatz 1A-1020 Vienna

E-Mail: patrick.weiss@wu.ac.at

Socials: LinkedIn, Twitter

Research: SSRN, Google Scholar

Code: Github

Phone: +43 1 31336 5996


My curriculum vitae.



News

New research project: Non-Standard Errors in Portfolio Sorts is now available on SSRN. Moreover, open source code is on Github.

Conference: Non-Standard Errors in Portfolio Sorts was accepted at AWG Workshop 2022 and Australasian 2023.

Conference: Covenant Prices in the US Corporate Bond Market was accepted at DGF 2022.

Teaching: I will hold a workshop on "TidyFinance: Empirical asset pricing in R" for donations to Ukrainian charities on October 13, 2022.

Teaching: I look forward to teaching an "Equity Valuation" course at Reykjavik University in Fall 2022.


Next Events

I will join the ICDSF in Vienna from September 13 to 15, 2022, to present Tidy Finance with R.

I will join AWG in Klagenfurt from September 23, 2022, to present the paper on Non-Standard Errors in Portfolio Sorts.

I will join DGF in Marburg from September 29 to October 1, 2022, to present the paper on Covenant Prices in the US Corporate Bond Market.

I will hold a virtual workshop on "TidyFinance: Empirical asset pricing in R" for donations to Ukrainian charities on October 13, 2022.

Research

Working Papers

joint work with Dominik Walter (VGSF) and Rüdiger Weber (WU). July 2022.

Abstract: We study the size and drivers of non-standard errors (Menkveld et al., 2021) in portfolio sorts across 14 common methodological decision nodes and 40 sorting variables. These non-standard errors range between 0.05 and 0.26 percent and are, on average, larger than standard errors. Supposedly innocuous decisions cause large variation in estimated premiums, standard errors, non-standard errors, and t-statistics. The impact of decision nodes varies widely across sorting variables. Irrespective of choices in portfolio sorts, we find pervasively positive premiums and alphas for almost all sorting variables. This suggests that while the size of these premiums is uncertain, their sign is remarkably stable. Our code is publicly available.

Internet Appendix, open source code on Github

Presentations: Finance and Banking Conference 2022°, Austrian Working Group on Banking and Finance 2022°

joint work with Lukas Handler (WU) and Rainer Jankowitsch (VGSF & WU). April 2021.

Abstract: This paper provides a novel approach to empirically determine prices of bond covenants based on transaction data for the US corporate bond market. Thereby, we are the first to measure price effects over the whole lifetime of bond contracts. We find that covenant prices vary significantly over time and are associated with changes in market-wide credit risk, volatility, and macroeconomic variables. During and after the financial crisis, this relationship is particularly pronounced leading to significantly higher covenant prices in the range of 5% of the overall bond yields. Apart from these time-series dynamics, there is also significant variation across bond and firm characteristics. In particular, covenant prices increase with interest rate, credit, and liquidity risk 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 Finance and Banking Conference 2021, Austrian Working Group on Banking and Finance 2021, EFMA 2022, DGF 2022°, Reykjavik University, SFA 2022°, VGSF Conference 2019




joint work with FINCAP team. November 2021.

Abstract: In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in sample 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. To study them, we let 164 teams test six hypotheses on the same sample. We find that non-standard errors are sizeable, on par with standard errors. Their size (i) co-varies only weakly with team merits, reproducibility, or peer rating, (ii) declines significantly after peer-feedback, and (iii) is underestimated by participants.


Refereed Journal Publications

Published in The Journal of Financial Economics.

Joint work with Maria Chaderina (UOregon) and Josef Zechner (VGSF & WU). 2022.

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.

Presentations: BI Norway (BB 2017)*, VGSF Conference 2017, ESSFM/Gerzensee 2018*, DGF 2018, University of Lugano (2018)*, AFA 2019*, Cass*, CAFIN Workshop 2019, CEU*, SFS Cavalcade 2019*, FIRS 2019*, TAU Finance Conference 2019*, HEC-McGill Winter Finance Workshop*

Internet Appendix

(* presentation by coauthor; ° scheduled)

Work in Progress

Dividend Signalling Effects in Corporate Bonds under Asymmetric Information

Paper available on request. April 2021.

Abstract: This paper empirically investigates the signalling content of dividend changes by studying US corporate bonds' price reactions. A key innovation of this study is the consideration of asymmetric information. Firms with higher degrees of asymmetric information experience positive bond returns following dividend increases, whereas more transparent firms show adverse reactions. On the other hand, bonds generally depreciate across the asymmetric information spectrum when firms announce dividend decreases. Yet these price drops are larger for firms with more information asymmetry. Overall, the results document dividends as a signal about firm fundamentals and the importance of information frictions for the signalling hypothesis.