I am a financial economist and an Assistant Professor of Finance (tenure track) at WU Vienna.

Before that, I was a research fellow at Ross (U of Michigan, Ann Arbor). For more information, see my CV.

My research interests are in Asset Pricing. Right now, I am particularly interested in risk sharing between heterogeneous agents and how it affects asset prices.

Institutional Investors and the Time-Variation in Expected Stock Returns

I document a new stylized fact: the higher the degree of institutional ownership (IO) in a portfolio, the more time-varying expected returns rather than changes in expected dividend growth drive its valuation over time. I argue that the marginal investors in high IO stocks are likely institutional and their time-varying sensitivity to the risk of holding stocks translates into time-varying expected returns on those stocks. In my model, imperfect sharing of time-varying risk between institutions and households generates cross-sectional differences in return predictability even among a priori identical stocks. My findings help explain the weak return predictability of small and value stocks and the postwar predictability reversal.


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Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution (accepted at the Journal of Financial Economics)

(joint with Christian Schlag and Julian Thimme)

We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that investors demand on average about seven percent return per year as a compensation for a late resolution of uncertainty. In a general equilibrium model, we show that `late' stocks can only have higher expected returns than `early' stocks, if the investor exhibits a preference for early resolution of uncertainty. Our empirical analysis thus provides a purely market-based assessment of the timing preferences of the marginal investor.


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Value, Duration and Predictability

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.


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