BuiltWithNOF

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Robert F. Dittmar

Academic Experience:

  • Stephen M. Ross School of Business, University of Michigan
    • Sanford R. Robertson Assistant Professor of Business Administration, 2008-2009
    • Assistant Professor, 2003-present
  • Kelley School of Business, Indiana University
    • Assistant Professor, 1999-2003

Education:

  • University of North Carolina, Chapel Hill, NC. Ph.D. Finance, 2000
  • University of Illinois, Champaign-Urbana, IL. B.S. Finance, 1991

Honors and Awards:

  • Peterson Faculty Fellowship, Indiana University, 2002
  • NTT Research Fellowship, University of Michigan, 2004
  • Nomination, Smith-Breeden Prize for the best paper published in the Journal of Finance, 2005

 Research:

    Publications

    • The Timing of Financing Decisions: An Examination of the Correlation in Financing Waves 2008, Journal of Financial Economics 19, 59-83, with Amy Dittmar.
    • Do Sovereign Bonds Benefit Corporate Bonds in Emerging Markets? 2008, Review of Financial Studies 21, 1983-2014, with Kathy Yuan.
    • Cointegration and Consumption Risks in Asset Returns, January 2007, forthcoming, Review of Financial Studies, with Ravi Bansal and Dana Kiku.
    • Basis Assets, December 2006, forthcoming, Review of Financial Studies, with Dong-Hyun Ahn and Jennifer Conrad.
    • Consumption, Dividends, and the Cross-Section of Equity Returns, Journal of Finance, August 2005, 60 (4), 1639-1672, with Ravi Bansal and Christian Lundblad. Nominated for the Smith-Breeden Award.
    • Purebred or Hybrid? Reproducing the Volatility in Term Structure Dynamics, Journal of Econometrics, 2003, 116, 147-180, with Dong-Hyun Ahn, A. Ronald Gallant, and Bin Gao.
    • Risk Adjustment and Trading Strategies, Review of Financial Studies, Summer 2003 16 (2), 459-485, with Dong-Hyun Ahn and Jennifer Conrad.
    • Nonlinear Pricing Kernels, Kurtosis Preference, and the Cross-Section of Asset Returns, Journal of Finance, February 2002, 57 (1), 369-403.
    • Quadratic Term Structure Models: Theory and Evidence, Review of Financial Studies, Spring 2002, 15 (1), 243-288, with Dong-Hyun Ahn and A. Ronald Gallant.

    Working Papers

    • Skewness and the Bubble, July 2008, with Jennifer Conrad and Eric Ghysels.
    • Cash Flows or Expectations? An Examination of the Sources of Momentum Profits, October 2007, with Christian Lundblad and Noah Stoffman.
    • Stock Repurchase Waves: An Examination of the Trends in Corporate Payout Policy, February 2004, with Amy Dittmar.
    • Interpreting Risk Premia Across Size, Value, and Industry Portfolios, February 2003, with Ravi Bansal and Christian Lundblad

    Academic Presentations

      Conference Presentations

      • American Finance Association (2001, 2004, 2007)
      • Western Finance Association (1999, 2000, 2002, 2003, 2007)
      • NBER Asset Pricing Meetings (2001, 2003)
      • European Finance Association (2003)
      • Utah Winter Finance Conference (2002, 2005)
      • Society for Economic Dynamics (2002)
      • MTS Conference on Asset Markets (2006)

      Conference Discussions

      • American Finance Association (2008, 2009)
      • Western Finance Association (2004, 2005, 2008)
      • European Finance Association (2007)
      • Federal Reserve Board of Governors Conference (2005)
      • Duke/UNC Asset Pricing Conference (2005)
      • MTS Conference on Asset Markets (2006, 2007)

      Invited Presentations

      • Arizona State University (2006), Boston College (2007), Case Western Reserve University (1998), Emory University (2001), Indiana University (1999), Goldman Sachs Asset Management (2008), McGill University (2004), Ohio State University (2003), Pennsylvania State University (1999), Purdue University (2002), Queen’s University Belfast (2008), Simon Fraser University (2005), Texas A&M University (2002), Universities of Cincinnati (1998), Illinois (2008), Miami (1999), Michigan (2002), Minnesota (1999), North Carolina (2001, 2006), Notre Dame (2002), Pennsylvania (2006), Utah (1999), Virginia (1999), Vanderbilt University (2005)

Teaching

    University of Michigan

    • Fin 608 (MBA), Capital Markets and Investment Strategies
    • Fin 609 (MBA), Fixed Income Securities
    • BA 855 (Ph.D.), Investment Decisions Under Symmetric Information
    • BA 872 (Ph.D.), Continuous Time Modeling in Finance
    • BA 875 (Ph.D.), Empirical Topics in Finance

    Indiana University

    • F420 (Undergraduate), Equity and Fixed Income Investments
    • F600 (Ph.D.), Asset Pricing Theory

    University of North Carolina

    • BA180 (Undergraduate), Principles of Finance

Service

    Professional

    • Ad hoc referee, Annals of Operations Research, Economics Letters, European Finance Review, Journal of Banking and Finance, Journal of Econometrics, Journal of Empirical Finance, The Journal of Finance, Journal of financial Econometrics, Journal of Financial and Quantitative Analysis, Journal of International Money and Finance, Management Science, Review of Economics and Statistics, Review of Financial Studies
    • Program committee member, Western Finance Association (2007), European Finance Association (2006, 2007), Financial Management Association (2003, 2004, 2007)

    Departmental

    • Committee member, Senior Recruiting Committee (2005, 2006), Ph.D. Committee (2001, 2002, 2003,2006), MBA Committee (2005), Recruiting Committee (2001, 2003),
    • Seminar Series Organizer (2002, 2004)

    Business School

    • Dissertation Committee Member, Qin Lei (2006, Southern Methodist University), D. Craig Nichols (2003)
    • Honors Thesis Advisor Rene Proll (2003), Katie Anderson (2001)
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