“… ‘My name is Ozymandias, king of kings:
Look on my works, ye Mighty, and despair!'
Nothing beside remains.  Round the decay
Of that colossal wreck, boundless and bare
The lone and level sands stretch far away

Current Working Papers

Distress Risk, Expected Shareholder Losses, and the Cross-Section of Expected Returns
with Claus Schmitt, February, 2020

Non-Substitutable Consumption Growth Risk
with Christian Schlag and Julian Thimme, February, 2020

Implied Default Probabilities and Loss Given Default from Option Prices
with Jennifer Conrad and Allaudeen Hameed, February, 2020

Default Risk and the Pricing of U.S. Sovereign Bonds
with Alex Hsu, Guillaume Rousselet, and Peter Simasek, October, 2019

Initial Coin Offerings Hyped and Dehyped:  An Empirical Examination
with Di (Andrew) Wu, March, 2019

Does the Simple Investment Model Explain Equity Returns?  Evidence from Euler Equations
with Stefanos Delikouras, October, 2018


Firm Characteristics, Consumption Risk, and Firm-Level Risk Exposures
with Christian Lundblad, Journal of Financial Economics, August, 2017

Leisure Preferences, Long Run Risk, and Human Capital Returns
with Francisco Palomino and Wei Yang, Review of Asset Pricing Studies, June, 2016

Ex ante Skewness and Expected Stock Returns
with Jennifer Conrad and Eric Ghysels, Journal of Finance, February, 2013

Basis Assets
with Dong-Hyun Ahn and Jennifer Conrad, Review of Financial Studies, December, 2009

Cointegration and Consumption Risks in Asset Returns
with Ravi Bansal and Dana Kiku, Review of Financial Studies, March, 2009

The Timing of Financing Decisions:  An Examination of the Correlation in Financing Waves
with Amy Dittmar, Journal of Financial Economics, October, 2008

Do Sovereign Bonds Benefit Corporate Bonds in Emerging Markets?
with Kathy Yuan, Review of Financial Studies, September, 2008

Consumption, Dividends, and the Cross-Section of Equity Returns
with Ravi Bansal and Christian Lundblad, Journal of Finance, August, 2005

Purebred or Hybrid?  Reproducing the Volatility in Term Structure Dynamics
with Dong-Hyun Ahn, A. Ronald Gallant, and Bin Gao, Journal of Econometrics, September-October, 2003

Risk Adjustment and Trading Strategies
with Dong-Hyun Ahn and Jennifer Conrad, Review of Financial Studies, Summer, 2003

Quadratic Term Structure Models:  Theory and Evidence
with Dong-Hyun Ahn and A. Ronald Gallant, Review of Financial Studies, Spring, 2002

Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross-Section of Equity Returns
Journal of Finance, February, 2002

Other Working Papers

Do Dollar-Denominated Bonds Insure Foreign Exchange Risk?
with Stefanos Delikouras and Haitao Li, March, 2015

Stock Repurchase Waves:  An Explanation of the Trends in Aggregate Payout Policy
with Amy Dittmar, February, 2004

Interpreting Risk Premia Across Size, Value, and Industry Portfolios
with Ravi Bansal and Christian Lundblad, February, 2003

© Robert Dittmar 2020