Robert Dittmar

Robert F. Dittmar is a Professor of Finance at the Stephen M. Ross School of Business, University of Michigan. His research focuses on empirical and theoretical issues in asset pricing, in particular the determination of the term structure of interest rates and the cross-section of equity risk premia. His work has been published in the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, and Journal of Econometrics. At the Ross school, Robert teaches MBA-level courses in fixed income and derivatives, as well as advising the student-run investment fund, the Maize and Blue Fund. He also teaches courses in the Doctoral program at the Ross school. Prior to joining the University of Michigan Faculty in 2003, Robert was an Assistant Professor at the Kelley School of Business, Indiana University, and worked for First Chicago Corporation (now part of JP Morgan Chase) and First Union National Bank Corporation (now part of Wells Fargo).

Research interests:

Finance, Asset Pricing Theory, Asset Pricing Empirical

Education

• Doctor of Philosophy - PhD University of North Carolina at Chapel Hill (1995 — 2000)
• Bachelor of Science - BS University of Illinois at Urbana-Champaign (1987 — 1991)
• IES Freiburg

PUBLICATIONS:

• “Do Investment-Based Models Explain Equity Returns? Evidence from Euler Equations,” with Stefanos Delikouras, March, 2021, forthcoming, Review of Financial Studies.
• “Implied Default Probabilities and Loss Given Default from Option Prices,” with Jennifer Conrad and Allaudeen Hameed, 2020, Journal of Financial Econometrics 18, 629-652.
• “Firm Characteristics, Consumption Risk, and Firm-Level Risk Exposures,” with Christian Lundblad, 2017, Journal of Financial Economics 125, 326-343.
• “Leisure Preferences, Long-Run Risks, and Human Capital Returns,” with Francisco Palomino and Wei Yang, 2016, Review of Asset Pricing Studies 6, 88-134.
• “Ex Ante Skewness and Expected Stock Returns,” with Jennifer Conrad and Eric Ghysels, 2013, Journal of Finance 68, 85-124.
• “Basis Assets,” with Dong-Hyun Ahn and Jennifer Conrad, 2009, Review of Financial Studies 22, 1533-1574.
• “Cointegration and Consumption Risks in Asset Returns,” with Ravi Bansal and Dana Kiku, 2009, Review of Financial Studies 22, 1343-1375.
• “The Timing of Financing Decisions: An Examination of the Correlation in Financing Waves,” with Amy Dittmar, 2008, Journal of Financial Economics 90, 59-83.
• “Do Sovereign Bonds Benefit Corporate Bonds in Emerging Markets?” with Kathy Yuan, 2008, Review of Financial Studies 21, 1983-2014.
• “Consumption, Dividends, and the Cross-Section of Equity Returns,” with Ravi Bansal and Christian Lundblad, 2005, Journal of Finance 60, 1639-1672.
• “Purebred or Hybrid?: Reproducing the Volatility in Term Structure Dynamics,” with Dong-Hyun Ahn, A. Ronald Gallant, and Bin Gao, 2003 Journal of Econometrics 116, 147-180.
• “Risk Adjustment and Trading Strategies,” with Dong-Hyun Ahn and Jennifer Conrad, 2003, Review of Financial Studies, 16, 459-485.
• “Quadratic Term Structure Models: Theory and Evidence” (with Dong-Hyun Ahn and A. Ronald Gallant), 2002, Review of Financial Studies, 15, 243-288.
• “Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross-Section of Equity Returns,” 2002, Journal of Finance, 57, 369-403.

HONORS AND AWARDS:

• CICF Best Paper Award, 2009 China International Conference in Finance
• Sanford R. Robertson Assistant Professor of Business Administration, 2008-2009
• Nomination for the Smith-Breeden Prize for the best paper in the Journal of Finance, 2005
• NTT Research Fellowship, University of Michigan, 2004-2005
• Peterson Faculty Research Fellow, Indiana University, 2002-2003