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Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns

- Robert F. Dittmar
- Economics
- 1 February 2002

This paper investigates nonlinear pricing kernels in which the risk factor is endogenously determined and preferences restrict the definition of the pricing kernel. These kernels potentially generate… Expand

Quadratic Term Structure Models: Theory and Evidence

- D. Ahn, Robert F. Dittmar, A. Gallant
- Economics, Mathematics
- 2000

This article theoretically explores the characteristics underpinning quadratic term structure models (QTSMs), which designate the yield on a bond as a quadratic function of underlying state… Expand

Consumption, Dividends, and the Cross-Section of Equity Returns

- Ravi Bansal, Robert F. Dittmar, Christian T. Lundblad
- Economics
- 1 May 2002

We show that aggregate consumption risks embodied in cash flows can account for the puzzling differences in risk premia across book-to-market, momentum, and size-sorted portfolios. The dynamics of… Expand

Ex Ante Skewness and Expected Stock Returns

- Jennifer S. Conrad, Robert F. Dittmar, Eric Ghysels
- Economics
- 1 February 2013

We use a sample of option prices, and the method of Bakshi, Kapadia and Madan (2003), to estimate the ex ante higher moments of the underlying individual securities’ risk-neutral returns… Expand

Cointegration and Consumption Risks in Asset Returns

- Ravi Bansal, Robert F. Dittmar, Dana Kiku
- Economics
- 1 May 2007

We argue that the cointegrating relation between dividends and consumption, a measure of long-run consumption risks, is a key determinant of risk premia at all investment horizons. As the investment… Expand

Risk Adjustment and Trading Strategies

- D. Ahn, Jennifer S. Conrad, Robert F. Dittmar
- Business, Economics
- 1 October 2000

We assess the profitability of momentum strategies using a stochastic discount factor approach. In unconditional tests, approximately half of the strategies' profitability is explained. In… Expand

The timing of financing decisions: An examination of the correlation in financing waves

- Amy K. Dittmar, Robert F. Dittmar
- Economics
- 1 October 2008

Why do corporate financing events occur in waves? We challenge recent evidence of the importance of valuation cycles in driving financing waves by documenting that the aggregate pattern of stock… Expand

Stock Repurchase Waves: An Explanation of the Trends in Aggregate Corporate Payout Policy

- Amy K. Dittmar, Robert F. Dittmar
- Economics
- 30 October 2002

The use of stock repurchases has fluctuated dramatically over the last two decades: Aggregate repurchases peaked in 1999, when the use of repurchases came close to surpassing the use of dividends,… Expand

Nonlinear Pricing Kernels, Kurtosis Preference, and the Cross-Section of Equity Returns

- Robert F. Dittmar
- Economics
- 17 October 2001

This paper investigates nonlinear pricing kernels in which the risk factor is endogenously determined and preferences restrict the definition of the pricing kernel. These kernels potentially generate… Expand

Basis Assets

- D. Ahn, Jennifer S. Conrad, Robert F. Dittmar
- 14 March 2003

This paper proposes a new method to form basis assets with which to represent investors' opportunity sets and evaluate the goodness-of-fit of asset pricing models. We use return correlations to form… Expand

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