Robert F. Dittmar

University of Michigan, Stephen M. Ross School of Business

Professor of Finance

701 Tappan Street

Ann Arbor, MI MI 48109

United States

SCHOLARLY PAPERS

25

DOWNLOADS
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Top 4,670

in Total Papers Downloads

9,489

SSRN CITATIONS
Rank 3,309

SSRN RANKINGS

Top 3,309

in Total Papers Citations

217

CROSSREF CITATIONS

151

Scholarly Papers (25)

1.

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

Number of pages: 50 Posted: 02 Dec 2002
Amy K. Dittmar and Robert F. Dittmar
University of Michigan at Ann Arbor - The Stephen M. Ross School of Business and University of Michigan, Stephen M. Ross School of Business
Downloads 1,399 (14,478)
Citation 34

Abstract:

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payout policy, repurchases, dividends, earnings cointegration

2.

Ex Ante Skewness and Expected Stock Returns

Number of pages: 59 Posted: 14 Dec 2009
Jennifer S. Conrad, Robert F. Dittmar and Eric Ghysels
University of North Carolina Kenan-Flagler Business School, University of Michigan, Stephen M. Ross School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 1,125 (20,144)
Citation 100

Abstract:

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Skewness, kurtosis, co-skewness, stochastic discount factors

3.

The Timing of Stock Repurchases

Number of pages: 49 Posted: 25 Jun 2006
Amy K. Dittmar and Robert F. Dittmar
University of Michigan at Ann Arbor - The Stephen M. Ross School of Business and University of Michigan, Stephen M. Ross School of Business
Downloads 1,046 (22,438)
Citation 15

Abstract:

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Repurchase, market timing, distribution policy

4.

Risk Adjustment and Trading Strategies

Number of pages: 60 Posted: 25 Jan 2001
Dong-Hyun Ahn, Jennifer S. Conrad and Robert F. Dittmar
University of North Carolina at Chapel Hill, University of North Carolina Kenan-Flagler Business School and University of Michigan, Stephen M. Ross School of Business
Downloads 912 (27,395)
Citation 13

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Quadratic Term Structure Models: Theory and Evidence

Number of pages: 52 Posted: 01 May 2000
Dong-Hyun Ahn, Robert F. Dittmar and A. Ronald Gallant
University of North Carolina at Chapel Hill, University of Michigan, Stephen M. Ross School of Business and Duke University - Fuqua School of Business, Economics Group
Downloads 841 (30,271)
Citation 5

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Quadratic Term Structure Models: Theory and Evidence

Posted: 29 Jan 2002
Dong-Hyun Ahn, Robert F. Dittmar and A. Ronald Gallant
University of North Carolina at Chapel Hill, University of Michigan, Stephen M. Ross School of Business and Duke University - Fuqua School of Business, Economics Group

Abstract:

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Asset Pricing - Theoretical, Asset Pricing - Empirical, Term Structure of Interest Rates - Theoretical, Term Structure of Interest Rates - Empirical

6.

Momentum is Not an Anomaly

Number of pages: 46 Posted: 04 Nov 2007
Robert F. Dittmar, Gautam Kaul and Qin Lei
University of Michigan, Stephen M. Ross School of Business, University of Michigan, Stephen M. Ross School of Business and University of Michigan at Ann Arbor
Downloads 591 (49,414)
Citation 5

Abstract:

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7.

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

Twelfth Annual Utah Winter Finance Conference
Number of pages: 46 Posted: 26 Sep 2001
Ravi Bansal, Robert F. Dittmar and Christian T. Lundblad
Duke University and NBER, University of Michigan, Stephen M. Ross School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 483 (63,740)
Citation 144

Abstract:

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Asset Pricing Theory, Asset Pricing - Empirical, Asset Pricing - Equilibrium Models

8.

Long Run Risks and Equity Returns

AFA 2007 Chicago Meetings Paper
Number of pages: 53 Posted: 22 Mar 2006
Ravi Bansal, Robert F. Dittmar and Dana Kiku
Duke University and NBER, University of Michigan, Stephen M. Ross School of Business and University of Illinois at Urbana-Champaign
Downloads 455 (68,559)
Citation 2

Abstract:

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9.

Basis Assets

AFA 2004 San Diego Meetings, Fifteenth Annual Utah Winter Finance Conference
Number of pages: 52 Posted: 29 Nov 2003
Dong-Hyun Ahn, Jennifer S. Conrad and Robert F. Dittmar
University of North Carolina at Chapel Hill, University of North Carolina Kenan-Flagler Business School and University of Michigan, Stephen M. Ross School of Business
Downloads 427 (74,049)
Citation 11

Abstract:

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10.

Interpreting Risk Premia Across Size, Value, and Industry Portfolios

EFA 2003 Annual Conference Paper No. 711
Number of pages: 44 Posted: 24 Jul 2003
Ravi Bansal, Robert F. Dittmar and Christian T. Lundblad
Duke University and NBER, University of Michigan, Stephen M. Ross School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 415 (76,661)
Citation 7

Abstract:

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11.

Implied Default Probabilities and Recovery Rates from Option Prices

AFA 2012 Chicago Meetings Paper
Number of pages: 56 Posted: 19 Mar 2011 Last Revised: 30 Oct 2017
Jennifer S. Conrad, Robert F. Dittmar and Allaudeen Hameed
University of North Carolina Kenan-Flagler Business School, University of Michigan, Stephen M. Ross School of Business and National University of Singapore (NUS) - Department of Finance
Downloads 403 (79,504)
Citation 8

Abstract:

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CDS, options,default probabilities, recovery

12.

Initial Coin Offerings Hyped and Dehyped: An Empirical Examination

Number of pages: 46 Posted: 14 Nov 2018 Last Revised: 23 Mar 2019
Robert F. Dittmar and Di (Andrew) Wu
University of Michigan, Stephen M. Ross School of Business and University of Michigan, Stephen M. Ross School of Business
Downloads 293 (113,850)
Citation 7

Abstract:

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initial coin offering, cryotocurrency, blockchain, fintech

13.

Firm Characteristics, Consumption Risk, and Firm-Level Risk Exposures

Number of pages: 51 Posted: 31 Oct 2013 Last Revised: 01 Dec 2015
Robert F. Dittmar and Christian T. Lundblad
University of Michigan, Stephen M. Ross School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 264 (126,597)
Citation 3

Abstract:

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Asset Pricing, Consumption Modeling, Cross-Section of Returns

14.

Firm Characteristics, Consumption Risk, and Firm-Level Risk Exposures

Ross School of Business Paper No. 1255
Number of pages: 46 Posted: 02 Nov 2014 Last Revised: 30 Nov 2015
Robert F. Dittmar and Christian T. Lundblad
University of Michigan, Stephen M. Ross School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 158 (204,042)
Citation 4

Abstract:

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Asset Pricing, Consumption-Based Asset Pricing, Cross-Section of Returns

15.

Default Risk and the Pricing of U.S. Sovereign Bonds

Georgia Tech Scheller College of Business Research Paper No. 18-20
Number of pages: 68 Posted: 13 Jun 2018 Last Revised: 08 Jun 2019
Robert F. Dittmar, Alex Hsu, Guillaume Roussellet and Peter Simasek
University of Michigan, Stephen M. Ross School of Business, Georgia Institute of Technology - Scheller College of Business, McGill University - Desautels Faculty of Management and Georgia Institute of Technology - Scheller College of Business
Downloads 139 (227,945)

Abstract:

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Treasury, TIPS, Breakeven Inflation, Default risk, Recovery rates

16.

Do Dollar-Denominated Emerging Market Corporate Bonds Insure Foreign Exchange Risk?

Number of pages: 44 Posted: 10 Jun 2015 Last Revised: 12 Jul 2019
Stefanos Delikouras, Robert F. Dittmar and Haitao Li
University of Miami - Department of Finance, University of Michigan, Stephen M. Ross School of Business and Cheung Kong Graduate School of Business
Downloads 139 (226,621)

Abstract:

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Emerging market debt, default risk, exchange rate risk

17.

The Pricing Impacts of Sovereign Bonds

Number of pages: 45 Posted: 27 Feb 2005
Robert F. Dittmar and Kathy Yuan
University of Michigan, Stephen M. Ross School of Business and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 129 (240,363)
Citation 1

Abstract:

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Liquidity, benchmark, sovereign bond, corporate bond, emerging market

18.

Does the Simple Investment-Based Model Explain Equity Returns? Evidence from Euler Equations

Number of pages: 55 Posted: 18 Mar 2011 Last Revised: 31 Oct 2018
Stefanos Delikouras and Robert F. Dittmar
University of Miami - Department of Finance and University of Michigan, Stephen M. Ross School of Business
Downloads 128 (241,811)

Abstract:

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Asset pricing, investment, profitability, q-theory

19.

Non-substitutable consumption growth risk

Number of pages: 52 Posted: 30 Nov 2018 Last Revised: 03 Jun 2020
Robert F. Dittmar, Christian Schlag and Julian Thimme
University of Michigan, Stephen M. Ross School of Business, Leibniz Institute for Financial Research SAFE and Karlsruhe Institute of Technology
Downloads 105 (279,003)
Citation 1

Abstract:

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asset pricing, consumption, cross-section of stock returns, utility functions

Cointegration and Consumption Risks in Asset Returns

NBER Working Paper No. w13108
Number of pages: 52 Posted: 27 Jun 2007 Last Revised: 09 Aug 2007
Ravi Bansal, Robert F. Dittmar and Dana Kiku
Duke University and NBER, University of Michigan, Stephen M. Ross School of Business and University of Illinois at Urbana-Champaign
Downloads 37 (484,287)
Citation 5

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Cointegration and Consumption Risks in Asset Returns

The Review of Financial Studies, Vol. 22, Issue 3, pp. 1343-1375, 2009
Posted: 17 Mar 2009
Ravi Bansal, Robert F. Dittmar and Dana Kiku
Duke University and NBER, University of Michigan, Stephen M. Ross School of Business and University of Illinois at Urbana-Champaign

Abstract:

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G1, G12

21.

Basis Assets

The Review of Financial Studies, Vol. 22, Issue 12, pp. 5133-5174, 2009
Posted: 24 Nov 2009
Dong-Hyun Ahn, Jennifer S. Conrad and Robert F. Dittmar
Seoul National University - School of Economics, University of North Carolina Kenan-Flagler Business School and University of Michigan, Stephen M. Ross School of Business

Abstract:

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C10, G11

22.

Do Sovereign Bonds Benefit Corporate Bonds in Emerging Markets?

The Review of Financial Studies, Vol. 21, Issue 5, pp. 1983-2014, 2008
Posted: 19 Sep 2008
Robert F. Dittmar and Kathy Yuan
University of Michigan, Stephen M. Ross School of Business and London School of Economics & Political Science (LSE) - Department of Finance

Abstract:

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G10, G12, G14

23.

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

Posted: 16 Nov 2003
Robert F. Dittmar
University of Michigan, Stephen M. Ross School of Business

Abstract:

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24.

Purebred or Hybrid: Reproducing the Volatility in Term Structure Dynamics

Posted: 26 Nov 2001
Dong-Hyun Ahn, Robert F. Dittmar, A. Ronald Gallant and Bin Gao
University of North Carolina at Chapel Hill, University of Michigan, Stephen M. Ross School of Business, Duke University - Fuqua School of Business, Economics Group and University of North Carolina (UNC) at Chapel Hill - Finance Area

Abstract:

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Asset Pricing - Theoretical, Asset Pricing - Empirical, Term Structure of Interest Rates - Empirical, Term Structure of Interest Rates - Theoretical

25.

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

Posted: 17 Oct 2001
Robert F. Dittmar
University of Michigan, Stephen M. Ross School of Business

Abstract:

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Asset Pricing - Empirical, Cross-Sectional Asset Pricing, Nonlinear Pricing Models, Pricing of Higher Moments, Factor Models