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
Rank 5,304

SSRN RANKINGS

Top 5,304

in Total Papers Downloads

10,133

SSRN CITATIONS
Rank 3,288

SSRN RANKINGS

Top 3,288

in Total Papers Citations

257

CROSSREF CITATIONS

159

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 1,447 (16,501)
Citation 36

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
University of North Carolina at Chapel HillUniversity 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 1,237 (20,890)
Citation 121

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 1,072 (25,761)
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
University of North Carolina at Chapel Hill, University of North Carolina at Chapel HillUniversity of North Carolina Kenan-Flagler Business School and University of Michigan, Stephen M. Ross School of Business
Downloads 924 (31,859)
Citation 8

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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 867 (34,274)
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

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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 616 (55,109)
Citation 6

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 495 (72,386)
Citation 160

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 466 (77,910)
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
University of North Carolina at Chapel Hill, University of North Carolina at Chapel HillUniversity of North Carolina Kenan-Flagler Business School and University of Michigan, Stephen M. Ross School of Business
Downloads 442 (82,939)
Citation 14

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 431 (85,451)
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
University of North Carolina at Chapel HillUniversity 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 419 (88,286)
Citation 10

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 388 (96,541)
Citation 10

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 288 (133,849)
Citation 6

Abstract:

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Asset Pricing, Consumption Modeling, Cross-Section of Returns

14.

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 191 (199,042)
Citation 1

Abstract:

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

15.

Do Investment-Based Models Explain Equity Returns? Evidence from Euler Equations

Number of pages: 61 Posted: 18 Mar 2011 Last Revised: 09 Mar 2021
Stefanos Delikouras and Robert F. Dittmar
University of Miami - Department of Finance and University of Michigan, Stephen M. Ross School of Business
Downloads 180 (209,773)

Abstract:

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Asset pricing, size, value, momentum, investment, profitability, q-theory

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 174 (215,949)

Abstract:

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Emerging market debt, default risk, exchange rate risk

17.

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 164 (227,072)
Citation 5

Abstract:

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

18.

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, Goethe University Frankfurt and Karlsruhe Institute of Technology
Downloads 156 (236,978)
Citation 1

Abstract:

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

19.

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 136 (264,595)
Citation 1

Abstract:

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

Cointegration and Consumption Risks in Asset Returns

NBER Working Paper No. w13108
Number of pages: 52 Posted: 27 Jun 2007 Last Revised: 26 Apr 2021
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 40 (534,815)
Citation 13

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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
Seoul National University - School of Economics, University of North Carolina at Chapel HillUniversity 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