Publikationen

Referierte Zeitschriften

  1. Measuring Tail Risk (mit M. Dierkes, M. Prokopczuk und C. Würsig), Journal of Econometrics, forthcoming.
  2. Estimating Stock Market Betas via Machine Learning (mit W. Drobetz, M. Prokopczuk und T. Otto), Journal of Financial and Quantitative Analysis, forthcoming.
  3. Market Power and Systematic Risk (mit M. Prokopczuk und C. Würsig), Financial Management, forthcoming.
  4. Which Factors for Corporate Bond Returns? (mit T.D. Dang und M. Prokopczuk), Review of Asset Pricing Studies, 2023, Vol. 13(4), pp. 615–652.
  5. Probability Distortions, Collectivism, and International Stock Prices (mit V. Sejdiu), Journal of Behavioral and Experimental Finance, 2023, Vol. 39, 100836, Editor's Choice Article.
  6. How Robust are Empirical Factor Models to the Choice of Breakpoints? (mit M. Prokopczuk und V. Voigts), Quarterly Journal of Finance, 2023, Vol. 13(4), 2350011.
  7. Managing the Market Portfolio (mit M. Prokopczuk), Management Science, 2023, Vol. 69(6), pp. 3675-3696.
  8. Testing Factor Models in the Cross-Section (mit M. Prokopczuk), Journal of Banking and Finance, 2022, Vol. 145, 106626.
  9. The World of Anomalies: Smaller Than We Think?, Journal of International Money and Finance, 2022, Vol. 129, 102741.
  10. How do Bond Investors Measure Performance? Evidence from Mutual Fund Flows (mit T.D. Dang und M. Prokopczuk), Journal of Banking and Finance, 2022, Vol. 142, 106553.
  11. Local, Regional, or Global Asset Pricing?, Journal of Financial and Quantitative Analysis, 2022, Vol. 57(1), pp. 291–320.
  12. Anomalies in Commodity Futures Markets (mit M. Prokopczuk und B. Tharann), Quarterly Journal of Finance, 2021, Vol. 11(4), 2150017.
  13. Predictability in Commodity Markets: Evidence from More Than a Century (mit M. Prokopczuk, B. Tharann und C. Wese Simen), Journal of Commodity Markets, 2021, Vol. 24, 100171.
  14. The Memory of Beta (mit J. Becker, M. Prokopczuk und P. Sibbertsen), Journal of Banking and Finance, 2021, Vol. 124, 106026.
  15. The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas (mit M. Prokopczuk und C. Wese Simen), Management Science, 2020, Vol. 66(6), pp. 2474–2494.
  16. Estimating Beta: The International Evidence, Journal of Banking and Finance, 2020, Vol. 121, 105968.
  17. Variance Risk: A Bird’s Eye View (mit C. Wese Simen), Journal of Econometrics, 2020, Vol. 215(2), pp. 518–535.
  18. Beta Uncertainty (mit M. Prokopczuk und C. Wese Simen), Journal of Banking and Finance, 2020, Vol. 116, 105834.
  19. Volatility Term Structures in Commodity Markets (mit M. Prokopczuk und C. Würsig), Journal of Futures Markets, 2020, Vol. 40(4), pp. 527–555.
  20. Asset Prices and "the Devil(s) You Know" (mit D.B.B. Nguyen und M. Prokopczuk), Journal of Banking and Finance, 2019, Vol. 105, pp. 20–35.
  21. Estimating Beta: Forecast Adjustments and the Impact of Stock Characteristics for a Broad Cross-Section (mit M. Prokopczuk und C. Wese Simen), Journal of Financial Markets, 2019, Vol. 44, pp. 91–118.
  22. International Tail Risk and World Fear (mit D.B.B. Nguyen, M. Prokopczuk und C. Wese Simen), Journal of International Money and Finance, 2019, Vol. 93, pp. 244–259.
  23. The Term Structure of Systematic and Idiosyncratic Risk (mit M. Prokopczuk und C. Wese Simen), Journal of Futures Markets, 2019, Vol. 39(4), pp. 435–460.
  24. Predicting the Equity Market mit Option-Implied Variables (mit M. Prokopczuk, B. Tharann und C. Wese Simen), European Journal of Finance, 2019, Vol. 25(10), pp. 937–965.
  25. How Aggregate Volatility-of-Volatility Affects Stock Returns (mit M. Prokopczuk), Review of Asset Pricing Studies, 2018, Vol. 8(2), pp. 253–292.
  26. Estimating Beta (mit M. Prokopczuk), Journal of Financial and Quantitative Analysis, 2016, Vol 51(4), pp. 1437–1466.

Working Paper

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