Publications
Refereed Publications
- Estimating Stock Market Betas via Machine Learning (with W. Drobetz, M. Prokopczuk, and T. Otto), Journal of Financial and Quantitative Analysis, forthcoming.
- Predicting the Equity Premium around the Globe: Comprehensive Evidence from a Large Sample (with M. Prokopczuk, B. Tharann, and C. Wese Simen), International Journal of Forecasting, 2025, Vol. 41(1), 208–228.
- Measuring Tail Risk (with M. Dierkes, M. Prokopczuk and C. Würsig), Journal of Econometrics, 2024, Vol. 241(2), 105769.
- Market Power and Systematic Risk (with M. Prokopczuk and C. Würsig), Financial Management, 2024, Vol. 53(2), pp. 233–266, Lead Article.
- Which Factors for Corporate Bond Returns? (with T.D. Dang and M. Prokopczuk), Review of Asset Pricing Studies, 2023, Vol. 13(4), pp. 615–652, Editor’s Choice Article.
- Probability Distortions, Collectivism, and International Stock Prices (with V. Sejdiu), Journal of Behavioral and Experimental Finance, 2023, Vol. 39, 100836.
- How Robust are Empirical Factor Models to the Choice of Breakpoints? (with M. Prokopczuk and V. Voigts), Quarterly Journal of Finance, 2023, Vol. 13(4), 2350011.
- Managing the Market Portfolio (with M. Prokopczuk), Management Science, 2023, Vol. 69(6), pp. 3675-3696.
- Testing Factor Models in the Cross-Section (with M. Prokopczuk), Journal of Banking and Finance, 2022, Vol. 145, 106626.
- The World of Anomalies: Smaller Than We Think?, Journal of International Money and Finance, 2022, Vol. 129, 102741.
- How do Bond Investors Measure Performance? Evidence from Mutual Fund Flows (with T.D. Dang and M. Prokopczuk), Journal of Banking and Finance, 2022, Vol. 142, 106553.
- Local, Regional, or Global Asset Pricing?, Journal of Financial and Quantitative Analysis, 2022, Vol. 57(1), pp. 291–320.
- Anomalies in Commodity Futures Markets (with M. Prokopczuk and B. Tharann), Quarterly Journal of Finance, 2021, Vol. 11(4), 2150017.
- Predictability in Commodity Markets: Evidence from More Than a Century (with M. Prokopczuk, B. Tharann and C. Wese Simen), Journal of Commodity Markets, 2021, Vol. 24, 100171.
- The Memory of Beta (with J. Becker, M. Prokopczuk and P. Sibbertsen), Journal of Banking and Finance, 2021, Vol. 124, 106026.
- The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas (with M. Prokopczuk and C. Wese Simen), Management Science, 2020, Vol. 66(6), pp. 2474–2494.
- Estimating Beta: The International Evidence, Journal of Banking and Finance, 2020, Vol. 121, 105968.
- Variance Risk: A Bird’s Eye View (with C. Wese Simen), Journal of Econometrics, 2020, Vol. 215(2), pp. 518–535.
- Beta Uncertainty (with M. Prokopczuk and C. Wese Simen), Journal of Banking and Finance, 2020, Vol. 116, 105834.
- Volatility Term Structures in Commodity Markets (with M. Prokopczuk and C. Würsig), Journal of Futures Markets, 2020, Vol. 40(4), pp. 527–555.
- Asset Prices and "the Devil(s) You Know" (with D.B.B. Nguyen and M. Prokopczuk), Journal of Banking and Finance, 2019, Vol. 105, pp. 20–35.
- Estimating Beta: Forecast Adjustments and the Impact of Stock Characteristics for a Broad Cross-Section (with M. Prokopczuk and C. Wese Simen), Journal of Financial Markets, 2019, Vol. 44, pp. 91–118.
- International Tail Risk and World Fear (with D.B.B. Nguyen, M. Prokopczuk and C. Wese Simen), Journal of International Money and Finance, 2019, Vol. 93, pp. 244–259.
- The Term Structure of Systematic and Idiosyncratic Risk (with M. Prokopczuk and C. Wese Simen), Journal of Futures Markets, 2019, Vol. 39(4), pp. 435–460.
- Predicting the Equity Market mit Option-Implied Variables (with M. Prokopczuk, B. Tharann, and C. Wese Simen), European Journal of Finance, 2019, Vol. 25(10), pp. 937–965.
- How Aggregate Volatility-of-Volatility Affects Stock Returns (with M. Prokopczuk), Review of Asset Pricing Studies, 2018, Vol. 8(2), pp. 253–292.
- Estimating Beta (with M. Prokopczuk), Journal of Financial and Quantitative Analysis, 2016, Vol 51(4), pp. 1437–1466.