Publications

Refereed Publications

  1. Estimating Stock Market Betas via Machine Learning (with W. Drobetz, M. Prokopczuk, and T. Otto), Journal of Financial and Quantitative Analysis, forthcoming.
  2. 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.
  3. Measuring Tail Risk (with M. Dierkes, M. Prokopczuk and C. Würsig), Journal of Econometrics, 2024, Vol. 241(2), 105769.
  4. Market Power and Systematic Risk (with M. Prokopczuk and C. Würsig), Financial Management, 2024, Vol. 53(2), pp. 233–266, Lead Article.
  5. 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.
  6. Probability Distortions, Collectivism, and International Stock Prices (with V. Sejdiu), Journal of Behavioral and Experimental Finance, 2023, Vol. 39, 100836.
  7. 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.
  8. Managing the Market Portfolio (with M. Prokopczuk), Management Science, 2023, Vol. 69(6), pp. 3675-3696.
  9. Testing Factor Models in the Cross-Section (with M. Prokopczuk), Journal of Banking and Finance, 2022, Vol. 145, 106626.
  10. The World of Anomalies: Smaller Than We Think?, Journal of International Money and Finance, 2022, Vol. 129, 102741.
  11. 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.
  12. Local, Regional, or Global Asset Pricing?, Journal of Financial and Quantitative Analysis, 2022, Vol. 57(1), pp. 291–320.
  13. Anomalies in Commodity Futures Markets (with M. Prokopczuk and B. Tharann), Quarterly Journal of Finance, 2021, Vol. 11(4), 2150017.
  14. 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.
  15. The Memory of Beta (with J. Becker, M. Prokopczuk and P. Sibbertsen), Journal of Banking and Finance, 2021, Vol. 124, 106026.
  16. 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.
  17. Estimating Beta: The International Evidence, Journal of Banking and Finance, 2020, Vol. 121, 105968.
  18. Variance Risk: A Bird’s Eye View (with C. Wese Simen), Journal of Econometrics, 2020, Vol. 215(2), pp. 518–535.
  19. Beta Uncertainty (with M. Prokopczuk and C. Wese Simen), Journal of Banking and Finance, 2020, Vol. 116, 105834.
  20. Volatility Term Structures in Commodity Markets (with M. Prokopczuk and C. Würsig), Journal of Futures Markets, 2020, Vol. 40(4), pp. 527–555.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. 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.
  26. How Aggregate Volatility-of-Volatility Affects Stock Returns (with M. Prokopczuk), Review of Asset Pricing Studies, 2018, Vol. 8(2), pp. 253–292.
  27. Estimating Beta (with M. Prokopczuk), Journal of Financial and Quantitative Analysis, 2016, Vol 51(4), pp. 1437–1466.

Working Paper

You can find some of our Working Paper on SSRN.