Publications

Refereed Publications

  1. Explanations for Cross-Sectional Return Anomalies: Evidence on the IVOL Puzzle (with L. Kowalke and M. Prokopczuk), Financial Management, forthcoming (VHB B, SJR Q1).
  2. Factor Pricing Across Asset Classes (with T.D. Dang and M. Prokopczuk), Journal of Empirical Finance, 2026, Vol. 87, 101688 (VHB B, SJR Q1).
  3. Estimating Stock Market Betas via Machine Learning (with W. Drobetz, M. Prokopczuk and T. Otto), Journal of Financial and Quantitative Analysis, 2025, Vol. 60(3), 1074–1110 (FT50, VHB A, SJR Q1).
  4. Predicting the Equity Premium aroand 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 (VHB B, SJR Q1).
  5. Measuring Tail Risk (with M. Dierkes, M. Prokopczuk and C. Würsig), Journal of Econometrics, 2024, Vol. 241(2), 105769 (VHB A, SJR Q1).
  6. Market Power and Systematic Risk (with M. Prokopczuk and C. Würsig), Financial Management, 2024, Vol. 53(2), pp. 233–266, Lead Article (VHB B, SJR Q1).
  7. 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 (VHB A, SJR Q1).
  8. Probability Distortions, Collectivism, and International Stock Prices (with V. Sejdiu), Journal of Behavioral and Experimental Finance, 2023, Vol. 39, 100836 (SJR Q1).
  9. 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 (SJR Q3).
  10. Managing the Market Portfolio (with M. Prokopczuk), Management Science, 2023, Vol. 69(6), pp. 3675-3696 (FT50, VHB A+, SJR Q1).
  11. Testing Factor Models in the Cross-Section (with M. Prokopczuk), Journal of Banking and Finance, 2022, Vol. 145, 106626 (VHB A, SJR Q1).
  12. The World of Anomalies: Smaller Than We Think?, Journal of International Money and Finance, 2022, Vol. 129, 102741 (VHB B, SJR Q1).
  13. How do Bond Investors Measure Performance? Evidence from Mutual Fand Flows (with T.D. Dang and M. Prokopczuk), Journal of Banking and Finance, 2022, Vol. 142, 106553 (VHB A, SJR Q1).
  14. Local, Regional, or Global Asset Pricing?, Journal of Financial and Quantitative Analysis, 2022, Vol. 57(1), pp. 291–320 (FT50, VHB A, SJR Q1).
  15. Anomalies in Commodity Futures Markets (with M. Prokopczuk and B. Tharann), Quarterly Journal of Finance, 2021, Vol. 11(4), 2150017 (SJR Q3).
  16. 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 (VHB B, SJR Q1).
  17. The Memory of Beta (with J. Becker, M. Prokopczuk and P. Sibbertsen), Journal of Banking and Finance, 2021, Vol. 124, 106026 (VHB A, SJR Q1).
  18. 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 (FT50, VHB A+, SJR Q1).
  19. Estimating Beta: The International Evidence, Journal of Banking and Finance, 2020, Vol. 121, 105968 (VHB A, SJR Q1).
  20. Variance Risk: A Bird’s Eye View (with C. Wese Simen), Journal of Econometrics, 2020, Vol. 215(2), pp. 518–535 (VHB A, SJR Q1).
  21. Beta Uncertainty (with M. Prokopczuk and C. Wese Simen), Journal of Banking and Finance, 2020, Vol. 116, 105834 (VHB A, SJR Q1).
  22. Volatility Term Structures in Commodity Markets (with M. Prokopczuk and C. Würsig), Journal of Futures Markets, 2020, Vol. 40(4), pp. 527–555 (VHB B, SJR Q2).
  23. 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 (VHB A, SJR Q1).
  24. 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 (VHB B, SJR Q1).
  25. 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 (VHB B, SJR Q1).
  26. 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 (VHB B, SJR Q2).
  27. Predicting the Equity Market with Option-Implied Variables (with M. Prokopczuk, B. Tharann and C. Wese Simen), European Journal of Finance, 2019, Vol. 25(10), pp. 937–965 (VHB B, SJR Q1).
  28. How Aggregate Volatility-of-Volatility Affects Stock Returns (with M. Prokopczuk), Review of Asset Pricing Studies, 2018, Vol. 8(2), pp. 253–292 (VHB A, SJR Q1).
  29. Estimating Beta (with M. Prokopczuk), Journal of Financial and Quantitative Analysis, 2016, Vol 51(4), pp. 1437–1466 (FT50, VHB A, SJR Q1).

Working Paper

You can find some of our Working Paper on SSRN.