Publikationen

Referierte Zeitschriften

  1. Explanations for Cross-Sectional Return Anomalies: Evidence on the IVOL Puzzle (mit L. Kowalke und M. Prokopczuk), Financial Management, forthcoming (VHB B, SJR Q1).
  2. Factor Pricing Across Asset Classes (mit T.D. Dang und M. Prokopczuk), Journal of Empirical Finance, 2026, Vol. 87, 101688 (VHB B, SJR Q1).
  3. Estimating Stock Market Betas via Machine Learning (mit W. Drobetz, M. Prokopczuk und T. Otto), Journal of Financial and Quantitative Analysis, 2025, Vol. 60(3), 1074–1110 (FT50, VHB A, SJR Q1).
  4. Predicting the Equity Premium around the Globe: Comprehensive Evidence from a Large Sample (mit M. Prokopczuk, B. Tharann und C. Wese Simen), International Journal of Forecasting, 2025, Vol. 41(1), 208–228 (VHB B, SJR Q1).
  5. Measuring Tail Risk (mit M. Dierkes, M. Prokopczuk und C. Würsig), Journal of Econometrics, 2024, Vol. 241(2), 105769 (VHB A, SJR Q1).
  6. Market Power and Systematic Risk (mit M. Prokopczuk und C. Würsig), Financial Management, 2024, Vol. 53(2), pp. 233–266, Lead Article (VHB B, SJR Q1).
  7. 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, Editor’s Choice Article (VHB A, SJR Q1).
  8. Probability Distortions, Collectivism, and International Stock Prices (mit 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?  (mit M. Prokopczuk und V. Voigts), Quarterly Journal of Finance, 2023, Vol. 13(4), 2350011 (SJR Q3).
  10. Managing the Market Portfolio (mit M. Prokopczuk), Management Science, 2023, Vol. 69(6), pp. 3675-3696 (FT50, VHB A+, SJR Q1).
  11. Testing Factor Models in the Cross-Section (mit 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 Fund Flows (mit T.D. Dang und 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 (mit M. Prokopczuk und B. Tharann), Quarterly Journal of Finance, 2021, Vol. 11(4), 2150017 (SJR Q3).
  16. 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 (VHB B, SJR Q1).
  17. The Memory of Beta (mit J. Becker, M. Prokopczuk und 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 (mit M. Prokopczuk und 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 (mit C. Wese Simen), Journal of Econometrics, 2020, Vol. 215(2), pp. 518–535 (VHB A, SJR Q1).
  21. Beta Uncertainty (mit M. Prokopczuk und C. Wese Simen), Journal of Banking and Finance, 2020, Vol. 116, 105834 (VHB A, SJR Q1).
  22. Volatility Term Structures in Commodity Markets (mit M. Prokopczuk und 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" (mit D.B.B. Nguyen und 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 (mit M. Prokopczuk und C. Wese Simen), Journal of Financial Markets, 2019, Vol. 44, pp. 91–118 (VHB B, SJR Q1).
  25. 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 (VHB B, SJR Q1).
  26. 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 (VHB B, SJR Q2).
  27. 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 (VHB B, SJR Q1).
  28. How Aggregate Volatility-of-Volatility Affects Stock Returns (mit M. Prokopczuk), Review of Asset Pricing Studies, 2018, Vol. 8(2), pp. 253–292 (VHB A, SJR Q1).
  29. Estimating Beta (mit M. Prokopczuk), Journal of Financial and Quantitative Analysis, 2016, Vol 51(4), pp. 1437–1466 (FT50, VHB A, SJR Q1).

Working Paper

Einige unserer Working Paper finden Sie auf SSRN.