Empirical Asset Pricing, Hedge Funds, Mutual Funds, and Behavioral Finance
Joint Extreme Events in Equity Returns and Liquidity and their Cross-Sectional Pricing Implications (joint with Stefan Ruenzi and Michael Ungeheuer), Journal of Banking and Finance, 15, 2020, Article 105809
Please contact me for data on the EDL Risk portfolio factor returns.
Factor Exposure Variation and Mutual Fund Performance (joint with Manuel Ammann and Sebastian Fischer), Financial Analysts Journal , 76, 2020, 101-118
Regulatory Stress Testing and Bank Performance (joint with Lukas Ahnert, Pascal Vogt, and Volker Vonhoff), European Financial Management, 2020, 26, 1449-1488
Cash Holdings and the Performance of European Mutual Funds (joint with Frank Graef, Pascal Vogt, and Volker Vonhoff), Finance Research Letters, 29, 2019, 285-291
Crash Sensitivity and the Cross-Section of Expected Stock Returns (joint with Fousseni Chabi-Yo and Stefan Ruenzi), Journal of Financial and Quantitative Analysis, 53, 2018, 1059-1100
Please contact me for data on the long-short LTD portfolio factor return.
Momentum and Crash Sensitivity (joint with Stefan Ruenzi), Economics Letters, 165, 2018, 77-81
Does Foreign Information Predict the Returns of Multinational Firms Worldwide? (joint with Christian Finke), Review of Finance, 21, 2017, 2199-2248
Tail Risk in Hedge Funds: A Unique View From Portfolio Holdings (joint with Vikas Agarwal and Stefan Ruenzi), Journal of Financial Economics, 125, 2017, 610-636
The paper received the award for the best article published in the field of alternative investments 2017 from the Bundesverband Alternative Investments (BAI).
Please contact me for data on the long-short hedge fund tail risk factor return.
Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide, Review of Asset Pricing Studies, 6, 2016, 135-178
Does Female Management Influence Firm Performance? Evidence From Luxembourg Banks (joint with Regina Reinert and Christoph Winnefeld), Financial Markets and Portfolio Management, 30, 2016, 113-136
The paper received the award for the best paper published in Financial Markets and Portfolio Management.
An Empirical Comparison of Multivariate Copula Models (joint with Matthias Fischer, Christian Köck, and Stephan Schlüter), Quantitative Finance, 9, 2009, 839-854
Unobserved Performance of Hedge Funds (joint with Vikas Agarwal and Stefan Ruenzi)
AFA 2020 Paper, FIRS 2019 Paper, Berlin Mutual Fund & Hedge Fund Conference 2019 Paper
Multivariate Crash Risk (joint with Fousseni Chabi-Yo and Markus Huggenberger)
SoFie Conference 2019 Paper, CICF 2019 Paper
Hedge Funds and the Positive Idiosyncratic Volatility Effect (joint with Turan Bali)
CFR Colloquium 2019 Paper