Empirical Asset Pricing, Hedge Funds, Mutual Funds, and Behavioral Finance
Multivariate Crash Risk (joint with Fousseni Chabi-Yo and Markus Huggenberger), Journal of Financial Economics, 2022, 145, pp. 129-153
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, 115, 2020, Article 105809
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
Data for the LTD 5-1 long-short portfolio return can be found here.
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).
Data for the tail risk 5 - 0 long-short portfolio return can be found here.
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
Revise & Resubmit: Journal of Finance
Option Return Predictability with Machine Learning and Big Data (joint with Turan Bali, Heiner Beckmeyer, and Mathis Moerke)
UIUC Virtual Derivatives Workshop 2021 Paper
Revise & Resubmit: Review of Financial Studies
Hedge Funds and the Positive Idiosyncratic Volatility Effect (joint with Turan Bali)
DGF 2021 Paper. CFR Virtual Seminar 2020 Paper, CFR Colloquium 2019 Paper
Revise & Resubmit: Review of Finance
Back to the Roots: Ancestral Origin and Mutual Fund Manager Portfolio Choice (joint with Manuel Ammann, Alexander Cochardt, and Simon Straumann)
DGF 2021 Paper
Hurricane Risk and Asset Prices (joint with Alexander Braun and Julia Braun)
DGF 2021 Paper