Empirical Asset Pricing | Hedge Funds & Mutual Funds | Financial Technology
Publications in ft 50 Journals
Unobserved Performance of Hedge Funds (joint with Vikas Agarwal and Stefan Ruenzi), Journal of Finance, 2023, Forthcoming
Option Return Predictability with Machine Learning and Big Data (joint with Turan Bali, Heiner Beckmeyer, and Mathis Moerke), Review of Financial Studies, 2023, 36, pp. 3548-3602
Multivariate Crash Risk (joint with Fousseni Chabi-Yo and Markus Huggenberger), Journal of Financial Economics, 2022, 145, pp. 129-153
Data for the MCRASH 10-1 long-short portfolio return can be found here.
Crash Sensitivity and the Cross-Section of Expected Stock Returns (joint with Fousseni Chabi-Yo and Stefan Ruenzi), Journal of Financial and Quantitative Analysis, 2018, 53, pp. 1059-1100
Data for the LTD 5-1 long-short portfolio return can be found here.
Does Foreign Information Predict the Returns of Multinational Firms Worldwide? (joint with Christian Finke), Review of Finance, 2017, 21, pp. 2199-2248
Tail Risk in Hedge Funds: A Unique View From Portfolio Holdings (joint with Vikas Agarwal and Stefan Ruenzi), Journal of Financial Economics, 2017, 125, pp. 610-636
Data for the tail risk 5 - 0 long-short portfolio return can be found here.
The paper received the award for the best article published in the field of alternative investments 2017 from the Bundesverband Alternative Investments (BAI).
Other Peer-REviewed Publications
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, 2020, 115, Article 105809
Factor Exposure Variation and Mutual Fund Performance (joint with Manuel Ammann and Sebastian Fischer), Financial Analysts Journal , 2020, 76, pp. 101-118
Regulatory Stress Testing and Bank Performance (joint with Lukas Ahnert, Pascal Vogt, and Volker Vonhoff), European Financial Management, 2020, 26, pp. 1449-1488
Cash Holdings and the Performance of European Mutual Funds (joint with Frank Graef, Pascal Vogt, and Volker Vonhoff), Finance Research Letters, 2019, 29, pp. 285-291
Momentum and Crash Sensitivity (joint with Stefan Ruenzi), Economics Letters, 2018, 165, pp. 77-81
Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide, Review of Asset Pricing Studies, 2016, 6, pp. 135-178
Does Female Management Influence Firm Performance? Evidence From Luxembourg Banks (joint with Regina Reinert and Christoph Winnefeld), Financial Markets and Portfolio Management, 2016, 30, pp. 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, 2009, 9, pp. 839-854
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)
AFA 2023 Paper, FMA Consortium in Asset Management 2023 Paper, DGF 2021 Paper
The paper received the best paper award at the FMA Consortium on Asset Management 2023.
Extreme Weather Risk and the Cost of Equity (joint with Alexander Braun and Julia Braun)
SFI Research Days 2023 Paper, EGRIE 2022 Paper, ARIA 2021 Paper. DGF 2021 Paper