Working Paper

Published and Accepted Papers

Arbitrage Portfolios with Soohun Kim and Robert Korajczyk
Review of Financial Studies, (2021), 34, 2813–2856.
[SSRN] [RFS] [Code]

Frequency Dependent Risk with Rasmus Varneskov
Journal of Financial Economics, (2021), 140, 644-675.

Estimating the Anomaly Base Rate with Alex Chinco and Michael Weber
Journal of Financial Economics, (2021), 140, 101-126.

Data Snooping in Equity Premium Prediction with Hubert Dichtl, Wolfgang Drobetz and Viktoria-Sophie Wendt
International Journal of Forecasting, (2021), 37, 72-94.

Dissecting characteristics nonparametrically with Joachim Freyberger and Michael Weber
Review of Financial Studies, (2020), 33, 2326-2377.

Monetary Policy Communication, Policy Slope and the Stock Market with Michael Weber
Journal of Monetary Economics, (2019), 108, 140-155.

Market Reaction to Corporate Press Releases with Anna Scherbina and Bernd Schlusche
Journal of Financial and Quantitative Analysis, (2013), 48, 1207-1240.

Growth Optimal Investment Strategy: The Impact of Reallocation Frequency and Heavy Tails with Günter Bamberg
German Economic Review, (2012), 13, 228–240.

Data Snooping and Market-Timing Rule Performance with Bernd Schlusche
Journal of Financial Econometrics, (2011), 9, 550-587.

On the non-existence of conditional value-at-risk under heavy tails and short sales with Günter Bamberg
OR Spectrum, (2010), 32, 49-60.

Working Paper

Structural Deep Learning in Conditional Asset Pricing with Jianqing Fan, Tracy Ke and Yuan Liao

Stock Option Predictability for the Cross-Section with Xiaoxiao Tang, Rasmus Varneskov and Guofu Zhou

Inferences About Properties of Earnings With Disappearing Data with Peter Easton, Martin Kapons and Peter Kelly

Time Series Momentum around FOMC Meetings with Michael Weber

Liquidity Timing in Commodity Markets and the Impact of Financialization with Andrew Thompson