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Research

Publications
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.
[SSRN] [JFE]

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

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

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

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

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

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

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

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

Working Paper

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

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

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

Time Series Momentum around FOMC Meetings with Michael Weber
[SSRN]

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