Do Option Characteristics Predict the Underlying Stock Returns in the Cross-Section? with Xiaoxiao Tang, Rasmus Varneskov and Guofu Zhou
Management Science, (2026), 72, 2742–2760.
[SSRN] [MS]

Missing Data in Asset Pricing Panels with Joachim Freyberger, Bjoern Hoeppner and Michael Weber
Review of Financial Studies, (2025), 38, 760–802.
[SSRN] [RFS]

Characteristic-based Returns: Alpha or Smart Beta? with Soohun Kim and Robert Korajczyk
Journal of Investment Management, (2022), 20, 70–89.
[SSRN]

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.
[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]

Is Expected Market Volatility a Priced Risk Factor? with Yuan Liao and Viktor Todorov
[SSRN]

International Investing: Diversification and Beyond with Soohun Kim and Robert Korajczyk
[SSRN]

Accounting Under Pressure: Recognition Rules, Insurer Bond Sales, and Real Investment with John Manuel Barrios and Linda Schilling
[SSRN]

The Uncertainty of Machine Learning Predictions in Asset Pricing with Yuan Liao, Xinjie Ma and Linda Schilling
[SSRN]

Benign Overfitting in Economic Forecasting via Noise Regularization with Yuan Liao, Xinjie Ma and Zhentao Shi
[SSRN]

Timing the Factor Zoo with Otto Randl, Christoph Reschenhofer and Josef Zechner
[SSRN]

Robust Stock Index Return Predictions Using Deep Learning with Ravi Jagannathan and Yuan Liao
[SSRN]

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