Working Papers:

Following the Footprints: Towards a Taxonomy of the Factor Zoo

with Julian Boell, Fanchen Meng, and Marliese Uhrig-Homburg

Abstract     Working Paper     Appendix    SSRN

Presented at KIT (Karlsruhe)

Anomalies and Optionability

with Julian Boell and Marliese Uhrig-Homburg

Abstract     Working Paper     Appendix    SSRN

Presented at KIT (Karlsruhe)

A Skeptical Appraisal of Robust Asset Pricing Tests

with Tim A. Kroencke

Abstract     Working Paper     SSRN     Code

Presented at KIT (Karlsruhe), DGF 2021 (Innsbruck), Goethe (Frankfurt), University of Hamburg, University of Duesburg-Essen, Erasmus School of Economics (Rotterdam), Paris December Finance Meeting, Tilburg School of Economics and Management, University of Liechtenstein, TBEAR Network Asset Pricing Workshop, VieCo Conference on Financial Econometrics 2022 (Copenhagen), SGF Conference 2023 (Zurich), Workshop on Econometric Advances in Macro and Finance (Rotterdam), University of Cologne, HKMetrics Workshop (Karlsruhe)

Jumps and the Correlation Risk Premium: Evidence from Equity Options

with Nicole Branger, René Flacke, and Frederik Middelhoff

Abstract     Working Paper     SSRN

Presented at MFA 2020 (Chicago), North American Winter Meeting of the Econometric Society 2020 (San Diego), AFA 2020 (San Diego, poster session), FMA Conference on Derivatives and Volatility 2019 (Chicago), LTI Asset Pricing Conference 2019 (Torino), DGF 2019 (Essen), Canadian Derivatives Institute Conference 2019 (Montréal), EEA 2019 (Manchester), AFFI 2019 (Québec City), SoFiE 2019 (Shanghai), Stockholm School of Economic, WWU (Münster), KIT (Karlsruhe)


Non-substitutable Consumption Growth Risk

with Robert Dittmar and Christian Schlag

Management Science, conditionally accepted

Abstract     Working Paper     SSRN

Non-Standard Errors

with Albert Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Sebastian Neusüss, Michael Razen, Utz Weitzel and a large number of further coauthors

Journal of Finance, 2024, Vol 79 (3), pages 2339-2390 

Abstract     Working Paper     Appendix     SSRN     JF     Website

GMM Weighting Matrices in Cross-Sectional Asset Pricing Tests

with Nora Laurinaityte, Christoph Meinerding, and Christian Schlag

Journal of Banking and Finance, 2024, Vol 162, pages 107123 

Abstract     Working Paper     Appendix     SSRN     JBF

Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models

with Christian Schlag and Michael Semenischev

Management Science, 2021, Vol 67 (12), pages 7932-7950

Abstract     Working Paper     Appendix     SSRN     ManageSci

Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution

with Christian Schlag and Ruediger Weber

Journal of Financial Economics, 2021, Vol 140 (1), pages 127-144

Abstract     Working Paper     SSRN     JFE

Up- and Downside Variance Risk Premia in Global Equity Markets

with Matthias Held, Julia Kapraun, and Marcel Omachel

Journal of Banking and Finance, 2020, Vol 118, pages 105875

Abstract     Working Paper     Appendix     SSRN     JBF

Volatility-of-Volatility Risk

with Darien Huang, Christian Schlag, and Ivan Shaliastovich

Journal of Financial and Quantitative Analysis, 2019, Vol 54 (6), pages 2423-2452

Abstract     Working Paper     Appendix     SSRN     JFQA

Intertemporal Substitution in Consumption: A Literature Review

Journal of Economic Surveys, 2017, Vol 31 (1), pages 226–257

Abstract     Working Paper     SSRN     JES

Ambiguity in the Cross-Section of Expected Returns: An Empirical Assessment   

with Clemens Voelkert   

Journal of Business and Economic Statistics, 2015, Vol 33 (3), pages 418-429

Abstract     Working Paper     Appendix    SSRN     JBES

High Order Smooth Ambiguity Preferences and Asset Prices

with Clemens Voelkert  

Review of Financial Economics, 2015, Vol 27, pages 1-15

Abstract     Working Paper     SSRN     RFE