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
Anomalies and Optionability
with Julian Boell and Marliese Uhrig-Homburg
Abstract Working Paper Appendix SSRN
A Skeptical Appraisal of Robust Asset Pricing Tests
with Tim A. Kroencke
Abstract Working Paper SSRN Code
Understanding Asset Pricing Factors
with Viktoria K. Klaus
Text-based Macro Data and Asset Prices
with Viktoria K. Klaus
Publications:
Non-substitutable Consumption Growth Risk
with Robert Dittmar and Christian Schlag
Management Science, forthcoming
Abstract Working Paper SSRN ManageSci Code
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