Publications
Showing results 1 - 20 out of 23
2023
Dang, T. D., Hollstein, F., & Prokopczuk, M. (2023). Which Factors for Corporate Bond Returns? Review of Asset Pricing Studies, 13(4), 615-652. https://doi.org/10.2139/ssrn.4012601
Hollstein, F., & Prokopczuk, M. (2023). Managing the Market Portfolio. Management Science, 69(6), 3675-3696. Advance online publication. https://doi.org/10.1287/mnsc.2022.4459
Hollstein, F., Prokopczuk, M., & Würsig, C. M. (2023). Market power and systematic risk. Financial Management, 1-34. Advance online publication. https://doi.org/10.1111/fima.12438
Hollstein, F., & Sejdiu, V. (2023). Probability distortions, collectivism, and international stock prices. Journal of Behavioral and Experimental Finance, 39, Article 100836. Advance online publication. https://doi.org/10.1016/j.jbef.2023.100836
2022
Dang, T. D., Hollstein, F., & Prokopczuk, M. (2022). How do corporate bond investors measure performance? Evidence from mutual fund flows. Journal of Banking and Finance, 142, Article 106553. Advance online publication. https://doi.org/10.1016/j.jbankfin.2022.106553
Hollstein, F. (2022). Local, regional, or global asset pricing? Journal of Financial and Quantitative Analysis, 57(1), 291-320. Advance online publication. https://doi.org/10.1017/S0022109021000028
Hollstein, F., & Prokopczuk, M. (2022). Testing Factor Models in the Cross-Section. Journal of Banking and Finance, 145, Article 106626. Advance online publication. https://doi.org/10.1016/j.jbankfin.2022.106626
2021
Becker, J., Hollstein, F., Prokopczuk, M., & Sibbertsen, P. (2021). The memory of beta. Journal of Banking and Finance, 124, Article 106026. Advance online publication. https://doi.org/10.1016/j.jbankfin.2020.106026
Hollstein, F., Prokopczuk, M., & Tharann, B. (2021). Anomalies in Commodity Futures Markets. The Quarterly Journal of Finance, 11(4), Article 2150017. https://doi.org/10.1142/s2010139221500178
Hollstein, F., Prokopczuk, M., & Voigts, V. (2021). How Robust are Empirical Factor Models to the Choice of Breakpoints? The Quarterly Journal of Finance. Advance online publication. https://doi.org/10.2139/ssrn.3924821
Hollstein, F., Prokopczuk, M., Tharann, B., & Wese Simen, C. (2021). Predictability in Commodity Markets: Evidence from More Than a Century. Journal of Commodity Markets, 24, Article 100171. Advance online publication. https://doi.org/10.1016/j.jcomm.2021.100171
2020
Hollstein, F., Prokopczuk, M., & Wese Simen, C. (2020). Beta uncertainty. Journal of Banking and Finance, 116, Article 105834. https://doi.org/10.1016/j.jbankfin.2020.105834
Hollstein, F. (2020). Estimating Beta: The International Evidence. Journal of Banking and Finance, 121, Article 105968. Advance online publication. https://doi.org/10.1016/j.jbankfin.2020.105968
Hollstein, F., Prokopczuk, M., & Wese Simen, C. (2020). The conditional capital asset pricing model revisited: evidence from high-frequency betas. Management Science, 66(6), 2474-2494. https://doi.org/10.1287/mnsc.2019.3317
Hollstein, F., Prokopczuk, M., & Würsig, C. (2020). Volatility term structures in commodity markets. Journal of Futures Markets, 40(4), 527-555. https://doi.org/10.1002/fut.22083
2019
Hollstein, F., Nguyen, D. B. B., & Prokopczuk, M. (2019). Asset prices and “the devil(s) you know”. Journal of Banking and Finance, 105, 20-35. Advance online publication. https://doi.org/10.1016/j.jbankfin.2019.04.003
Hollstein, F., Prokopczuk, M., & Wese Simen, C. (2019). Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section. Journal of Financial Markets, 44, 91-118. Advance online publication. https://doi.org/10.1016/j.finmar.2019.03.001
Hollstein, F., Nguyen, D. B. B., Prokopczuk, M., & Wese Simen, C. (2019). International tail risk and World Fear. Journal of International Money and Finance, 93, 244-259. https://doi.org/10.1016/j.jimonfin.2019.01.004
Hollstein, F., Prokopczuk, M., Tharann, B., & Wese Simen, C. (2019). Predicting the equity market with option-implied variables. European Journal of Finance, 25(10), 937-965. Advance online publication. https://doi.org/10.1080/1351847X.2018.1556176
Hollstein, F., Prokopczuk, M., & Wese Simen, C. (2019). The term structure of systematic and idiosyncratic risk. Journal of Futures Markets, 39(4), 435-460. Advance online publication. https://doi.org/10.1002/fut.21985
