Fabian Hollstein

Leibniz University Hannover - School of Economics and Management

Koenigsworther Platz 1

Hannover, 30167

Germany

SCHOLARLY PAPERS

16

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2,702

SSRN CITATIONS
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SSRN RANKINGS

Top 37,113

in Total Papers Citations

18

CROSSREF CITATIONS

0

Scholarly Papers (16)

1.

Estimating Beta

Journal of Financial and Quantitative Analysis (JFQA), Volume 51, Issue 4 (2016)
Number of pages: 78 Posted: 15 Dec 2014 Last Revised: 05 Jan 2017
Fabian Hollstein and Marcel Prokopczuk
Leibniz University Hannover - School of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 1,180 (18,626)

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Beta estimation, Implied beta

2.

Estimating Beta: Forecast Adjustments and the Impact of Stock Characteristics for a Broad Cross-Section

Journal of Financial Markets (2019), Vol. 44, pp. 91–118
Number of pages: 76 Posted: 14 Nov 2017 Last Revised: 18 Sep 2019
Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 326 (100,393)
Citation 5

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Beta Estimation, Forecast Combinations, Forecast Adjustments

3.

The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas

Management Science, Forthcoming
Number of pages: 52 Posted: 25 Mar 2019 Last Revised: 07 Oct 2019
Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 238 (139,770)
Citation 4

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Beta estimation, conditional CAPM, high-frequency data

4.

Predicting the Equity Market with Option-Implied Variables

European Journal of Finance (2019), Vol. 25(10), pp. 937–965
Number of pages: 63 Posted: 22 Nov 2017 Last Revised: 18 Sep 2019
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 157 (204,041)
Citation 2

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Equity Premium, Option Implied Information, Portfolio Choice, Predictability, Timing Strategies

5.

Anomalies in Commodity Futures Markets: Risk or Mispricing?

Number of pages: 65 Posted: 27 Apr 2020
Fabian Hollstein, Marcel Prokopczuk and Björn Tharann
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover
Downloads 155 (206,231)

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Anomalies, commodity futures markets, behavioral finance, systematic risk

6.

International Tail Risk and World Fear

Journal of International Money and Finance, Vol. 93, 2019
Number of pages: 35 Posted: 27 Nov 2017 Last Revised: 17 Sep 2019
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 97 (292,620)
Citation 1

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Jump Risk, Tail Risk, International Stock Market Returns, Return Predictability, International Asset Pricing, Factor Models

7.

The Memory of Beta

Number of pages: 58 Posted: 01 Jan 2020
Leibniz Universität Hannover, Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Hannover
Downloads 84 (320,336)
Citation 1

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Long memory, beta, persistence, forecasting, predictability

8.

The Term Structure of Systematic and Idiosyncratic Risk

Journal of Futures Markets (2019), Vol. 39(4), pp. 435–460
Number of pages: 70 Posted: 14 Nov 2017 Last Revised: 18 Sep 2019
Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 78 (334,713)
Citation 1

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Systematic risk, idiosyncratic risk, options, term structure, expectations hypothesis, model-free option implied variance, implied correlation

9.

Predictability in Commodity Markets: Evidence from More Than a Century

Number of pages: 48 Posted: 27 Apr 2020
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 67 (364,257)

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Commodities, Return Predictability, Derivatives Introduction, Business Cycle, Volatility Predictability

10.

Volatility Term Structures in Commodity Markets

Journal of Futures Markets, Forthcoming
Number of pages: 65 Posted: 12 Dec 2019
Fabian Hollstein, Marcel Prokopczuk and Christoph Wuersig
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 66 (369,980)
Citation 2

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commodities, information transmission, spillovers, volatility term structure

11.

Asset Prices and 'The Devil(s) You Know'

Journal of Banking and Finance (2019), Vol. 105, pp. 20–35
Number of pages: 69 Posted: 24 May 2019 Last Revised: 18 Sep 2019
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 57 (394,959)

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persistence, stock return distribution, option-implied central moments, asset pricing

12.

How Do Bond Investors Measure Performance? Evidence from Mutual Fund Flows

Number of pages: 53 Posted: 12 Dec 2019
Thuy Duong Dang, Fabian Hollstein and Marcel Prokopczuk
Leibniz Universität Hannover, Leibniz University Hannover - School of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 52 (411,956)

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bond factor models, Sharpe ratio, bond mutual funds, investor flows, performance evaluation, flow-performance sensitivity

13.

Estimating Beta: The International Evidence

Number of pages: 46 Posted: 08 Mar 2020
Fabian Hollstein
Leibniz University Hannover - School of Economics and Management
Downloads 41 (453,934)
Citation 1

Abstract:

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Beta estimation, international capital markets

14.

Predicting the Equity Premium around the Globe: Comprehensive Evidence from a Large Sample

Number of pages: 62 Posted: 27 Apr 2020
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 38 (466,644)

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International equity premium, return predictability, market efficiency

15.

Variance Risk: A Bird's Eye View

Journal of Econometrics, Forthcoming
Number of pages: 77 Posted: 19 Sep 2019
Fabian Hollstein and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management and University of Liverpool Management School
Downloads 38 (466,644)

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Correlation Swaps, Return Predictability, Return Variation, Variance Swaps

16.

Beta Uncertainty

Journal of Banking and Finance, Forthcoming
Number of pages: 71 Posted: 14 May 2020
Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 28 (515,089)

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Beta, CAPM, Disagreement, Ambiguity, Parameter Uncertainty

Other Papers (1)

Total Downloads: 0
1.

How Aggregate Volatility-of-Volatility Affects Stock Returns

Review of Asset Pricing Studies, Vol. 8, No. 2, 2018
Posted: 23 Jun 2017 Last Revised: 01 May 2019
Fabian Hollstein and Marcel Prokopczuk
Leibniz University Hannover - School of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management

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Aggregate economic uncertainty, stock market volatility-of-volatility, VVIX