Fabian Hollstein

Saarland University

Campus

Saarbrucken, Saarland D-66123

Germany

  • Saarland University

SCHOLARLY PAPERS

27

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84

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14

Scholarly Papers (27)

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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
Saarland University and University of Reading - ICMA Centre
Downloads 1,410 (24,230)

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Beta estimation, Implied beta

2.

Estimating Stock Market Betas via Machine Learning

Number of pages: 96 Posted: 01 Oct 2021 Last Revised: 25 Aug 2023
Wolfgang Drobetz, Fabian Hollstein, Tizian Otto and Marcel Prokopczuk
University of Hamburg, Saarland University, University of Hamburg and University of Reading - ICMA Centre
Downloads 1,205 (30,548)
Citation 5

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Beta estimation, machine learning, active trading strategy

3.

Anomalies in Commodity Futures Markets

Quarterly Journal of Finance (2021) Vol. 11(4), 2150017
Number of pages: 56 Posted: 27 Apr 2020 Last Revised: 29 Nov 2021
Fabian Hollstein, Marcel Prokopczuk and Björn Tharann
Saarland University, University of Reading - ICMA Centre and Leibniz Universität Hannover
Downloads 617 (75,935)
Citation 1

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Anomalies, commodity futures markets, behavioral finance, systematic risk

4.

Managing the Market Portfolio

Management Science (2023), Vol. 69(6), pp. 3675-3696
Number of pages: 90 Posted: 12 Mar 2022 Last Revised: 27 Jun 2023
Fabian Hollstein and Marcel Prokopczuk
Saarland University and University of Reading - ICMA Centre
Downloads 595 (79,460)

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Conditioning variables, managed portfolios, market portfolio, market timing

5.

How Robust are Empirical Factor Models to the Choice of Breakpoints?

Quarterly Journal of Finance, forthcoming
Number of pages: 72 Posted: 20 Sep 2021 Last Revised: 07 Aug 2023
Fabian Hollstein, Marcel Prokopczuk and Victoria Voigts
Saarland University, University of Reading - ICMA Centre and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 498 (99,056)

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Asset Pricing, Factors, Replication, Breakpoint Analysis, Robustness

6.

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
Saarland University, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 490 (101,092)
Citation 12

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Beta Estimation, Forecast Combinations, Forecast Adjustments

7.

The World of Anomalies: Smaller Than We Think?

Journal of International Money and Finance (2022), Vol. 129, 102741
Number of pages: 83 Posted: 11 Nov 2020 Last Revised: 27 Jun 2023
Fabian Hollstein
Saarland University
Downloads 427 (118,952)
Citation 6

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Anomalies, international capital markets, mispricing, data mining

8.

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

Management Science (2020), Vol. 66(6), pp. 2474-2494
Number of pages: 52 Posted: 25 Mar 2019 Last Revised: 14 Jan 2021
Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen
Saarland University, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 407 (125,747)
Citation 7

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Beta estimation, conditional CAPM, high-frequency data

9.

Measuring Tail Risk

Number of pages: 102 Posted: 23 Feb 2021 Last Revised: 15 Jun 2023
Maik Dierkes, Fabian Hollstein, Marcel Prokopczuk and Christoph Wuersig
Leibniz University Hannover, Saarland University, University of Reading - ICMA Centre and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 381 (135,574)
Citation 1

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Tail Risk, Return Forecasting, Tail Event Forecasting

10.

Local, Regional, or Global Asset Pricing?

Journal of Financial and Quantitative Analysis (2022), Vol. 57(1), pp. 291-320
Number of pages: 88 Posted: 23 Sep 2020 Last Revised: 01 Mar 2022
Fabian Hollstein
Saarland University
Downloads 294 (179,064)
Citation 12

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International asset pricing, return anomalies, international diversification

11.

Predictability in Commodity Markets: Evidence from More Than a Century

Journal of Commodity Markets (2021) Vol. 24, 100171
Number of pages: 51 Posted: 27 Apr 2020 Last Revised: 29 Nov 2021
Fabian Hollstein, Marcel Prokopczuk, Björn Tharann and Chardin Wese Simen
Saarland University, University of Reading - ICMA Centre, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 283 (186,203)
Citation 1

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

12.

Beta Uncertainty

Journal of Banking and Finance (2020), Vol. 116, 105834
Number of pages: 71 Posted: 14 May 2020 Last Revised: 14 Jan 2021
Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen
Saarland University, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 268 (196,782)
Citation 1

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Beta, CAPM, Disagreement, Ambiguity, Parameter Uncertainty

13.

The Index Effect: Evidence from the Option Market

Number of pages: 60 Posted: 07 Jan 2021 Last Revised: 17 Apr 2023
Fabian Hollstein and Chardin Wese Simen
Saarland University and University of Liverpool Management School
Downloads 257 (205,214)
Citation 1

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G10, G12, G14

14.

The Memory of Beta

Journal of Banking and Finance (2021), Vol. 124, 106026
Number of pages: 65 Posted: 01 Jan 2020 Last Revised: 14 Jan 2021
Janis Becker, Fabian Hollstein, Marcel Prokopczuk and Philipp Sibbertsen
Leibniz Universität Hannover, Saarland University, University of Reading - ICMA Centre and University of Hannover
Downloads 223 (235,518)
Citation 4

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Long memory, beta, persistence, forecasting, predictability

15.

Estimating Beta: The International Evidence

Journal of Banking and Finance (2020), Vol. 121, 105968
Number of pages: 65 Posted: 08 Mar 2020 Last Revised: 14 Jan 2021
Fabian Hollstein
Saarland University
Downloads 212 (246,893)
Citation 13

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Beta estimation, global market betas, international capital markets

16.

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

Journal of Banking and Finance (2022), Vol. 142, 106553
Number of pages: 84 Posted: 12 Dec 2019 Last Revised: 18 Jul 2022
Thuy Duong Dang, Fabian Hollstein and Marcel Prokopczuk
Leibniz Universität Hannover, Saarland University and University of Reading - ICMA Centre
Downloads 210 (249,138)
Citation 3

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

17.

Testing Factor Models in the Cross-Section

Journal of Banking and Finance (2022), Vol. 145, 106626
Number of pages: 58 Posted: 20 Sep 2021 Last Revised: 31 Aug 2022
Fabian Hollstein and Marcel Prokopczuk
Saarland University and University of Reading - ICMA Centre
Downloads 204 (255,790)
Citation 1

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Factor models, cross-sectional tests, no-arbitrage pricing, beta estimation

18.

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
Fabian Hollstein, Marcel Prokopczuk, Björn Tharann and Chardin Wese Simen
Saarland University, University of Reading - ICMA Centre, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 204 (255,790)
Citation 5

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

19.

Factor Pricing Across Asset Classes

Number of pages: 58 Posted: 18 Jun 2023 Last Revised: 23 Jun 2023
Thuy Duong Dang, Fabian Hollstein and Marcel Prokopczuk
Leibniz Universität Hannover, Saarland University and University of Reading - ICMA Centre
Downloads 181 (284,566)

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Factor models, across asset classes, model comparison, market integration

20.

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

Number of pages: 66 Posted: 27 Apr 2020 Last Revised: 22 Aug 2023
Fabian Hollstein, Marcel Prokopczuk, Björn Tharann and Chardin Wese Simen
Saarland University, University of Reading - ICMA Centre, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 175 (293,155)

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International equity premium, return predictability, market efficiency

21.

Market Power and Systematic Risk

Financial Management, forthcoming
Number of pages: 51 Posted: 28 May 2021 Last Revised: 09 Nov 2023
Fabian Hollstein, Marcel Prokopczuk and Christoph Wuersig
Saarland University, University of Reading - ICMA Centre and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 169 (302,010)
Citation 1

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Market power, systematic risk, market beta, mergers and acquisitions, product market competition, discount-rate beta

22.

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
Fabian Hollstein, Duc Binh Benno Nguyen, Marcel Prokopczuk and Chardin Wese Simen
Saarland University, Leibniz Universität Hannover - Faculty of Economics and Management, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 159 (318,155)
Citation 5

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

23.

Volatility Term Structures in Commodity Markets

Journal of Futures Markets (2020), Vol. 40(4), pp. 527-555
Number of pages: 65 Posted: 12 Dec 2019 Last Revised: 14 Jan 2021
Fabian Hollstein, Marcel Prokopczuk and Christoph Wuersig
Saarland University, University of Reading - ICMA Centre and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 150 (333,976)
Citation 6

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commodities, information transmission, spillovers, volatility term structure

24.

Probability Distortions, Collectivism, and International Stock Prices

Journal of Behavioral and Experimental Finance, forthcoming
Number of pages: 81 Posted: 07 Jan 2021 Last Revised: 07 Aug 2023
Fabian Hollstein and Vulnet Sejdiu
Saarland University and Leibniz Universität Hannover
Downloads 146 (341,359)
Citation 6

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Collectivism, probability distortions, international stock returns, salience theory, cumulative prospect theory

25.

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
Saarland University, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 122 (391,913)
Citation 1

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

26.

Variance Risk: A Bird's Eye View

Journal of Econometrics (2020), Vol. 215(2), pp. 517-535.
Number of pages: 77 Posted: 19 Sep 2019 Last Revised: 14 Jan 2021
Fabian Hollstein and Chardin Wese Simen
Saarland University and University of Liverpool Management School
Downloads 94 (470,963)
Citation 5

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Correlation Swaps, Return Predictability, Return Variation, Variance Swaps

27.

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
Fabian Hollstein, Duc Binh Benno Nguyen and Marcel Prokopczuk
Saarland University, Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA Centre
Downloads 82 (512,512)

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

Other Papers (2)

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1.

Which Factors for Corporate Bond Returns?

Review of Asset Pricing Studies, forthcoming
Posted: 04 Mar 2022 Last Revised: 24 Feb 2023
Thuy Duong Dang, Fabian Hollstein and Marcel Prokopczuk
Leibniz Universität Hannover, Saarland University and University of Reading - ICMA Centre

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Corporate bonds, risk factors, model comparison

2.

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
Saarland University and University of Reading - ICMA Centre

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