Fabian Hollstein

Leibniz University Hannover - School of Economics and Management

Koenigsworther Platz 1

Hannover, 30167

Germany

SCHOLARLY PAPERS

11

DOWNLOADS
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Top 22,503

in Total Papers Downloads

2,175

SSRN CITATIONS

7

CROSSREF CITATIONS

0

Scholarly Papers (11)

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 1,154 (18,118)

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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 295 (106,068)
Citation 2

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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 200 (156,680)
Citation 1

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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 150 (201,639)
Citation 1

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

5.

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 87 (298,816)
Citation 1

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

6.

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 76 (324,096)
Citation 1

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

7.

The Memory of Beta

Number of pages: 58 Posted: 01 Jan 2020
Leibniz University Hannover, Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Hannover
Downloads 51 (396,790)

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Long memory, beta, persistence, forecasting, predictability

8.

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 51 (396,790)

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

9.

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 49 (403,612)

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commodities, information transmission, spillovers, volatility term structure

10.

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 University Hannover, Leibniz University Hannover - School of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 34 (463,076)

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

11.

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 28 (492,130)

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Correlation Swaps, Return Predictability, Return Variation, Variance Swaps

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