Fabian Hollstein

Leibniz University Hannover - School of Economics and Management

Koenigsworther Platz 1

Hannover, 30167

Germany

http://sites.google.com/view/fabianhollstein/home

SCHOLARLY PAPERS

25

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5,747

SSRN CITATIONS
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Top 24,236

in Total Papers Citations

33

CROSSREF CITATIONS

7

Scholarly Papers (25)

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, Marcel Prokopczuk and Marcel Prokopczuk
Leibniz University Hannover - School of Economics and Management and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 1,265 (20,528)

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Beta estimation, Implied beta

2.

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

Number of pages: 45 Posted: 20 Sep 2021 Last Revised: 28 Sep 2021
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 474 (77,487)

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Asset Pricing, Factors, Replication, Breakpoint Analysis, Robustness

3.

Estimating Security Betas via Machine Learning

Number of pages: 63 Posted: 01 Oct 2021
University of Hamburg, Leibniz University Hannover - School of Economics and Management, University of Hamburg and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 415 (90,866)

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Beta estimation, machine learning

4.

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
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover
Downloads 392 (96,784)
Citation 1

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Anomalies, commodity futures markets, behavioral finance, systematic risk

5.

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
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 392 (96,784)
Citation 8

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Beta Estimation, Forecast Combinations, Forecast Adjustments

6.

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
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 325 (119,432)
Citation 3

Abstract:

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Beta estimation, conditional CAPM, high-frequency data

7.

The World of Anomalies: Smaller Than We Think?

Number of pages: 84 Posted: 11 Nov 2020 Last Revised: 06 Jan 2021
Fabian Hollstein
Leibniz University Hannover - School of Economics and Management
Downloads 293 (133,343)
Citation 1

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Anomalies, international capital markets, mispricing, data mining

8.

Local, Regional, or Global Asset Pricing?

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 88 Posted: 23 Sep 2020
Fabian Hollstein
Leibniz University Hannover - School of Economics and Management
Downloads 229 (170,614)
Citation 3

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International asset pricing, return anomalies, international diversification

9.

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
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 185 (207,760)
Citation 1

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

10.

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, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 169 (224,492)
Citation 3

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

11.

Beta Uncertainty

Journal of Banking and Finance (2020), Vol. 116, 105834
Number of pages: 71 Posted: 14 May 2020 Last Revised: 14 Jan 2021
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 168 (225,593)
Citation 1

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Beta, CAPM, Disagreement, Ambiguity, Parameter Uncertainty

12.

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
Leibniz Universität Hannover, Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Hannover
Downloads 162 (232,665)
Citation 1

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Long memory, beta, persistence, forecasting, predictability

13.

Measuring Tail Risk

Number of pages: 96 Posted: 23 Feb 2021 Last Revised: 05 Aug 2021
Leibniz University Hannover, Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 155 (242,743)

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Tail Risk, Return Forecasting, Tail Event Forecasting

14.

Probability Distortions, Collectivism, and International Stock Prices

Number of pages: 77 Posted: 07 Jan 2021 Last Revised: 06 Jul 2021
Fabian Hollstein and Vulnet Sejdiu
Leibniz University Hannover - School of Economics and Management and Leibniz Universität Hannover
Downloads 128 (280,768)
Citation 2

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

15.

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, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 119 (296,227)
Citation 1

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

16.

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
Leibniz University Hannover - School of Economics and Management
Downloads 115 (303,503)
Citation 6

Abstract:

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Beta estimation, global market betas, international capital markets

17.

The Index Effect: Evidence from the Option Market

Number of pages: 53 Posted: 07 Jan 2021
Fabian Hollstein and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management and University of Liverpool Management School
Downloads 114 (305,403)

Abstract:

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G12, G11, G17

18.

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

Number of pages: 53 Posted: 12 Dec 2019
Leibniz Universität Hannover, Leibniz University Hannover - School of Economics and Management and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 111 (311,134)
Citation 1

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

19.

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
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 89 (359,445)
Citation 3

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commodities, information transmission, spillovers, volatility term structure

20.

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, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 87 (364,508)
Citation 1

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International equity premium, return predictability, market efficiency

21.

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
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 86 (367,129)
Citation 1

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

22.

Testing Factor Models in the Cross-Section

Number of pages: 47 Posted: 20 Sep 2021
Fabian Hollstein, Marcel Prokopczuk and Marcel Prokopczuk
Leibniz University Hannover - School of Economics and Management and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 75 (397,603)

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

23.

Market Power and Systematic Risk

Number of pages: 44 Posted: 28 May 2021
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 75 (397,603)

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

24.

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 University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 66 (426,151)

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

25.

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
Leibniz University Hannover - School of Economics and Management and University of Liverpool Management School
Downloads 58 (454,327)
Citation 1

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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, Marcel Prokopczuk and Marcel Prokopczuk
Leibniz University Hannover - School of Economics and Management and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management

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