Predicting the equity premium around the globe: Comprehensive evidence from a large sample

Hollstein, F., Prokopczuk, M., Tharann, B. & Wese Simen, C., 8 Jun 2024, (E-pub ahead of print) In: International Journal of Forecasting.

Research output: Contribution to journal › Article › Research › peer review

Nonstandard Errors

Menkveld, A., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Razen, M., Weitzel, U., Abad, D., Abudy, M., Adrian, T., Ait-Sahalia, Y., Akmansoy, O., Alcock, J., Alexeev, V., Aloosh, A., Amato, L., Amaya, D., Angel, J., Bach, A., Baidoo, E., Bakalli, G., Barbon, A., Baschchenko, O., Bindra, P. C., Bjonnes, G. H., Black, J., Black, B. S., Bohorquez, S., Bondarenko, O., Bos, C. S., Bosch-Rosa, C., Bouri, E., Brownlees, C. T., Calamia, A., Cao, V. N., Capelle-Blancard, G., Capera, L., Caporin, M., Carrion, A., Caskurlu, T., Chakrabarty, B., Chernov, M., Cheung, W. M., Chincarini, L., Chordia, T., Chow, S. C., Clapham, B., Colliard, J., Comerton-Forde, C., Curran, E., Dao, T., Dare, W., Davies, R. J., De Blasis, R., De Nard, G., Declerck, F., Deev, O., Degryse, H., Deku, S., Desagre, C., van Dijk, M. A., Dim, C., Dimpfl, T., Dong, Y., Drummond, P., Dudda, T. L., Dumitrescu, A., Dyakov, T., Haubo Dyhrberg, A., Dzielinski, M., Eksi, A., El Kalak, I., ter Ellen, S., Eugster, N., Evans, M. D. D., Farrell, M., Felez-Vinas, E., Ferrara, G., Ferrouhi, E. M., Flori, A., Fluharty-Jaidee, J., Foley, S., Fong, K. Y. L., Foucault, T., Franus, T., Franzoni, F. A., Frijns, B., Frömmel, M., Fu, S., Füllbrunn, S., Gan, B., Gehrig, T., Gerritsen, D., Gil-Bazo, J., Glosten, L. R., Gomez, T., Gorbenko, A., Gücbilmez, U., Grammig, J., Gregoire, V., Hagströmer, B., Hambuckers, J., Hapnes, E., Harris, J. H., Harris, L., Hartmann, S., Hasse, J., Hautsch, N., He, X., Heath, D., Hediger, S., Hendershott, T., Hibbert, A. M., Hjalmarsson, E., Hoelscher, S. A., Hoffmann, P., Holden, C. W., Horenstein, A. R., Huang, W., Huang, D., Hurlin, C., Ivashchenko, A., Iyer, S. R., Jahanshahloo, H., Jalkh, N., Jones, C. M., Jurkatis, S., Jylha, P., Kaeck, A., Kaiser, G., Karam, A., Karmaziene, E., Kassner, B., Kaustia, M., Kazak, E., Kearney, F., van Kervel, V., Khan, S., Khomyn, M., Klein, T., Klein, O., Klos, A., Koetter, M., Krahnen, J. P., Kolokolov, A., Korajczyk, R. A., Kozhan, R., Kwan, A., Lajaunie, Q., Lambert, M., Langlois, H., Lausen, J., Lauter, T., Leippold, M., Levin, V., Li, Y., Li, M. H., Liew, C. Y., Lindner, T., Linton, O. B., Liu, J., Liu, A., Llorente, G., Loff, M., Lohr, A., Longstaff, F. A., Lopez-Lira, A., Mankad, S., Mano, N., Marchal, A., Martinaeu, C., Mazzola, F., Meloso, D., Mihet, R., Mohan, V., Moinas, S., Moore, D., Mu, L., Muravyev, D., Murphy, D., Neszveda, G., Neumeier, C., Nielsson, U., Nimalendran, M., Nolte, S., Norden, L. L., O'Neill, P., Obaid, K., Odegaard, B. A., Östberg, P., Painter, M., Palan, S., Palit, I., Park, A., Pascual, R., Pasquariello, P., Pastor, L., Patel, V., Patton, A. J., Pearson, N. D., Pelizzon, L., Pelster, M., Perignon, C., Pfiffer, C., Philip, R., Plihal, T., Prakash, P., Press, O., Prodromou, T., Prutnins, T. J., Raizada, G., Rakowski, D. A., Ranaldo, A., Regis, L., Reitz, S., Renault, T., Renjie, R. W., Reno, R., Riddiough, S., Rinne, K., Rintamäki, P., Riordan, R., Rittmannsberger, T., Rodriguez-Longarela, I., Rösch, D., Rognone, L., Roseman, B., Rosu, I., Roy, S., Rudolf, N., Rush, S., Rzayev, K., Rzeznik, A., Sanford, A., Sankaran, H., Sarkar, A., Sarno, L., Scaillet, O., Scharnowski, S., Schenk-Hoppe, K. R., Schertler, A., Schneider, M., Schroeder, F., Schuerhoff, N., Schuster, P., Schwarz, M. A., Seasholes, M. S., Seeger, N., Shachar, O., Shkilko, A., Shui, J., Sikic, M., Simion, G., Smales, L. A., Söderlind, P., Sojli, E., Sokolov, K., Spokeviciute, L., Stefanova, D., Subrahmanyam, M. G., Neusüss, S., Szaszi, B., Talavera, O., Tang, Y., Taylor, N., Tham, W. W., Theissen, E., Thimme, J., Tonks, I., Tran, H., Trapin, L., Trolle, A. B., Valente, G., Van Ness, R. A., Vasquez, A., Verousis, T., Verwijmeren, P., Vilhelmsson, A., Vilkov, G., Vladimirov, V., Vogel, S., Voigt, S., Wagner, W., Walther, T., Weiss, P., van der Wel, M., Werner, I. M., Westerholm, P. J., Westheide, C., Wipplinger, E., Wolf, M., Wolff, C. C. P., Wolk, L., Wong, W. K., Wrampelmeyer, J., Xia, S., Xiu, D., Xu, K., Xu, C., Yadav, P. K., Yagüe , J., Yan, C., Yang, A., Yoo, W., Yu, W., Yu, S., Yueshen, B. Z., Yuferova, D., Zamojski, M., Zareei, A., Zeisberger, S., Zhang, S. S., Zhang, X., Zhong, Z., Zhou, Z. I., Zhou, C., Zhu, S., Zoican, M., Zwinkels, R. C. J., Chen, J., Duevski, T., Gao, G., Gemayel, R., Gilder, D., Kuhle, P., Pagnotta, E., Pelli, M., Sönksen, J., Zhang, L., Ilczuk, K., Bogoev, D., Qian, Y., Wika, H. C., Yu, Y., Zhao, L., Mi, M., Bao, L., Vaduva, A., Prokopczuk, M., Avetikian, A. & Wu, Z., Jun 2024, In: Journal of Finance. p. 2339-2390 52 p.

Research output: Contribution to journal › Article › Research › peer review

Market power and systematic risk

Hollstein, F., Prokopczuk, M. & Würsig, C. M., 7 May 2024, In: Financial Management. 53, 2, p. 233-266 34 p.

Research output: Contribution to journal › Article › Research › peer review

Measuring Tail Risk

Dierkes, M., Hollstein, F., Prokopczuk, M. & Würsig, C. M., Apr 2024, In: Journal of Econometrics. 241, 2, 24 p., 105769.

Research output: Contribution to journal › Article › Research › peer review

Estimating Stock Market Betas via Machine Learning

Drobetz, W., Hollstein, F., Otto, T. & Prokopczuk, M., 2024, (Accepted/In press) In: Journal of Financial and Quantitative Analysis.

Research output: Contribution to journal › Article › Research › peer review

Managing the Market Portfolio

Hollstein, F. & Prokopczuk, M., Jun 2023, In: Management Science. 69, 6, p. 3675-3696 22 p.

Research output: Contribution to journal › Article › Research › peer review

Convenience yield risk

Prokopczuk, M., Symeonidis, L., Wese Simen, C. & Wichmann, R., Apr 2023, In: Energy Economics. 120, 106536.

Research output: Contribution to journal › Article › Research › peer review

Conscientiousness and Performance: The Influence of Personality on Investment Decisions

Lauter, T., Prokopczuk, M. & Trück, S., Mar 2023, In: The Journal of Wealth Management. 25, 4, p. 17-44 28 p.

Research output: Contribution to journal › Article › Research › peer review

Which Factors for Corporate Bond Returns?

Dang, T. D., Hollstein, F. & Prokopczuk, M., 23 Feb 2023, In: Review of Asset Pricing Studies. 13, 4, p. 615-652 38 p.

Research output: Contribution to journal › Article › Research › peer review

Commodity Tail Risks

Amman, M., Moerke, M., Prokopczuk, M. & Würsig, C. M., 7 Jan 2023, In: Journal of Futures Markets. 43, 2, p. 168-197 30 p.

Research output: Contribution to journal › Article › Research › peer review

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

Hollstein, F., Prokopczuk, M. & Voigts, V., 2023, In: The Quarterly Journal of Finance. 13, 4, 2350011.

Research output: Contribution to journal › Article › Research › peer review

Measuring commodity market quality

Lauter, T. & Prokopczuk, M., Dec 2022, In: Journal of Banking and Finance. 145, 106658.

Research output: Contribution to journal › Article › Research › peer review

Testing Factor Models in the Cross-Section

Hollstein, F. & Prokopczuk, M., Dec 2022, In: Journal of Banking and Finance. 145, 106626.

Research output: Contribution to journal › Article › Research › peer review

How do corporate bond investors measure performance? Evidence from mutual fund flows

Dang, T. D., Hollstein, F. & Prokopczuk, M., Sept 2022, In: Journal of Banking and Finance. 142, 106553.

Research output: Contribution to journal › Article › Research › peer review

The Natural Gas Announcement Day Puzzle

Prokopczuk, M., Wese Simen, C. & Wichman, R., 25 Dec 2021, In: Energy Journal. 42, 2, p. 91-112

Research output: Contribution to journal › Article › Research › peer review

Pricing analysis of wind power derivatives for renewable energy risk management

Kanamura, T., Homann, L. & Prokopczuk, M., 15 Dec 2021, In: Applied Energy. 304, 117827.

Research output: Contribution to journal › Article › Research › peer review

Predictability in Commodity Markets: Evidence from More Than a Century

Hollstein, F., Prokopczuk, M., Tharann, B. & Wese Simen, C., Dec 2021, In: Journal of Commodity Markets. 24, 100171.

Research output: Contribution to journal › Article › Research › peer review

Anomalies in Commodity Futures Markets

Hollstein, F., Prokopczuk, M. & Tharann, B., 6 Oct 2021, In: The Quarterly Journal of Finance. 11, 4, 43 p., 2150017.

Research output: Contribution to journal › Article › Research › peer review

The dynamics of commodity return comovements

Prokopczuk, M., Wese Simen, C. & Wichmann, R., 17 Sept 2021, In: Journal of Futures Markets. 41, 10, p. 1597-1617 21 p.

Research output: Contribution to journal › Article › Research › peer review

The memory of beta

Becker, J., Hollstein, F., Prokopczuk, M. & Sibbertsen, P., Mar 2021, In: Journal of Banking and Finance. 124, 106026.

Research output: Contribution to journal › Article › Research › peer review