Research
Working Papers:
The UBS-Credit Suisse Merger: Helvetia’s Gift
with Pascal Böni and Florin P. Vasvari
[Paper]
Delegated Risk-Taking
with Carolina Salva
[Paper]
Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
with David Ardia and Emanuele Guidotti
[Paper]
A Skeptical Appraisal of Robust Asset Pricing Tests
with Julian Thimme
[Paper, Replication code (MATLAB)]
Publications:
Robust Inference for Consumption-based Asset Pricing with Power, Critical Finance Review, forthcoming
[Paper, Replication data and Matlab code]
Recessions and the Stock Market, Journal of Monetary Economics (2022)
[Paper, open access]
The FOMC Risk Shift, Journal of Monetary Economics (2021)
with Maik Schmeling and Andreas Schrimpf
[Paper][WP-Version] [Data]
The Anatomy of Public and Private Real Estate Return Premia, Journal of Real Estate Finance and Economics (2018)
with Felix Schindler and Bertram Steininger
[Paper]
Asset Pricing without Garbage, Journal of Finance (2017)
[Paper] [WP-Version] [Online Appendix] [Data] [Data updated up to 2018]
International Diversification Benefits with Foreign Exchange Investment Styles, Review of Finance (2014)
with Felix Schindler and Andreas Schrimpf
[Paper] [Online Appendix] [Data]
International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk, Journal of International Money and Finance (2012)
with Felix Schindler and Andreas Schrimpf
[Paper]