Prof. Dr. Fabian Hollstein
Chair of Quantitative Methods in Economics and Finance, Saarland University
E-Mail: fabian.hollstein [at] uni-saarland [dot] de
Postal address:
Universität des Saarlandes
Campus C3 1
66123 Saarbrücken, Germany
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About Me
I am Professor of Quantitative Methods in Economics and Finance at Saarland University. My main research interest is empirical asset pricing. I have received several research grants from the German Research Foundation (DFG). In its December 2024 issue, Wirtschaftswoche magazine ranked me 24th among the best business economist researchers under the age of 40 and 66th among the best business economist researchers of all ages in German-speaking countries for the years 2020-2024.
Selected Publications
Estimating Stock Market Betas via Machine Learning (with W. Drobetz, M. Prokopczuk, and T. Otto), Journal of Financial and Quantitative Analysis 2025, Vol. 60(3), pp. 1074–1110.
Measuring Tail Risk (with M. Dierkes, M. Prokopczuk, and C. Würsig), Journal of Econometrics 2024, Vol. 241(2), 105769.
Which Factors for Corporate Bond Returns? (with T.D. Dang and M. Prokopczuk), Review of Asset Pricing Studies 2023, Vol. 13(4), pp. 615–652, Editor's Choice Article.
Managing the Market Portfolio (with M. Prokopczuk), Management Science 2023, Vol. 69(6), pp. 3675–3696.
Local, Regional, or Global Asset Pricing? Journal of Financial and Quantitative Analysis 2022, Vol. 57(1), pp. 291–320.
The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas (with M. Prokopczuk and C. Wese Simen), Management Science 2020, Vol. 66(6), pp. 2474–2494.
Variance Risk: A Bird's Eye View (with C. Wese Simen), Journal of Econometrics 2020, Vol. 215(2), pp. 518–535.
How Aggregate Volatility-of-Volatility Affects Stock Returns (with M. Prokopczuk), Review of Asset Pricing Studies 2018, Vol. 8(2), pp. 253–292.
Estimating Beta (with M. Prokopczuk), Journal of Financial and Quantitative Analysis 2016, Vol 51(4), pp. 1437–1466.
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