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
About Me
I am Professor of Quantitative Methods in Economics and Finance at Saarland University. I finished my PhD at Leibniz University Hannover in 2015 (title: "Market Beta and Factor Risk Premia in Financial Markets"). My main research interest is to understand prices and risk premia in financial markets. Research topics include, among others, beta estimation, risk premia in financial markets, and international finance. In their December 2022 issue, the magazine Wirtschaftswoche ranks me on 28th place among the best business economist researchers under the age of 40 and 51th place among the best business economist researchers of all ages in the years 2018-2022 in German-speaking countries.
Selected Publications
Estimating Stock Market Betas via Machine Learning (with W. Drobetz, M. Prokopczuk, and T. Otto), Journal of Financial and Quantitative Analysis, forthcoming.
Which Factors for Corporate Bond Returns? (with T.D. Dang and M. Prokopczuk), Review of Asset Pricing Studies, 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 .