Research

Refereed Publications

"Opens external link in new windowMarket Maturity and Mispricing", Journal of Financial Economics, 122, 270-287, 2016.

  • Initiates file downloadInternet appendix available here
  • Research Awards: Asia Asset Management - CAMRI Prize in Asset Management, IQ-Kap Research Award (Second Prize), ACATIS Value Award, Research Award of Bundesverband Alternative Investments

"Media Makes Momentum", with A. Hillert and S. Müller, Review of Financial Studies, 27, 3467-3501, 2014.

  • Internet appendix available here.
  • Research Awards: Young Talent Award, German Academic Association for Business Research ("Nachwuchspreis", Verband der Hochschullehrer für Betriebswirtschaft), Award for Innovation, association of businesses in the Hamburg financial community (Second Prize, "Innovationspreis des Finanzplatz Hamburg e.V"), ACATIS Value Award

"Alphabetic bias, investor recognition, and trading behavior", with A. Hillert, Review of Finance, 20, 693-723, 2016.

"The trading volume impact of local bias: Evidence from a Natural Experiment", with M. Weber, in: Review of Finance (lead article), 16, 867-901, 2012.

"On the determinants of pairs trading profitability", with M. Weber, Journal of Financial Markets, 23, 75-97, 2015.

"How should private investors diversify? - An empirical evaluation of alternative asset allocation policies'", with S. Müller and M. Weber, Journal of Financial Markets, 19, 62-85, 2014.

"What explains the dynamics of 100 anomalies"?, Journal of Banking and Finance, 57, 65-85, 2015. 

  • Internet appendix available here.
  • Research awards: Research grant of BNP Paribas Hedge Fund Centre, ACATIS Value Award, Research Award of Bundesverband Alternative Investments

"Losing sight of the trees for the forest? Attention allocation and anomalies", with M. Weber, Quantitative Finance, 16, 1679-1693, 2016..

"The role of attention constraints for investor behavior and economic aggregates: What have we learnt so far?", (Literature Review) Management Review Quartely, 65, 217-237, 2015.

 

 Selected Working Papers

"Anomalies Across the Globe: Once Public, No Longer Existent?", with S. Müller, 2016.

"Beta and Biased Beliefs",  2016.

"...And Nothing Else Matters? On the Dimensionality and Predictability of International Stock Returns", with S. Müller, 2016.

"Journalist Disagreement", with A. Hillert and S. Müller, 2016.

"Expected Skewness and Momentum", with T. Regele and M. Weber, 2016.

"Help or Hype? Journalists' Perceptions of Mispriced Stocks, 2016.

"Positive or negative? A new perspective on the relation between implied cost of capital and default risk, with S. Müller, 2016.

 

 

Monographs and Chapters

"Opens external link in new windowEmpirical Essays on the Stock Market Impact of Limited Investor Attention", Dissertation. (Graded with "Summa cum Laude";
PhD Thesis Award (First Prize), Deutsches Aktieninstitut (Association of German Exchange-Listed Stock Corporations)

 

Selected Other Publications

"Random Walk Plus Drift - Was Aktienkurse wirklich sind", with M. Weber, Forschung für die Praxis, Band 28, Behavioral Finance Group, Universität Mannheim, S. 1-22.

Wie diversifiziere ich richtig? - Eine Diskussion alternativer Asset Allocation Ansätze zur Konstruktion eines "Weltportfolios", with S. Müller and M. Weber; Working Paper, University of Mannheim. Datenaktualisierung für das Jahr 2008.

"Diversifiziert, passiv, effizient - Strategische Asset Allocation für eine Genossenschaftsbank", with M. Weber; in: Bankinformation 11/2009, S. 32-36.

Anlegen mit fundierter Diversifikation - Auf der Suche nach dem bestmöglichen "Weltportfolio", with S. Müller and M. Weber; Forschung für die Praxis, Band 17, Behavioral Finance Group, Universität Mannheim, S. 1-16.

"Aktuelle Erkenntnisse zum Momentum-Effekt - The trend is your friend (until it's not)", with M. Weber, Forschung für die Praxis, Band 22, Behavioral Finance Group, Universität Mannheim, S. 1-16.