Publications in Refereed Journals

Füss, R., M. Grabellus, F. Mager und M. Stein (2017)

Something in the Air: Information Density, News Surprises, and Price Jumps

Journal of International Financial Markets, Institutions & Money, forthcoming


Stein, M. (2017)

„Limits to Diversification: Tail Risks in Real Estate Portfolios”

Journal of Alternative Investments, 20(1): pp. 61–80


De Santis, R. and M. Stein (2015)

„Financial Indicators Signalling Correlation Changes in Sovereign Bond Markets”

Journal of Banking and Finance, 56, pp. 86-102


Rühl, T. and M. Stein (2015)

„ECB Macro Announcement Impacts on Bid-Ask Spreads of European Blue Chips”

Journal of Empirical Finance, 31, pp. 54-71


Stein, M., D. Piazolo and S. Stoyanov (2015)

Tail Parameters of Stable Distributions Using One Million Observations of Real Estate Returns from Five Continents”
Journal of Real Estate Research, 37(2), pp. 245-280


Stein, M. (2014)

The Impact of Financial Transaction Taxes: Evidence from Italy”
Economics Bulletin, 34(1), pp. 25-33


Stein, M. (2014)

German Real Estate Funds: Changes in Return Distributions and Portfolio Favourability”
Journal of European Real Estate Research, 7(1), pp. 87-111


Stein, M. and S.T. Rachev (2014)
„Dilution of Sector Exposures: When Does Unintended Indexing Happen?”
Journal of Investment Management


Stein, M., M. Salvador Villa, W. Braun and V. Binding (2014)

Monte Carlo Cash Flows and Sustainability: How to Decide on Going Green
Journal of Sustainable Real Estate, 6, pp. 143-161 


Stein, M. and S.T. Rachev (2013)
„Performance Identification for REITs using Draw Ratios”
The International Real Estate Review, 16(3), pp. 230-251


Stein, M., M. Islami and J. Lindemann (2013)

"Identifying Time Variability in Stock and Interest Rate Dependence"

Investment Management and Financial Innovations, 10(2), pp. 73-83 


Stein, M. (2013)

"German Open Ended Real Estate Fund Performance - The Impact of Liquidity"

Kredit und Kapital, 46(1), pp. 119-151


Füss, R., M. Stein and J. Zietz (2012)
“A Regime-Switching Approach to Modeling Rental Prices of U.K. Real Estate Sectors”
Real Estate Economics, 40(2), pp. 317-350


Stein, M. and S.T. Rachev (2011)
“Flow-Induced Redemption Costs in Funds of Funds”
Journal of Derivatives & Hedge Funds, 17(3), pp. 253-265


Stein, M. and S.T. Rachev (2011)
“Style Neutral Funds of Funds: Portfolio Diversification or Deadweight?”
Journal of Asset Management, 11(6), pp. 417-434


Drobetz, W., R. Füss and M. Stein (2010)
“Fixed-Income Hedge-Funds-Strategien in Bondportfolios: Eine Anwendung des Copula-Opinion-Pooling-Ansatzes”
Bankarchiv Österreich, 58(2), pp. 103-110


Stein, M., S.T. Rachev and S.V. Stoyanov (2010)
“Broad Market Risk for Sector Funds of Funds: A Copula-Based Dependence Approach”
Journal of Investment Management and Financial Innovation, 7(2), pp. 36-44

Stein, M., S.T. Rachev and S.V. Stoyanov (2009)
“R-Ratio Optimization for Heterogeneous Assets using Genetic Algorithm”
Journal of Investment Management and Financial Innovation, 6(2), pp. 117-134

Stein, M., R. Füss and W. Drobetz (2009)
“Fixed Income Portfolio Allocation including Hedge Fund Strategies: A Copula Opinion Pooling Approach”
Journal of Fixed Income, 18(4), pp. 78-91


Stein, M., S.T. Rachev and W. Sun (2008)
“The World of Funds of Funds”
Journal of Investment Management and Financial Innovation, 5(2), pp. 7-15

Publications in Discussion and Working Paper Series

Stein, M.,M. Islami and J. Lindemann (2012)
“Identifying Time Variability in Stock and Interest Rate Dependence”
Discussion Paper No. 24/2012, Deutsche Bundesbank

Publications in Edited Volumes

Füss, R., M. Stein and D. Kaiser (2008)
“The Strategies of Hedge Funds and Robust Bayesian Portfolio Allocation in Fixed-Income Markets”
In: Greg N. Gregoriou and Christian Hoppe (eds.), Handbook of Credit Portfolio Management, Mc-Graw-Hill, 2008. pp. 325-348

Other Publications

Stein, M. (2013)
“The Impact of Liquidity”
IP Real Estate, March/April 2013


Stein, M. (2011)
“The True Cost of Liquidity”
IP Real Estate, November/December 2011


Rachev, S.T., M. Stein and W. Sun (2009)
“Copula Concepts in Financial Markets”
Portfolio Institutionell, 4, pp. 12-15