Research

Research Profile:


  • Financial market econometrics
  • Financial market microstructure
  • Quantitative asset management
  • Regime-changing models
  • Real estate markets

 

SSRN Page:

 

Find me here on SSRN !

 

ResearchGate:

 

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Publications in Peer-Reviewed Journals

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

„Financial Indicators Signalling Correlation Changes in Sovereign Bond Markets”

Journal of Banking and Finance, pp. 86-102

Previously published as ECB Working Paper, No. 1746 / December 2014

 

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

Previously published as Discussion Paper No. 452, Ruhr Economic Papers

 

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

„Tail Parameters of Stable Distributions using One Million Observations of Real Estate Returns from Five Continents”

Journal of Real Estate Research, forthcoming, http://pages.jh.edu/jrer/papers/abstract/forth/accepted/jrer_228(f131110R2).html 

Previously published as Discussion Paper No. 465, Ruhr Economic Papers

 

Stein, M. and S.T. Rachev (2014)

"Dilution of Sector Exposures: When Does Unintended Indexing Happen?”

Journal of Investment Management, 12(3), pp. 59-72

 

Rühl, T. and M. Stein (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

Previously published as Discussion Paper No. 454, Ruhr Economic Papers

 

Stein, M., W. Braun, M. Salvador Villa, 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

Previously published as Discussion Paper No. 24/2012, Deutsche Bundesbank

 

Stein, M. (2013)

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

Credit and Capital Markets (formerly 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)

“Hedge Fonds Strategien in Fixed Income Portfolien”

Bankarchiv Österreich, 2/2010

Previously published as “Fixed Income Portfolio Allocation including Hedge Fund Strategies: A Copula Opinion Pooling Approach” in Journal of Fixed Income, 18(4), pp. 78-91

 

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 Working Paper Series

Papers marked with an asterisk (*) have been published in peer-reviewed journals, see section above including note of previous publication.

 

Füss, R., M. Grabellus, F. Mager and M. Stein (2015)

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

University of St. Gallen School of Finance Working Paper Series, No. 2015/17

 

De Santis, R. and M. Stein (2014)

„Financial Indicators Signalling Correlation Changes in Sovereign Bond Markets”*

ECB Working Paper Series, No. 1746 / December 2014

 

Rühl, T. and M. Stein (2014)

„Discovering and Disentangling Effects of US Macro-Announcements in European Stock Markets”

Ruhr Economic Papers No. 500

 

Stein, M., D. Piazolo and S. Stoyanov (2014)

„Tail Parameters of Stable distributions using one million observations of real estate returns from five continents” *

Ruhr Economic Papers No. 465

 

Stein, M. (2013)

„German Real Estate Funds: Changes in Return Distributions and Portfolio Favourability” *

Ruhr Economic Papers No. 454

 

Rühl, T. and M. Stein (2013)

„The Cost of New Information – ECB Macro Announcement Impacts on Bid-Ask Spreads of European Blue Chips”*

Ruhr Economic Papers No. 452

 

Stein, M., M. Islami and J. Lindemann (2012)

“Identifying Time Variability in Stock and Interest Rate Dependence” *

Discussion Paper No. 24/2012, Deutsche Bundesbank

 

Monographs

Stein, M. and S.T. Rachev

“Asset Management Toolkit”

Palgrave Macmillan

Current project, publication date summer/autumn 2016


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