Are There Fences in the Global Factor Zoo?
Regional and global factor momentum signals outperform local factors in forecasting risk premiums and revitalize momentum investing in less-integrated markets like Japan.
News
2026-05
Inaugural Liechtenstein Workshop on AI in Finance — a success! — The 1st Liechtenstein Workshop on AI in Finance (LW-AIF), founded and convened by Sebastian Stöckl, brought 13 invited papers and international researchers to Vaduz on 6–7 May 2026.
2026-04
Three papers from Uni Liechtenstein at the 5th Frontiers of Factor Investing Conference — Sebastian Stöckl and Gianluca De Nard presented three University of Liechtenstein papers at the 5th Frontiers of Factor Investing Conference at Lancaster University Management School, 15–17 April 2026.
2026-02
3rd Alpine Finance Summit: Call for Papers is open! — The Call for Papers for the 3rd Alpine Finance Summit in Garmisch-Partenkirchen is now open. Submission deadline: March 15, 2026.
I am an Associate Professor in Financial Economics at the University of Liechtenstein. My research interest covers all areas of uncertainty, e.g. (i) parameter uncertainty, (ii) financial uncertainty, (iii) macroeconomic uncertainty and (iv) political uncertainty and I have published several papers on these topics in Finance and Economics Journals. My teaching spans quantitative topics from Research Methods in Finance to Econometrics, to Portfolio Management and Derivatives on all levels (BSc, MSc, PhD, MBA) at multiple institutions. I am also the Academic Head of the Liechtenstein Undergraduate & Graduate School as well as the official representative of the University of Liechtenstein to AACSB.
Interests
- Uncertainty (Financial, Macroeconomic, Political)
- Machine Learning
- Empirical Asset Pricing
- Asset Management
Education
Habilitation, 2024
University of Liechtenstein
PhD Economics, 2015
University of Innsbruck
MSc Business Admin., 2007
University of Innsbruck
MSc Techn. Mathematics, 2007
University of Innsbruck
My $R$-packages
| Logo | Description |
|---|---|
 | my crypto2-package to retrieve
survivorship bias free cryptocurrency data from
coinmarketcap.com |
 | my ffdownload-package to retrieve
research data from
Kenneth French's famous website |
 | my rqmoms-package to calculate
option-implied moments according to
Grigory Vilkovs's python package |
Working Papers
Event Risk Premia and Non-Convex Volatility Smiles
We analyze event risk premia in an expected utility framework and provide closed-form solutions under both quadratic and power utility for four different cases: Deterministic/stochastic conditional event returns, and deterministic/stochastic event outcome probabilities.
Factor Chasing and the Cross-Country Factor Momentum Anomaly
We document a cross-country factor momentum anomaly, which we term ‘Factor Chasing’. Specialized style mutual funds chase factor returns across countries, but their trades are delayed, leading to positive returns that are not spanned by leading factor models.
Less Is More: Ranking Information, Estimation Errors and Optimal Portfolios
We offer a novel approach that aims at mitigating the crippling effects that parameter uncertainty and estimation errors have on the out-of-sample perforance of mean-variance optimized portfolios. We argue that investors should not rely on exact forecasts when optimizing portfolios but instead base their optimizations on ranking or grouping information and thereby implicitly reduce the informational content of their parameter inputs.
Publications
Lost in Translation? Risk-Adjusting RMSE for Economic Forecast Performance
This paper proposes a multivariate risk-adjusted error measure for economic forecast performance and analyzes the limitations of traditional MSE-based measures in capturing the economic value of return forecasts.
The Price of Populism - Financial Market Outcomes of Populist Electoral Success
We examine the effect of populism on financial markets around national elections. We find that the electoral success of populist parties has a direct impact on volatility in major domestic market indexes with different signs depending on the political ideology of the populist parties.
Cryptocurrencies: Herding and the Transfer Currency
This paper investigates herding behavior in the crypto market. We consider the full, survivorship-bias free cross-section of cryptocurrencies, and document - against existing evidence - significant herding in this dataset. The effect is stronger, when using bitcoin as a transfer currency.
Political Event Portfolios
We use data from betting markets to analyze the sensitivity of stock returns to potential outcomes of political events such as elections. By classifying stocks into expected conditional winners and losers prior to such an event, we form portfolios that generate large positive returns after the event date, conditional on correctly anticipating the outcome. We illustrate this using data from the 2016 US presidential election and the 2016 Brexit referendum.
Credit Intermediation and the Transmission of Macro-Financial Uncertainty: International Evidence
This paper introduces a novel measure of global macro-financial uncertainty and examines the state-dependent transmission of uncertainty to economic activity.
Projects
C
Crypto Finance & Infrastructure
Bias-corrected asset pricing, market structure, and banking contagion in cryptocurrency markets — plus the open-source data infrastructure that makes the work possible.
cryptocurrency
bitcoin
survivorship bias
delisting bias
contagion
crypto2
herding
FTX
F
Factor Investing & Factor Timing
Methods for selecting, timing, and combining factors when the zoo is crowded, the cross-section is noisy, and estimation error dominates.
factor investing
factor momentum
factor timing
cross-section
international asset pricing
machine learning
higher moments
portfolio optimization
Political Finance
Using market prices to measure how political events and populist electoral shifts are priced into equities, volatility, and cross-country asset returns.
political finance
political uncertainty
populism
event portfolios
betting markets
elections
implied volatility
political prediction markets
R
Risk-Adjusted Forecast Performance
Closing the gap between statistical forecast accuracy and the Sharpe ratio investors actually care about.
forecast evaluation
portfolio optimization
Sharpe ratio
estimation error
RAFE
bias-variance tradeoff
mean-variance
Uncertainty & Ambiguity in Finance
Measuring, pricing, and hedging the fact that investors do not know the true distribution of returns.
parameter uncertainty
ambiguity aversion
financial turbulence
event risk
uncertainty
structural breaks
Mahalanobis distance
macro-financial uncertainty
I
Investment Management Game (IMAG)
Erasmus+ project (2022–2025) delivering digital finance education through an online investment simulation — the Cesim Invest platform — for schools, universities, and professional training across Europe.
erasmus
online courses
asset management
teaching
Decision Methods and Tools in the Context of Pension Finance
Developed an R-package and public Shiny app to optimize pension decisions for individuals in Liechtenstein's pension system, using large-scale optimization and machine learning.
FFF
pension finance
research
Understanding Saving in Europe (USAVE)
Erasmus+ project (2019–2022) developing free online courses and interactive tools for life-cycle investments and personal financial planning — for the general public and higher-education students across Europe.
erasmus
online courses
household finance
Understanding Pensions in Europe (UNPIE)
Erasmus+ project (2016–2019) developing free online courses and interactive tools for pension finance and personal pension planning — for the general public and higher-education students across Europe.
erasmus
online courses
pension finance
Get in Touch
Reach out via email or directly book an appointment.
Phone
+423 265 1153Address
Fürst-Franz-Josef-Strasse
Vaduz, 9490
Liechtenstein
Office Hours
Monday 11:00 to 12:00
Otherwise book an appointment