Sebastian Stöckl
  • Home
  • CV
  • Blog
  • Research
    • Selected Publications
    • Selected Working Papers
    • All Publications
  • Projects
  • Talks
  • Service
    • Conferences Organized
    • Workshops
    • Seminar Series
  • Teaching
    • Courses
    • Thesis Topics
    • Thesis Supervision
    • Links to Code and Data
  • Contact
  • CV
  • Projects
    • Crypto Finance & Infrastructure
    • Factor Investing & Factor Timing
    • Political Finance
    • Risk-Adjusted Forecast Performance
    • Uncertainty & Ambiguity in Finance
    • Investment Management Game (IMAG)
    • Decision Methods and Tools in the Context of Pension Finance
    • Understanding Saving in Europe (USAVE)
    • Understanding Pensions in Europe (UNPIE)
  • Experience
  • Uses
  • Blog
    • Populism, financial markets, and political capitalism
    • Election Portfolios - The Case of the 2020 US Presidential Election
    • Introducing crypto2: Survivorship-Bias-Free Cryptocurrency Data in R
    • Introducing FFdownload: Fama-French Data Directly into R
  • News
    • **The Future of Investing** — AI conference with PLEXUS Investments, 29 September in Vaduz
    • The **[3rd Alpine Finance Summit](/events/20260823_afs3/)** in Garmisch-Partenkirchen
    • Inaugural **[Liechtenstein Workshop on AI in Finance](/events/20260506_liechtenstein_workshop_ai/)** — a success!
    • Three papers from **Uni Liechtenstein** at the 5th [Frontiers of Factor Investing](https://wp.lancs.ac.uk/fofi2026/) Conference
    • **[Lost in Translation](/publications/2026_lost_in_translation/)** is now published in *Journal of Forecasting*
    • Paper **[Lost in Translation](/publications/2026_lost_in_translation/)** accepted in the *Journal of Forecasting*!
  • Publications
    • The Event Clock: Identifying Physical Information from State Prices
    • Populism and Financial Markets
    • The Milei Question, or: How Liberal Are Right-Wing Populist Parties? A Measurement Approach Using Large Language Models
    • Post-Optimal Moment Correction Aligned with the Sharpe Gap
    • Lost in Translation? Risk-Adjusting RMSE for Economic Forecast Performance
    • Learning Before Scheduled Events: Prediction Markets, State Prices, and Option Valuation
    • Unpriced Sector Risk in the Factor Zoo: The Role of Industry Momentum
    • Are There Fences in the Global Factor Zoo?
    • Breaking Bad: Parameter Uncertainty Caused by Structural Breaks in Stocks
    • Factor Chasing and the Cross-Country Factor Momentum Anomaly
    • Less Is More: Ranking Information, Estimation Errors and Optimal Portfolios
    • Stochastic Event-Outcome Probabilities and the Pricing of Scheduled Event Risk
    • Estimating Crypto-Related Risk: Market-Based Evidence from FTX's Failure and Its Contagion on U.S. Banks
    • Regime-Dependent Drivers of the EUR/CHF Exchange Rate
    • Diversifying Estimation Errors with Unsupervised Machine Learning
    • Recovering Election Winner Probabilities from Stock Prices
    • Survivorship and Delisting Bias in Cryptocurrency Markets
    • The Price of Populism - Financial Market Outcomes of Populist Electoral Success
    • Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns
    • Cryptocurrencies: Herding and the Transfer Currency
    • Political Event Portfolios
    • Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
    • Credit Intermediation and the Transmission of Macro-Financial Uncertainty: International Evidence
    • What Drives Our Beer Consumption? - In Search of Nutrition Habits and Demographic Patterns
    • Turbulence in the Cross-Section: Predicting Factor Premia
    • Bid-Ask Spread Patterns and the Optimal Timing for Discretionary Liquidity Traders on Xetra
    • PRIX – A Risk Index for Global Private Investors
    • The Economic Benefit of Forecasting Market Components for Mean-Variance Investors
    • Towards a Well-Founded Valuation of Managerial Flexibilities in IT Investment Projects - A Multidisciplinary Literature Review
    • Decision Support for IT Investment Projects
    • Financial Applications of the Mahalanobis Distance
    • Die Riemannsche Vermutung
  • Service
    • 3rd Alpine Finance Summit (AFS)
    • 1st Liechtenstein Workshop on AI in Finance
    • 2nd Alpine Finance Summit (AFS)
    • AI in Finance: Hype or Sustainable Transformation?
    • 1st Alpine Finance Summit (AFS)
    • AI in Finance: Investing with Artificial Intelligence
    • USAVE Final Conference — Understanding Saving in Europe
    • 34th Workshop of the Austrian Working Group on Banking and Finance (AWG)
    • UNPIE Final Conference — Understanding Pensions in Europe
    • Wirtschaftspolitisches Seminar Alpenrhein
    • Finance Research Seminar — University of Liechtenstein
  • Talks
    • Less is More: Ranking Information, Estimation Errors and Optimal Portfolios
    • The Theme Structure of Factor Momentum
    • Risk-Adjusting Forecasts for Increased Portfolio Performance
    • Are There Fences in the Global Factor Zoo?
    • Breaking Bad: Parameter Uncertainty Caused by Structural Breaks in Stocks
    • Lost in Translation: How Predictability Turns Into Performance
    • Breaking Bad: Parameter Uncertainty Caused by Structural Breaks in Stocks
    • (Un-)Lost in Translation: Risk-adjusting RMSE to improve alignment of forecast accuracy and economic forecast performance
    • Asset Allocation and AI
    • Factor Chasing and the Cross-Country Factor Momentum Anomaly
    • Less is More: Ranking Information, Estimation Errors and Optimal Portfolios
    • Factor Chasing and the Cross-Country Factor Momentum Anomaly
    • Factor Chasing and the Cross-Country Factor Momentum Anomaly
    • Too much information: When reducing the informational content of input parameters yields better portfolios
    • Parameter Uncertainty, Financial Turbulence and Aggregate Stock Return
    • Portfolio Rules and Factor Premia under Ambiguity
    • The Price of Populism: Financial Market Outcomes of Populist Electoral Success
    • Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
    • Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
    • Turbulence in the Cross-Section: Predicting Factor Premia
    • Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
    • Political Populism and Financial Markets
    • Turbulence in the Cross-Section: Predicting Factor Premia
    • Turbulence in the Cross-Section: Predicting Factor Premia
    • Turbulence in the Cross-Section: Predicting Factor Premia
    • Parameter Uncertainty, Financial Turbulence and Aggregate Stock Return
    • Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
    • Parameter Uncertainty, Financial Turbulence and Aggregate Stock Return
    • Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
    • Financial Turbulence, Parameter Uncertainty and Aggregate Stock Returns
    • Higher Moments Matter! Cross-Sectional (higher) Moments and the Predictability of Stock Returns
    • Financial Turbulence and Aggregate Stock Returns
    • The Economic Benefit of Forecasting Market Components for Mean-Variance Investors
    • Financial Turbulence and Aggregate Stock Returns
    • Portfolio Turbulence and the Predictability of Stock Returns
    • Portfolio Turbulence and the Predictability of Stock Returns
    • Comoment Factors and the Predictability of Stock Returns
    • Valuation of Real Options on IT Investments — A Simulation Model based on Modified Assumptions
    • Financial Applications of the Mahalanobis Distance
    • PRIX - A Risk Index for Global Private Investors
    • Financial Applications of the Mahalanobis Distance
    • PRIX - A Risk Index for Global Private Investors
    • What drives our beer consumption? - In search of nutrition habits and demographic patterns
    • A Risk Index for Global Private Investors
    • Towards a Precise Valuation of Interdependent IT Projects – A Real Option Approach Considering Unhedgeable Risks
  • Teaching
    • Teaching
    • Links to Code and Data
    • Potential Thesis Topics
    • Past & Ongoing Thesis Supervision

The Theme Structure of Factor Momentum

Nov 20, 2026·
Sebastian Stöckl
Sebastian Stöckl
· 1 min read

Presented in session F.10 — Text and Narratives in Financial Markets.

Last updated on 2026-09-12
Authors
Sebastian Stöckl
Associate Professor in Financial Economics
← Less is More: Ranking Information, Estimation Errors and Optimal Portfolios 2026-11-21
Risk-Adjusting Forecasts for Increased Portfolio Performance 2026-05-30 →

© 2026 Dr. Sebastian Stöckl