Thesis Topics

General Area of Thesis Supervision:

Empirical Finance, Quantitative Finance, Risk Management, Parameter and Model Uncertainty, Forecasting

Open Topics:

Seminars (e.g. Seminar in finance)

  • COVID-19 and impacts on financial markets (moments/cross-sectional moments)
  • Ambiguity/Parameter Uncertainty and Real Option Portfolios*
  • Check Macro Uncertainty Indices for persistence and/or Chaos following this paper
  • AQR Topics: any choice of papers/perspective could be a nice foundation for a seminar paper!
  • BlackRock Blog: Lots of interesting topics and starters for seminar papers!

Thesis (Mainly master thesis)

Please be aware, that I will only supervise theses, where the Research Proposal fulfills the following requirements:

  • Either use exactly one of the topics given below, or
  • Suggest a topic that is closely related to one of those given below. If so, the main paper to base your research on must have been published (or accepted for publication) in one of the Top Finance Journals (preferrably A+, but at least A in this ranking).
  • For the Research Pitch/Proposal I suggest to take a very close look at Robert Faff’s Webpage on pitching research, especially on the Finance examples.
  • Political Finance:

    • Relationship between Populism and Financial Markets (Data available)
    • The cost of populism (relate to corruption and economic freedom indices)
    • Election Portfolios: Drivers of Betting Quotes and Stock Returns
  • Innovative Finance - Machine Learning in Finance:

    • Multivariate Predictability in Assets and Factors. Apply Machine Learning techniques to exploit linear and nonlinear predictability.
    • Machine Learning in Asset Management. Clustering/Shrinking, Factor Models and the Covariance Matrix
    • Optimal Portfolio Building using Machine Learning Techniques
  • Innovative Finance - Cryptocurrencies:

    • The predictability of cryptocurrency returns and the transfer/reference currency
    • Delisting Bias in aggregate CC returns
  • Innovative Finance - Uncertainty (Parameter/Financial/Macro-Financial/Portfolio …):

    • Uncertainty (Unusualness/Turbulence) in good times, uncertainty in bad times and uncertainty about bad times
    • Within- and cross-country uncertainty (data available)
    • Uncertainty Risk Premia: Review the literature and empirics, replicate Bali et. al 2017 to find whether Turbulence/Uncertainty is priced in the cross-section of stock returns
    • Higher (Co)Moment Uncertainty and Stock Returns: The case of the Covid-19 crash (also relate to coskewness risk)
    • Follow Redl (2018) and link elections to macro/financial uncertainty
    • Closely related: Check how much macroeconomic uncertainty/parameter uncertainty relate to the results of Pflueger, Siriwarda & Sunderam (2018): A Measure of Risk Appetite for the Macroeconomy
    • Some more uncertainty: Replicate this paper using our Macro-Uncertainty Index
    • Financial Turbulence and the Estimation of Tail Risk
  • Asset Pricing:

  • Asset Selection:

    • Robust portfolios: Estimation & Empirics
Cryptocurrencies: Many of the topics above allow for an application using cryptocurrencies. I suggest using my modification of the crypto2 package to download related data.

Theses Supervised:

  • In progress:
    • Multivariate Factor Forecasting and Smart Beta Investments
    • Impact of ESG exclusion on firms’ cost of capital
    • Cryptocurrency: Delisting Bias in the crypto market database
    • The Effect of ESG Rating Changes on Stock Returns: Evidence from Fund Holdings
    • Application of Machine Learning Techniques for Sales Forecasting at … in the area of Global Manufacturing ET&A
    • Traditional Risk Factors in Cryptocurrencies
    • Evaluating Dollar-Cost Averaging for Retirement Savings under the Aumann-Serrano Framework
  • 2020:
    • “Long/Short” Momentum-Strategie am Kryptowährungsmarkt (BSc, A. Timothy Rist)
    • Momentum meets Uncertainty (MSc, A. Dominik Kaiser)
    • Changes in Investor Attention and the Cross-Section of Stock Returns: Evidence from Thomson Reuters and Google Trends (MSc, A. Emanuel Broger)
    • Künstliche Intelligenz und Anwendungsmöglichkeiten in der Vermögensberatung (MBA, A. Lukas Schäper)
    • Stock Price Prediction for Portfolio Management Using Recurrent Neural Networks and Machine Learning (EMBA, A. Jensen Chang)
  • 2019:
    • Cross-Sectional Volatility and the Prediction of Factor Premia (MSc, A. Maibach, Runner-Up Finance Award)
    • Multi-Factor Timing (MSc, B. Jäger, Winner of Finance Award, best Master Thesis in Business Science)
    • Stock Age as Proxy for Uncertainty of Parameters (MSc, S. Sturzenegger)
    • The Influence of News Coverage on Stock Returns – Evidence from European Markets (MSc, A. Person)
    • Portfolio Optimization in a Cryptocurrency Environment: An Omega Optimization (BSc, D. Brändle, Runner-Up Finance Award)
  • 2018:
    • Liquid betting against beta revisited: Evidence from all over the world (MSc, L. Salcher)
    • From IPO to Obsolete: Stock Age related investment strategies (MSc, P. Thoma)
    • Eurex index dividend futures hedging (MSc, A. Spiegel)
    • Predicting Equity Bear and Bull Markets: International Evidence (MSc, L. Liepert)
    • The North Korea threat and its effect on global stock markets: The case of South Korea, Japan and the USA (BSc, M. Wabnig)
  • 2017:
    • Liquidity and the Polish Stock Market: Empirical Tests of Asset Pricing Models and Inclusion of Liquidity Factors (MSc, P. Ruzicka)
    • Dynamic Asset Allocation Strategies and An Optimisation Framework: How Optimal is Optimised? (MSc, F. Balz)
    • Prediction of the Monthly Sovereign Yield Spread Changes in EMU Countries from 2000 to 2016 using the Illiquidity Measure ‘Noise’ in Bond Prices (MSc, P. Heise)
    • Using momentum to improve low-volatility strategies: Evidence from the US stock market (BSc, M. Amann)
  • 2016:
    • Terrorism and its effect on financial markets (MSc, S. Geiger)
    • Prognose von Aktienrenditen - Eine empirische Forschung über die Vorhersagbarkeit der zukünftigen Renditen des Swiss Performance Index anhand von Renditen - Dispersionen (BSc, B. Jäger)
    • Betting Against Beta (MSc, C. Lamprecht)
    • Cross-Sectional and Option-Implied (Higher) Moments and the Predictability of Historical Volatility: US Study (MSc, O. Vukovic)
  • 2015:
    • The Relationship between Commodities and the Stock Market - Empirical Evidence for the Eurozone (MSc, P. Kain)
    • The Effectiveness of Constant and Time-Varying Futures Optimal Hedge Ratios - Empirical Evidence from the European Stock Market (MSc, E. Panagakou)
Sebastian Stoeckl
Sebastian Stoeckl
Assistant Professor of Finance

My research interests include Financial and Economic Uncertainty as well as Empirical Asset Pricing.