General Area of Thesis Supervision:
Empirical Finance, Quantitative Finance, Risk Management, Parameter and Model Uncertainty, Forecasting
Seminars (e.g. Seminar in finance)
- Brexit and abnormal stock returns. Other explanatory variables for cross-sectional variation in abnormal returns. See here
- Political cycles/Political uncertainty: State of Research & Empirics
- Ambiguity/Parameter Uncertainty and Real Option Portfolios
- Betting against Beta or Betting against Correlation?
- 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)
- FEATURED: Election portfolios: Based on Hanke, Stöckl & Weissensteiner (2018) repeat their estimations for as many elections as you can find data. Analyze possible explanations for the size of the (if existing) spreads in election portfolios (e.g. margin of closeness of the results, gdp/market, incumbent in office, volatility etc)
- Parameter Uncertainty and Asset Allocation: State of research & possible proxy variables
- Stock Age as Proxy for Uncertainty of Parameters (I could provide data)
- Mutual fund age and performance (I could provide data)
- Uncertainty Risk Premia: Review the literature and empirics (I provide the data)
- Financial Turbulence and the estimation of tail risk
- Higher co-moments and the cross-section of stock returns
- Robust portfolios: Estimation & Empirics
- Stock Characteristics or Covariances: A review of the literature, state of research & empirical application (see here and here)
- FEATURED (ONLY FOR TOP STUDENTS): The number of partitions and cross-sectional measures to predict the stock market: Many papers use cross-sectional volatility calculated from 25 size/value portfolios to predict the stock market
- What about other cross-sections (25 portfolios sorted according to size/profitability)?
- What is the optimal number?
- Which one is the best characteristic? Why?
- I provide data and parts of the code!
- AQR: I really like Cliffs Perspectives
- An interesting thesis topic is research into liquid alts as featured in Liquid Alt Ragnarök?
- There are other papers here that could be nice starters for research into aset allocation/alternative investing/etc. get in contact with me if you favor one.
- In progress:
- Higher Moments and the Cross Section of Stock Returns: International Evidence
- 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)
- 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)
- 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)
- 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)