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)
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.
- Uncertainty (Unusualness/Turbulence) in good times, uncertainty in bad times and uncertainty about bad times
- Within- and cross-country uncertainty
- Uncertainty Risk Premia: Review the literature and empirics (I provide the data)
- Higher moment uncertainty (higher co-moments) and stock returns
- 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
- Stock Characteristics or Covariances: A review of the literature, state of research & empirical application (see here and here)
- What is the optimal number of portfolios to build for long-short factor premia? Is building portfolios the right way? A good starting point is this paper (ONLY FOR TOP STUDENTS)
- What is the optimal number of partitions (portfolios) for the calculation of cross-sectional predictors (e.g. cross-sectional volatility)? Which cross-section delivers the best predictor of the equity premium? (ONLY FOR TOP STUDENTS, I CAN PROVIDE DATA AND PARTS OF THE CODES)
- Momentum in factors and momentum in stocks: Eshani and Linainmaa (2019): The Inevitability of Momentum claim that momentum in stock returns are driven by momentum in factor returns. However, there must be a feedback effect from stocks to factors (call it co-momentum). Investigate the relationship in the literature and empirically. (See also Eshani and Linainmaa (2019): Factor Momentum and the Momentum Factor)
- Robust portfolios: Estimation & Empirics
- 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.
- Higher Moments and the Cross Section of Stock Returns: International Evidence
- 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)
- Stock Age as Proxy for Uncertainty of Parameters
- Financial Turbulence and the estimation of tail risk
- 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)