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
2026-02:
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.
2026-01:
Paper Lost in Translation accepted in the Journal of Forecasting! Our paper “Lost in Translation: How Predictability Turns into Performance” has been accepted for publication in the Journal of Forecasting.
2025-08:
The 2nd Alpine Finance Summit was a great success: Thanks to all the participants who joined us in Grenoble!
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 -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.
Estimating Crypto-Related Risk: Market-Based Evidence from FTX's Failure and Its Contagion on U.S. Banks
We estimate crypto-related risk for U.S. banks using historical covariance with bitcoin returns, focusing on contagion from FTX’s failure.
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
Risk-adjusted Forecast Performance
When Forecast Accuracy Fails to Translate into Performance Financial forecasting models are typically evaluated using statistical metrics such as RMSE or out-of-sample R². However, investors ultimately care about economic performance — e.g., Sharpe ratios, portfolio efficiency, and risk-adjusted returns.
2026-02-11
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.
2020-12-04
Macro-Financial Uncertainty
Research data, plots and information for single and multi-country measures of Macro-Financial Uncertainty.
2019-12-12
Political Event Portfolios
Research data, plots and information on political event portfolios, focusing on the 2020 US presidential election.
2019-12-12
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