- Current Activity
- > Sustainable Finance
> Empirical Asset Pricing
> Portfolio Management
Events
> ESG Kompakt
> After-Work Lecture on Asset and Investment Management
Link
Personal website
- CSR Gap and Firm's Financial Performance
- FFF-Förderprojekt, September 2021 until December 2022 (finished)
The research project aims to deeply study the concept and impact of corporate social responsibility (CSR) gap, which is defined as the difference between what a company claimed to do and what the ... more ...
- Impact of Board Effectiveness on CSR and Firm Risk
- FFF-Förderprojekt, January 2020 until August 2020 (finished)
The research project at hand sets a focus on the role of board effectives on a firm's corporate social responsibility (CSR) strategy and firm risk. As such, it contributes to the literature on ... more ...
- Corporate Social Responsibility and Risk: Perspectives on Materiality, Trust and Investor Preferences
- FFF-Förderprojekt, June 2018 until May 2021 (finished)
This study contributes to the academic literature on CSR and ESG risk materiality. By disentangling aggregated ESG ratings according to their underlying key performance indicators (KPI) and ... more ...
- Evidence on the link between value and sustainable investing
- FFF-Förderprojekt, September 2016 until August 2018 (finished)
The research project at hand can generally be assigned to the field of fundamental investment management and combines non-financial issues in the form of ESG factors with the classical ... more ...
- Measures of cross-sectional dispersion in international stock returns
- internes Projekt, June 2015 until June 2018 (finished)
Time-series volatility is a long standing and well established measure of risk for both individual stocks and the market as such. However, the fact that volatility is time variant is not the sole set ... more ...
- The Impact of Deposit Insurance on European Depositor Behavior in a Banking Crisis
- Netzwerkprojekt, April 2014 until April 2016 (finished)
The basic objective of this study is to test whether the monitoring activity of the European professional - defined as one with a meaningful level of financial knowledge - could be affected by ... more ...
- Quantitative Investment Management and Portfolio Optimisation
- PhD-Thesis, March 2011 until February 2015 (finished)
Overall, the proposed dissertation project aims to contribute to academic literature by identifying research gaps in the field of quantitative investment management and answering the respective by ... more ...
Stöckl, S., & Kaiser, L. (2021). Higher Moments Matter! Cross-sectional (higher) Moments and the Predictability of Stock Returns. Review of Financial Economics, 39(4), 455-481. (ABDC_2022: B; ABS_2021: 1; VHB_3: B)
moreKaiser, L. (2020). ESG Integration: Value, Growth and Momentum. Journal of Asset Management, 21(1), 32-51. (ABDC_2022: B; ABS_2021: 2; VHB_3: B)
moreKaiser, L., & Stöckl, S. (2020). Cryptocurrencies: Herding and the Transfer Currency. Finance Research Letters, 33. (ABDC_2022: A; ABS_2021: 2; VHB_3: B)
moreKaiser, L. (2020). Board Effectiveness and Firm Risk. Journal of Impact and ESG Investing, 1(2), 68-86.
moreKaiser, L., & Schaller, F. (2019). Environmentally (Un-) Friendly Portfolio Construction. Journal of Investment Consulting, 19(1), 43-52.
moreKaiser, L. (2019). Seasonality in Cryptocurrencies. Finance Research Letters, 31, 232-238. (ABDC_2022: A; ABS_2021: 2; VHB_3: B)
moreAngerer, M., Dünser, M., Kaiser, L., Peter, G., Stöckl, S., & Veress, A. (2019). What drives our Beer Consumption? In Search of Nutrition Habits and Demographic Patterns. Applied Economics, 51(41), 4539-4550. (ABDC_2022: A; ABS_2021: 2)
moreKaiser, L., & Welters, J. (2019). Risk Mitigating Effect of ESG on Momentum Portfolios. The Journal of Risk Finance, 20(5), 542-555. (ABDC_2022: B; ABS_2021: 1; VHB_3: B)
moreKaiser, L. (2018). International Equity Indices and Public Trust. Journal of Investing, 27(2), 76-89. (ABDC_2022: B)
moreKaiser, L., Fleisch, M., & Salcher, L. (2018). Bias and Misrepresentation Revisited: Perspective on Major Equity Indices. Finance Research Letters, 26, 223-229. (ABDC_2022: A; ABS_2021: 2; VHB_3: B)
moreVeress, A., & Kaiser, L. (2017). Forecasting Quality of Professionals: Does Affiliation Matter? Quarterly Review of Economics and Finance, 66, 159-168. (ABDC_2022: B; ABS_2021: 2; VHB_3: B)
moreKaiser, L. (2017). Portfolio concentration and equity market contagion: evidence on the “flight to familiarity” across indexing methods. Journal of Investment Strategies, 7(1), 1-20. (ABS_2021: 1)
moreKaiser, L., Veress, A., & Menichetti, M. J. (2014). Enhanced Mean-Variance Portfolios: A Controlled Integration of Quantitative Predictors. Journal of Portfolio Management, 40(4), 28-41. (ABDC_2022: A; ABS_2021: 3; VHB_3: B)
moreKaiser, L. (2014). Value Investing with Firm Size Restrictions: Evidence for the German Stock Market. International Journal of Economics and Finance, 6(6), 14-29.
more
Gächter, M., & Kaiser, L. (in press). Empirische Bedeutung und Auswirkungen von Einlagensicherungssystemen auf das Bankensystem und das Verhalten der Einleger. In N. Raschauer & T. Stern (Eds.), Einlagensicherungssysteme in deutschsprachigen Jurisdiktionen. Austria, Vienna: Linde Verlag Ges.m.b.H.
moreMenichetti, M. J., Kaiser, L., & Veress, A. (2013). The Exchange Rate Dimension in International Asset Allocation - Lessons learned from the current financial crisis. In D. Hummel (Ed.), The Euro-Financial-Crisis – Impacts on Banking, Capital Markets, and Regulation. Report of the International Workshop in Potsdam on July 20/21, 2012 (pp. 85 -101). Potsdam, Germany: University of Potsdam Press.
more
Kaiser, L. (2011). Black-Litterman Portfolio Optimisation: An Application to the German and Swiss Stock Market. Paper presented at the Value Day 2011 - Aktuelle Entwicklungen in Controlling & Finance, Berlin.
more
Kaiser, L., Kimmerle, H., & Luan, T. (2020). Does Board Effectiveness influence Corporate Social Responsibility?. Presented at the 35. Workshop der Austrian Working Group on Banking and Finance, Online.
moreKaiser, L., Kimmerle, H., & Luan, T. (2020). Green Bonds and External Reviews. Presented at the 35. Workshop der Austrian Working Group on Banking and Finance, Online.
moreKaiser, L. (2019). ESG Integration: Value, Growth and Momentum. Presented at the 3rd Conference on CSR, the Economy and Financial Markets, Dusseldorf, Germany.
moreKaiser, L. (2018). ESG Integration: Value, Growth and Momentum. Presented at the 17th Colloquium on Financial Markets, Cologne (Germany).
moreKaiser, L. (2018). ESG Integration: Value, Growth and Momentum. Presented at the Frontiers of Factor Investing, Lancaster (UK).
moreKaiser, L. &. (2018). Dynamic Indexes: Equity Rotation and Factor Timing. Presented at the SGF Conference 2018, Zurich (Switzerland).
moreKaiser, L. (2018). ESG Integration: Value, Growth and Momentum. Presented at the INQUIRE Europe Autumn Seminar, Budapest (Hungary).
moreStöckl, S., & Kaiser, L. (2017). Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns. Presented at the SGF Conference 2017, Zurich, Switzerland.
moreKaiser, L. (2017). Asset Allocation by Investment Professionals: Integration or Segmentation?. Presented at the 2017 European FMA Conference, Lisbon, Portugal.
moreKaiser, L. (2017). Style, Momentum and ESG Investing. Presented at the Green Summit 2017 - Sustainability Forum Liechtenstein, Vaduz, Liechtenstein.
moreKaiser, L. (2017). Style, Momentum and ESG Investing. Presented at the Green Summit 2017 - Sustainability Forum Liechtenstein, Vaduz, Liechtenstein.
moreKaiser, L. (2017). Style, Momentum and ESG Investing. Presented at the 32. Workshop der Austrian Working Group on Banking and Finance, Obergurgl, Austria.
moreKaiser, L. (2017). Style, Momentum and ESG Investing. Presented at the 2017 Paris Financial Management Conference, Paris, France.
moreKaiser, L. (2016). Closing the gap between equal and value-weighting. Presented at the 23rd Forecasting Financial Markets, Hannover, Germany.
moreKaiser, L. (2016). Asset Allocation by Investment Professionals: Integration or Segmentation?. Presented at the 31. Workshop der Austrian Working Group on Banking and Finance, Universität Klagenfurt.
moreKaiser, L., & Stöckl, S. (2016). The Economic Benefit of Forecasting Market Components for Mean-Variance Investors. Presented at the 31. Workshop of the Austrian Working Group on Banking and Finance, Klagenfurt (Austria).
moreKaiser, L. (2015). Categorical Evaluation of Alternative Index Weighting Schemes. Presented at the 2015 FMA European Conference, Venice, Italy.
moreKaiser, L. (2014). Value Investing with Firm Size Restrictions: Evidence for the German Stock Market. Presented at the Eastern Finance Association Annual Meeting, Pittsburgh (US).
moreKaiser, L., Veress, A., & Menichetti, M. (2013). Enhanced optimal portfolios - A controlled integration of quantitative predictors. Presented at the Eastern Finance Association Annual Meeting, St. Pete Beach (Florida, US).
moreAngerer, M., Dünser, M., Kaiser, L., Peter G., Stöckl, S., & Veress, A. (2013). What drives our beer consumption? - In search of nutrition habits and demographic patterns. Presented at the 3rd Beeronomics Conference 2013, York (United Kingdom).
moreKaiser, L. (2013). Value Investing with Firm Size Restrictions: Evidence for the German Stock Market. Presented at the Internationales Doktorandenseminar in Banking 2013, Augsburg (Germany).
moreKaiser, L. (2013). Value Investing with Firm Size Restrictions: Evidence for the German Stock Market.. Presented at the International Doctoral Seminar in Banking. University of Fribourg, Fribourg (Switzerland).
moreKaiser, L. (2013). Enhanced optimal portfolios - A controlled integration of quantitative predictors. Presented at the Quantitiative & Asset Management Workshop 2013, Venice (Italy).
moreKaiser, L. (2013). Enhanced optimal portfolios - A controlled integration of quantitative predictors. Presented at the Quantitative and Asset Management Workshop, Venice (Italy).
moreKaiser, L., Veress, A., & Menichetti, M. J. (2012). Enhanced optimal portfolios - A controlled intergration of quantitative predictors. Presented at the 29th GdRE Annual International Symposium on Money, Banking and Finance, Nantes (France).
moreKaiser, L., Veress, A., & Menichetti, M. (2012). Enhanced optimal portfolios - A controlled integration of quantitative predictors. Presented at the 2012 International Doctoral Seminar, Fribourg (Switzerland).
moreKaiser, L., Veress, A., & Menichetti, M. J. (2012). Enhanced optimal portfolios - A controlled integration of quantitative predictors. Presented at the 25th Australasian Banking and Finance Conference, Sydney (Australia).
moreKaiser, L., Veress, A., & Menichetti, M. J. (2012). Enhanced optimal portfolios - A controlled integration of quantitative predictors. Presented at the 2012 Auckland Finance Meeting, Auckland (New Zealand).
moreKaiser, L., Veress, A., & Menichetti, M. J. (2012). Enhanced Mean-Variance Portfolios: A Controlled Integration of Quantitative Predictors. Presented at the Research Seminar at City University Hong Kong, Hong Kong.
moreKaiser, L. (2011). Black-Litterman Potfolio Optimisation: An Application to the German and Swiss Stock Market. Presented at the Value Day 2011, Dornbirn (Austria).
more
Boyle, G., Kaiser, L., Stover, R., Tiwana, A., & Zhylyevskyy, O. (2020). Finance Professionals’ Response to a Banking Crisis: An International Perspective.
moreKaiser, L., & Peter, G. (2019). Riding the 1/N Premium.
moreKaiser, L., & Stöckl, S. (2016). The Economic Benefit of Forecasting Market Components for Mean-Variance Investors.
more