Sebastian Stöckl

University of Liechtenstein

Assistant Professor

Fürst-Franz-Josef-Strasse

Vaduz, FL-9490

Liechtenstein

http://www.sebastianstoeckl.com

SCHOLARLY PAPERS

13

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Top 48,461

in Total Papers Downloads

1,873

SSRN CITATIONS

8

CROSSREF CITATIONS

3

Scholarly Papers (13)

1.

Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns

Number of pages: 31 Posted: 15 Mar 2016 Last Revised: 10 Nov 2016
Sebastian Stöckl and Lars Kaiser
University of Liechtenstein and University of Liechtenstein
Downloads 874 (51,334)
Citation 3

Abstract:

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cross-sectional volatility, cross-sectional skewness, cross-sectional kurtosis, principal components, return dispersion, predictability of stock returns, out-ofsample predictability, equity premium

2.

Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns

Number of pages: 41 Posted: 20 Jun 2017 Last Revised: 20 Jul 2017
Sebastian Stöckl
University of Liechtenstein
Downloads 269 (209,287)
Citation 1

Abstract:

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Parameter Uncertainty, Aggregate Investor Behavior, Equity Risk Premium, Predictive Regression, Out-Of-Sample Predictability, Asset Allocation, Financial Turbulence

3.

Survivorship and Delisting Bias in Cryptocurrency Markets

Number of pages: 48 Posted: 07 Dec 2022
Manuel Ammann, Tom Burdorf, Luca Liebi and Sebastian Stöckl
University of St. Gallen - School of Finance, University of St.Gallen, University of St. Gallen - Swiss Institute of Banking and Finance and University of Liechtenstein
Downloads 174 (314,921)

Abstract:

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Cryptocurrency, Survivorship bias, Delisting bias, Size premium, Momentum, Downside risk, Market β

4.

The Price of Populism: Financial Market Outcomes of Populist Electoral Success

Number of pages: 49 Posted: 31 Dec 2020 Last Revised: 26 Apr 2021
Sebastian Stöckl and Martin Rode
University of Liechtenstein and University of Navarra
Downloads 129 (402,125)
Citation 7

Abstract:

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Populism, Elections, Political uncertainty, Option markets, Implied volatility, Political ideology

5.

Estimating Crypto-Related Risk: Market-Based Evidence from FTX’s Failure and Its Contagion on U.S. Banks

Number of pages: 26 Posted: 19 Oct 2023
Lukas Mueller, Sebastian Stöckl, Johanna Mueller and Dirk Schiereck
Technical University of Darmstadt, University of Liechtenstein, Hochschule Liechtenstein and Technical University of Darmstadt
Downloads 114 (441,178)

Abstract:

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operational risk, crypto-related risk, FTX, fraud, event study

6.

Research Note: The Economic Benefit of Forecasting Market Components for Mean-Variance Investors

Number of pages: 5 Posted: 20 Jan 2017
Lars Kaiser and Sebastian Stöckl
University of Liechtenstein and University of Liechtenstein
Downloads 86 (537,402)

Abstract:

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out-of-sample return predictability, industry portfolios, CAPM, empirical mean, market implied returns

7.

Towards a Well-Founded Valuation of Managerial Flexibilities in IT Investment Projects - A Multidisciplinary Literature Review

Number of pages: 13 Posted: 10 Mar 2015
University of Regensburg, University of Innsbruck - School of Management, University of Liechtenstein and University of Innsbruck
Downloads 67 (614,929)

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Real Options Analysis, Black-Scholes Model, Assumptions, Characteristics of IT Projects, Multidisciplinary Literature Review

8.

Recovering Election Winner Probabilities from Stock Prices

Number of pages: 10 Posted: 10 Dec 2020
Michael Hanke, Sebastian Stöckl and Alex Weissensteiner
University of Liechtenstein, University of Liechtenstein and Free University of Bolzano Bozen
Downloads 56 (677,849)

Abstract:

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Election winner probabilities, Political prediction markets, Election portfolios

9.

On the Saving Behavior of European Households

Number of pages: 64 Posted: 24 Oct 2022
University of Exeter, University of Liechtenstein, University of Liechtenstein and Free University of Bolzano Bozen
Downloads 47 (726,583)

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Savings, interest rates, aging

10.

Embedded Liberalism and Populism: A Cautionary Empirical Note

Number of pages: 10 Posted: 22 Jan 2022
Carlos Fellmann, Martin Rode and Sebastian Stöckl
affiliation not provided to SSRN, University of Navarra and University of Liechtenstein
Downloads 44 (746,259)

Abstract:

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Populism, free trade, government compensation, embedded liberalism

11.

How Global is Factor Predictability? Evidence from Nested Factor Momentum

Number of pages: 32 Posted: 16 Apr 2024
Merlin Bartel and Sebastian Stöckl
University of Liechtenstein and University of Liechtenstein
Downloads 13 (1,024,679)

Abstract:

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International Asset Pricing, Factor Timing, Factor Momentum

12.

Political Event Portfolios

Journal of Banking and Finance, Forthcoming
Posted: 22 Aug 2018 Last Revised: 09 Jun 2020
Michael Hanke, Sebastian Stöckl and Alex Weissensteiner
University of Liechtenstein, University of Liechtenstein and Free University of Bolzano Bozen

Abstract:

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betting odds, election portfolios, political uncertainty

13.

Financial Applications of the Mahalanobis Distance

Applied Economics and Finance, 1(2), p. 71-77
Posted: 19 Aug 2013 Last Revised: 05 Sep 2015
Sebastian Stöckl and Michael Hanke
University of Liechtenstein and University of Liechtenstein

Abstract:

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Mahalanobis distance, Financial turbulence, Multivariate distance