Florian Weigert

University of Neuchatel - Institute of Financial Analysis

Pierre-a-Mazel,7

Neuchatel, CH-2000

Switzerland

University of Cologne - Centre for Financial Research (CFR)

Albertus-Magnus Platz

Cologne, 50923

Germany

  • University of Neuchatel - Institute of Financial Analysis

  • University of Cologne - Centre for Financial Research (CFR)

SCHOLARLY PAPERS

20

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20,546

TOTAL CITATIONS
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SSRN RANKINGS

Top 7,600

in Total Papers Citations

192

Scholarly Papers (20)

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1.

Option Return Predictability with Machine Learning and Big Data

Georgetown McDonough School of Business Research Paper No. 3895984
Number of pages: 156 Posted: 18 Aug 2021 Last Revised: 18 Jul 2023
Turan G. Bali, Heiner Beckmeyer, Mathis Moerke and Florian Weigert
Georgetown University - McDonough School of Business, University of Münster, University of St. Gallen - Swiss Institute of Banking and Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 6,242 (2,684)
Citation 88

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Machine learning, big data, option return predictability

2.

Crash Sensitivity and the Cross-Section of Expected Stock Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, University of St.Gallen, School of Finance Research Paper No. 2013/24
Number of pages: 94 Posted: 27 Feb 2012 Last Revised: 12 Jun 2017
Fousseni Chabi-Yo, Stefan Ruenzi and Florian Weigert
University of Massachusetts Amherst - Isenberg School of Management, University of Mannheim - Department of International Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 2,210 (14,862)
Citation 25

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Asset Pricing, Asymmetric Dependence, Copulas, Coskewness, Downside Risk, Tail Risk, Crash Aversion

3.

Unobserved Performance of Hedge Funds

University of St.Gallen, School of Finance Research Paper No. 2018/25, Journal of Finance, Forthcoming
Number of pages: 73 Posted: 28 Dec 2018 Last Revised: 06 Sep 2023
Vikas Agarwal, Stefan Ruenzi and Florian Weigert
Georgia State University - J. Mack Robinson College of Business, University of Mannheim - Department of International Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 1,796 (20,721)
Citation 9

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Hedge Fund Skill, Confidential Holdings, Derivative Usage, Short Selling, Unobserved Performance

4.

Machine Learning Mutual Fund Flows

FEB-RN Research Paper No. 37/2025
Number of pages: 72 Posted: 01 May 2024 Last Revised: 30 Jan 2025
Jürg Fausch, Moreno Frigg, Stefan Ruenzi and Florian Weigert
Lucerne University of Applied Sciences and Arts, Lucerne University of Applied Sciences and Arts, University of Mannheim - Department of International Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 1,161 (39,638)

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Machine learning, fund flows, big data, fund flow predictability, active management

5.

Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 74 Posted: 02 Nov 2014 Last Revised: 13 Aug 2016
Vikas Agarwal, Stefan Ruenzi and Florian Weigert
Georgia State University - J. Mack Robinson College of Business, University of Mannheim - Department of International Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 1,015 (48,050)
Citation 19

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Hedge Funds, Tail Risk, Portfolio Holdings, Funding Liquidity Risk, Leverage

6.

Extreme Weather Risk and the Cross-Section of Stock Returns

Number of pages: 57 Posted: 18 Nov 2021 Last Revised: 21 May 2024
Alexander Braun, Julia Braun and Florian Weigert
Institute of Insurance Economics (University of St. Gallen), Institute of Insurance Economics (University of St. Gallen) and University of Neuchatel - Institute of Financial Analysis
Downloads 986 (50,063)
Citation 2

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Extreme Weather Risk, Empirical Asset Pricing, Cross-Section of Stock Returns, Climate Risk

7.

Joint Extreme Events in Equity Returns and Liquidity and their Cross-Sectional Pricing Implications

Journal of Banking and Finance, Forthcoming
Number of pages: 89 Posted: 01 Apr 2013 Last Revised: 31 Mar 2022
Stefan Ruenzi, Michael Ungeheuer and Florian Weigert
University of Mannheim - Department of International Finance, Aalto University and University of Neuchatel - Institute of Financial Analysis
Downloads 938 (53,609)
Citation 9

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Asset Pricing, Crash Aversion, Downside Risk, Liquidity Risk, Tail Risk

8.

A Bayesian Stochastic Discount Factor for the Cross-Section of Individual Equity Options

Number of pages: 80 Posted: 16 Feb 2024 Last Revised: 28 Mar 2025
Niclas Käfer, Mathis Moerke, Florian Weigert and Tobias Wiest
University of St. Gallen - School of Finance, University of St. Gallen - Swiss Institute of Banking and Finance, University of Neuchatel - Institute of Financial Analysis and University of St. Gallen - School of Finance
Downloads 883 (58,242)

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Equity options, Option factor models, Asset pricing, Bayesian model averaging

9.

Momentum and Crash Sensitivity

University of St.Gallen, School of Finance Research Paper No. 2018/1, Economics Letters, Forthcoming
Number of pages: 13 Posted: 28 Dec 2017 Last Revised: 08 Feb 2018
Stefan Ruenzi and Florian Weigert
University of Mannheim - Department of International Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 879 (58,623)
Citation 6

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Asset pricing, asymmetric dependence, copulas, crash sensitivity, momentum, tail risk

10.

Factor Exposure Variation and Mutual Fund Performance

Financial Analyst Journal, Forthcoming, University of St.Gallen, School of Finance Research Paper No. 2018/17
Number of pages: 38 Posted: 30 Aug 2018 Last Revised: 01 Dec 2020
Manuel Ammann, Sebastian Fischer and Florian Weigert
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 778 (69,080)

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Mutual Fund, Market Timing, Factor Timing, Kalman Filter

11.

Forecasting Mutual Fund Performance – Combining Return-Based with Portfolio Holdings-Based Predictors

Number of pages: 74 Posted: 12 Jul 2024
Sebastian Müller, Nikolay Pugachyov and Florian Weigert
Technische Universität München (TUM) - TUM School of Management, University of Neuchatel - Institute of Financial Analysis and University of Neuchatel - Institute of Financial Analysis
Downloads 697 (79,730)

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Mutual funds, performance prediction, composite predictor

12.

Multivariate Crash Risk

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 62 Posted: 04 Jun 2018 Last Revised: 08 Sep 2021
Fousseni Chabi-Yo, Markus Huggenberger and Florian Weigert
University of Massachusetts Amherst - Isenberg School of Management, University of St. Gallen and University of Neuchatel - Institute of Financial Analysis
Downloads 665 (84,651)
Citation 10

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Asset pricing, Non-linear dependence, Crash aversion, Downside risk, Tail risk, Lower tail dependence, Copulas

13.

Hedge Funds and the Positive Idiosyncratic Volatility Effect

Georgetown McDonough School of Business Research Paper No. 3292347, University of St.Gallen, School of Finance Research Paper
Number of pages: 59 Posted: 12 Dec 2018 Last Revised: 18 Jul 2023
Turan G. Bali and Florian Weigert
Georgetown University - McDonough School of Business and University of Neuchatel - Institute of Financial Analysis
Downloads 634 (90,063)
Citation 3

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Hedge Funds, Idiosyncratic Volatility Puzzle, Equity Portfolio Holdings, Short-Selling, Managerial Incentives, Investment Performance

14.

Does Female Management Influence Firm Performance? Evidence from Luxembourg Banks

Financial Markets and Portfolio Management (2016), University of St. Gallen, School of Finance Research Paper No. 2015/01
Number of pages: 33 Posted: 14 Jan 2015 Last Revised: 13 Jan 2017
Regina Reinert, Florian Weigert and Christoph Winnefeld
University of St. Gallen, University of Neuchatel - Institute of Financial Analysis and Commission de Surveillance Du Secteur Financier
Downloads 407 (154,625)
Citation 2

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management diversity, female management representation, bank performance

15.

Does Foreign Information Predict the Returns of Multinational Firms Worldwide?

Review of Finance, Forthcoming, University of St.Gallen, School of Finance Research Paper No. 2015/19
Number of pages: 69 Posted: 22 Sep 2015 Last Revised: 28 Nov 2016
Christian Finke and Florian Weigert
University of St. Gallen - School of Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 262 (248,163)
Citation 7

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Foreign information, return predictability, limited attention

16.

Back to the Roots: Ancestral Origin and Mutual Fund Manager Portfolio Choice

Number of pages: 60 Posted: 08 Jul 2021
Manuel Ammann, Alexander Cochardt, Simon Straumann and Florian Weigert
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance, WHU - Otto Beisheim School of Management and University of Neuchatel - Institute of Financial Analysis
Downloads 233 (278,839)

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Culture, Home Bias, Mutual Funds, Portfolio Choice, Fund Managers

17.

Regulatory Stress Testing and Bank Performance

European Financial Management, Forthcoming
Number of pages: 60 Posted: 29 May 2018 Last Revised: 01 Dec 2020
Lukas Ahnert, Pascal Vogt, Volker Vonhoff and Florian Weigert
University of St. Gallen, Boston Consulting Group - Germany, University of Mannheim - Department of Business Administration and Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 227 (285,981)
Citation 4

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Banks, Stress Testing, Equity Performance, CDS Performance

18.

Twitter-Based Attention and the Cross-Section of Cryptocurrency Returns

Number of pages: 53 Posted: 20 Dec 2024
Arnaud Thierry Maître, Florian Weigert and Nikolay Pugachyov
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel - Institute of Financial Analysis and University of Neuchatel - Institute of Financial Analysis
Downloads 193 (333,198)

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cryptocurrencies, Twitter attention, textual sentiment, G12, G40, Bitcoin

19.

Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide

Review of Asset Pricing Studies (2016)
Number of pages: 60 Posted: 14 Aug 2013 Last Revised: 13 Jan 2017
Florian Weigert
University of Neuchatel - Institute of Financial Analysis
Downloads 177 (360,454)
Citation 8

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Asset Pricing, Crash Aversion, International Finance, Tail Risk

20.

Cash Holdings and the Performance of European Mutual Funds

Finance Research Letters, Forthcoming
Number of pages: 14 Posted: 18 Feb 2018 Last Revised: 10 Aug 2018
Frank Graef, Pascal Vogt, Volker Vonhoff and Florian Weigert
University of St. Gallen, Boston Consulting Group - Germany, University of Mannheim - Department of Business Administration and Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 163 (387,228)

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Cash Holdings, Mutual Funds, Performance Evaluation