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

SCHOLARLY PAPERS

17

DOWNLOADS
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Top 4,677

in Total Papers Downloads

15,492

SSRN CITATIONS
Rank 9,785

SSRN RANKINGS

Top 9,785

in Total Papers Citations

141

CROSSREF CITATIONS

21

Scholarly Papers (17)

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
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 5,052 (3,267)
Citation 36

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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 2,092 (13,737)
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, University of Mannheim - Department of International Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 1,248 (30,210)
Citation 2

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

4.

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 908 (47,373)
Citation 9

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

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, University of Mannheim - Department of International Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 907 (47,454)
Citation 19

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

6.

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 831 (53,593)
Citation 6

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

7.

Extreme Weather Risk and the Cost of Equity

Number of pages: 64 Posted: 18 Nov 2021 Last Revised: 22 Sep 2023
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 787 (57,615)
Citation 1

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Extreme Weather Risk, Climate Risk, Cost of Equity, Empirical Asset Pricing

8.

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 707 (66,482)

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Mutual Fund, Market Timing, Factor Timing, Kalman Filter

9.

A Bayesian SDF for Equity Options

Number of pages: 73 Posted: 16 Feb 2024
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 619 (78,572)

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Options, Option factor model, Asset pricing, Bayesian model averaging

10.

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 562 (88,816)
Citation 5

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

11.

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 465 (112,036)
Citation 3

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

12.

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 388 (138,105)
Citation 2

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management diversity, female management representation, bank performance

13.

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 241 (227,882)
Citation 5

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Foreign information, return predictability, limited attention

14.

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 188 (287,038)
Citation 4

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Banks, Stress Testing, Equity Performance, CDS Performance

15.

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

Number of pages: 60 Posted: 08 Jul 2021
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 184 (292,638)

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

16.

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 168 (316,826)
Citation 8

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Asset Pricing, Crash Aversion, International Finance, Tail Risk

17.

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 145 (358,392)

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Cash Holdings, Mutual Funds, Performance Evaluation