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

15

DOWNLOADS
Rank 8,972

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Top 8,972

in Total Papers Downloads

6,464

SSRN CITATIONS
Rank 17,412

SSRN RANKINGS

Top 17,412

in Total Papers Citations

45

CROSSREF CITATIONS

18

Scholarly Papers (15)

1.

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 1,876 (10,558)
Citation 25

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

2.

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: 12 Mar 2020
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 840 (35,310)
Citation 9

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

3.

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 763 (40,299)
Citation 19

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

4.

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 689 (46,237)
Citation 2

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

5.

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 422 (85,284)

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Mutual Fund, Market Timing, Factor Timing, Kalman Filter

6.

Multivariate Crash Risk

Number of pages: 86 Posted: 04 Jun 2018 Last Revised: 24 May 2021
Fousseni Chabi-Yo, Markus Huggenberger and Florian Weigert
University of Massachusetts Amherst - Isenberg School of Management, University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance and University of Neuchatel - Institute of Financial Analysis
Downloads 336 (110,623)
Citation 1

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

7.

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 330 (112,807)
Citation 2

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management diversity, female management representation, bank performance

8.

Unobserved Performance of Hedge Funds

University of St.Gallen, School of Finance Research Paper No. 2018/25
Number of pages: 77 Posted: 28 Dec 2018 Last Revised: 16 Apr 2020
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 317 (117,788)

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

9.

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: 64 Posted: 12 Dec 2018 Last Revised: 24 Jun 2021
Turan G. Bali and Florian Weigert
Georgetown University - Robert Emmett McDonough School of Business and University of Neuchatel - Institute of Financial Analysis
Downloads 249 (151,342)
Citation 1

Abstract:

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Hedge Funds, Idiosyncratic Volatility Puzzle, Equity Portfolio Holdings, Derivatives, Managerial Incentives, Investment Performance

10.

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 210 (178,073)
Citation 1

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Foreign information, return predictability, limited attention

11.

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 149 (240,052)
Citation 4

Abstract:

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Banks, Stress Testing, Equity Performance, CDS Performance

12.

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 142 (249,719)
Citation 8

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Asset Pricing, Crash Aversion, International Finance, Tail Risk

13.

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 102 (317,516)

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Cash Holdings, Mutual Funds, Performance Evaluation

14.

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 39 (516,256)

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

15.

The Winner Should Take It All: How Academic Research Helps To Separate Winners From Losers in the Market for Actively Managed Funds

Posted: 21 Apr 2021
University of St. Gallen - Swiss Institute of Banking and Finance, Technische Universität München (TUM) - TUM School of Management, University of Neuchatel - Institute of Financial Analysis and University of Neuchatel - Institute of Financial Analysis

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mutual funds, performance prediction, combined predictor