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

14

DOWNLOADS
Rank 8,635

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Top 8,635

in Total Papers Downloads

5,555

SSRN CITATIONS
Rank 21,393

SSRN RANKINGS

Top 21,393

in Total Papers Citations

21

CROSSREF CITATIONS

17

Scholarly Papers (14)

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 1,670 (10,435)
Citation 16

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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 School of Business and University of Neuchatel - Institute of Financial Analysis
Downloads 746 (34,661)
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 689 (38,616)
Citation 10

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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 627 (43,847)
Citation 2

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

5.

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 317 (100,027)
Citation 1

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management diversity, female management representation, bank performance

6.

Do Mutual Funds Outperform During Recessions? International (Counter-) Evidence

University of St.Gallen, School of Finance Research Paper No. 2014/15
Number of pages: 57 Posted: 19 Sep 2014 Last Revised: 05 Jun 2015
Christopher Fink, Katharina Raatz and Florian Weigert
University of Mannheim - Finance Area, University of Mannheim and University of Neuchatel - Institute of Financial Analysis
Downloads 247 (130,321)

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International Mutual Fund Performance, Mutual Funds, Recession

7.

Risk Factor Exposure Variation and Mutual Fund Performance

University of St.Gallen, School of Finance Research Paper No. 2018/17
Number of pages: 58 Posted: 30 Aug 2018 Last Revised: 12 Nov 2018
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 222 (144,620)

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Mutual Fund, Market Timing, Factor Timing, Kalman Filter

8.

Unobserved Performance of Hedge Funds

University of St.Gallen, School of Finance Research Paper No. 2018/25
Number of pages: 62 Posted: 28 Dec 2018 Last Revised: 19 Mar 2019
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 201 (159,600)

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Confidential Holdings, Derivative Usage, Discretion, Frequent Trading, Hedge Funds, Managerial Incentives, Short Selling, Unobserved Performance

9.

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 201 (158,842)

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Foreign information, return predictability, limited attention

10.

Have Hedge Funds Solved the Idiosyncratic Volatility Puzzle?

Georgetown McDonough School of Business Research Paper No. 3292347, University of St.Gallen, School of Finance Research Paper
Number of pages: 58 Posted: 12 Dec 2018 Last Revised: 14 May 2019
Turan G. Bali and Florian Weigert
Georgetown University - Robert Emmett McDonough School of Business and University of Neuchatel - Institute of Financial Analysis
Downloads 177 (178,242)
Citation 1

Abstract:

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

11.

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 138 (219,734)
Citation 3

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Asset Pricing, Crash Aversion, International Finance, Tail Risk

12.

Multivariate Crash Risk

Number of pages: 81 Posted: 04 Jun 2018 Last Revised: 14 Aug 2019
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 118 (247,768)
Citation 1

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

13.

The Impact of Regulatory Stress Testing on Bank's Equity and CDS Performance

University of St.Gallen, School of Finance Research Paper No. 2018/15
Number of pages: 35 Posted: 29 May 2018
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 114 (253,864)
Citation 1

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Banks, Stress Testing, Equity Performance, CDS Performance

14.

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 88 (301,939)

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Cash Holdings, Mutual Funds, Performance Evaluation