Lars Kaiser

University of Liechtenstein

Assistant Professor

Fürst Franz Josef Strasse

Vaduz, 9490

Liechtenstein

http://www.uni.li/lars.kaiser

SCHOLARLY PAPERS

14

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CITATIONS

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Ideas:
“  I am currently looking into the opportunities of incorporating sustainability aspects in traditional investment management, without altering the initial objective, whilst raising the ESG level.  ”

Scholarly Papers (14)

1.

Long-Only Momentum, Currency Hedging and Transaction Costs: Implications for a Swiss Equity Investor

Number of pages: 15 Posted: 11 Oct 2013
Hochschule Liechtenstein - Institute of Financial Services, University of Liechtenstein, Hochschule Liechtenstein and University of Liechtenstein
Downloads 58 (239,566)

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Momentum; Currency; Hedging; Transaction Costs; Switzerland

2.

Categorical Evaluation of Alternative Index Weighting Schemes

Number of pages: 45 Posted: 03 Dec 2014
Lars Kaiser
University of Liechtenstein
Downloads 40 (265,167)

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enhanced indexing, full replication, sampling, risk factor decomposition, benchmark choice, norm constraints

3.

Value Investing with Firm Size Restrictions: Evidence for the German Stock Market

Kaiser, L. 2014. Value Investing with Firm Size Restrictions: Evidence for the German Stock Market. International Journal of Economics and Finance, 6(6), 14-29
Posted: 11 Oct 2013 Last Revised: 15 Oct 2016
Lars Kaiser
University of Liechtenstein

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Asset Pricing; Size; Value; Germany; Fama; French; Calendar Effects

4.

Portfolio Concentration and Equity Market Contagion: Evidence on the ‘Flight To Familiarity’ Across Indexing Methods

Kaiser, L. 2017. Portfolio concentration and equity market contagion: evidence on the “flight to familiarity” across indexing methods. Journal of Investment Strategies 7(1), 1-20.,
Number of pages: 30 Posted: 25 Nov 2014 Last Revised: 14 Nov 2017
Lars Kaiser
University of Liechtenstein
Downloads 26 (315,597)

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enhanced indexing, full replication, sampling, cross-sectional variance, dispersion, active share, tracking error

5.

Allocation Characteristics of Index Weighting Schemes

Number of pages: 23 Posted: 25 Nov 2014 Last Revised: 06 Apr 2017
Lars Kaiser
University of Liechtenstein
Downloads 22 (315,597)

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enhanced indexing, full replication, sampling, holdings overlap, Bray-Curtis dissimilarity, dynamic norm constraints

6.

Style, Momentum and ESG Investing

Posted: 29 Jun 2017 Last Revised: 14 Nov 2017
Lars Kaiser
University of Liechtenstein

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Value, Growth, Momentum, Morningstar Style Box, Sustainable Performance, ESG investing, Risk-mitigation Hypothesis.

7.

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 0 (400,571)

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

8.

Asset Allocation by Investment Professionals: Integration or Segmentation?

Number of pages: 54 Posted: 16 Nov 2016 Last Revised: 15 Dec 2016
Lars Kaiser
University of Liechtenstein
Downloads 0 (310,444)

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Reuters Global Asset Allocation Poll, Investment Professionals, Home Bias, Equity Bias, Implied Risk Aversion, Diversification, Portfolio Reallocation, TAA, SAA, ICAPM

9.

Sukuk As a Diversifier in Traditional Mixed Asset Portfolios

Number of pages: 19 Posted: 08 Jul 2016
Lars Kaiser and Daniel Deuring
University of Liechtenstein and University of Liechtenstein
Downloads 0 (353,749)

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Sukuk, Islamic Finance, Securitisation, Islamic Bonds, Alternative Asset Classes, Sustainable Investments, Shari’ah Compliant Securities, Mixed Asset Portfolio

10.

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 0 (94,004)

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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

11.

Dynamic Indexes: Equity Rotation and Factor Timing

Number of pages: 28 Posted: 14 Mar 2016 Last Revised: 22 May 2017
Lars Kaiser
University of Liechtenstein
Downloads 0 (108,805)

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market timing, portfolio rotation, risk premia, diversity weighting, vix, Fama-French, Carhart, active share, tracking error

12.

Forecasting Quality of Professionals: Does Affiliation Matter?

Quarterly Review of Economics and Finance, Forthcoming
Number of pages: 25 Posted: 20 Jan 2016 Last Revised: 24 Jan 2017
Aron Veress and Lars Kaiser
University of Liechtenstein and University of Liechtenstein
Downloads 0 (417,877)

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Livingston survey, return prediction, academics, bankers, fed

13.

International Equity Indices and Public Trust

Journal of Investing, Forthcoming
Number of pages: 22 Posted: 06 Nov 2015 Last Revised: 14 Nov 2017
Lars Kaiser
University of Liechtenstein
Downloads 0 (396,522)

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Public Trust, Portfolio Choice, Asset Pricing, Emerging Markets, Developed Markets

14.

Enhanced Mean-Variance Portfolios - A Controlled Integration of Quantitative Return Estimates

Journalof Portfolio Management, Vol. 40, No. 4, 2014, 25th Australasian Finance and Banking Conference 2012
Number of pages: 39 Posted: 25 Feb 2012 Last Revised: 15 Oct 2016
University of Liechtenstein, Hochschule Liechtenstein and University of Liechtenstein
Downloads 0 (484,252)

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Bayesian portfolio construction, Black-Litterman, downside risk, enhanced indexing, goodness-of-fit, random sampling