Lars Kaiser

University of Liechtenstein

Assistant Professor

Fürst Franz Josef Strasse

Vaduz, 9490

Liechtenstein

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

SCHOLARLY PAPERS

14

DOWNLOADS
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Top 25,757

in Total Papers Downloads

1,855

SSRN CITATIONS

0

CROSSREF CITATIONS

5

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.

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 596 (45,500)
Citation 2

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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

2.

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 392 (76,283)

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

3.

ESG Integration: Value, Growth and Momentum

Number of pages: 50 Posted: 29 Jun 2017 Last Revised: 18 Jul 2018
Lars Kaiser
University of Liechtenstein
Downloads 295 (105,072)
Citation 2

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

4.

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, Liechtenstein University and University of Liechtenstein
Downloads 109 (255,385)
Citation 1

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Momentum; Currency; Hedging; Transaction Costs; Switzerland

5.

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 89 (292,213)

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

6.

Categorical Evaluation of Alternative Index Weighting Schemes

Number of pages: 45 Posted: 03 Dec 2014
Lars Kaiser
University of Liechtenstein
Downloads 87 (296,337)

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

7.

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 84 (302,911)

Abstract:

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

8.

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 69 (339,284)

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

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 67 (344,668)

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

10.

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 37 (450,473)

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

11.

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 30 (477,840)

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Livingston survey, return prediction, academics, bankers, fed

12.

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, https://doi.org/10.3905/jpm.2014.40.4.028
Posted: 21 May 2019
Lars Kaiser, Marco J. Menichetti and Aron Veress
University of Liechtenstein, Liechtenstein University and University of Liechtenstein

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

13.

International Equity Indices and Public Trust

Kaiser, L. (2018). International Equity Indices and Public Trust. Journal of Investing, 27(2), 76-89. , https://doi.org/10.3905/joi.2018.27.2.076
Posted: 21 May 2019
Lars Kaiser
University of Liechtenstein

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

14.

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