Lars Kaiser

University of Liechtenstein

Assistant Professor

Fürst Franz Josef Strasse

Vaduz, 9490

Liechtenstein

http://www.lars-kaiser.org

SCHOLARLY PAPERS

15

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4,724

TOTAL CITATIONS
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Top 42,797

in Total Papers Citations

11

Scholarly Papers (15)

1.

ESG Integration: Value, Growth and Momentum

Kaiser, L. (2020). ESG Integration: Value, Growth and Momentum. Journal of Asset Management, 21, 32-51. https://doi.org/10.1057/s41260-019-00148-y
Number of pages: 41 Posted: 29 Jun 2017 Last Revised: 07 Jul 2020
Lars Kaiser
University of Liechtenstein
Downloads 1,690 (22,102)
Citation 5

Abstract:

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Value, Growth, Momentum, Morningstar Style Box, Sustainable performance, ESG integration, ESG materiality, Risk-mitigation hypothesis

2.

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 910 (54,258)
Citation 3

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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

3.

Riding the 1/N Premium

Number of pages: 20 Posted: 14 Mar 2016 Last Revised: 23 Jul 2021
Lars Kaiser
University of Liechtenstein
Downloads 517 (112,936)

Abstract:

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portfolio rotation; market portfolio; market signal; value-weighting; equal-weighting; timing

4.

Environmentally (Un-)Friendly Portfolio Construction

Journal of Investment Consulting, Vol. 19, no. 1 , 2019, pp. 43-52
Number of pages: 12 Posted: 09 Feb 2020
Lars Kaiser and Florian Schaller
University of Liechtenstein and University of Liechtenstein
Downloads 229 (274,754)

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ESG, sustainable investing, ESG momentum

5.

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 226 (278,208)
Citation 1

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Momentum; Currency; Hedging; Transaction Costs; Switzerland

6.

Categorical Evaluation of Alternative Index Weighting Schemes

Number of pages: 45 Posted: 03 Dec 2014
Lars Kaiser
University of Liechtenstein
Downloads 213 (294,347)
Citation 1

Abstract:

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

7.

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 184 (337,009)

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

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 177 (348,971)

Abstract:

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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 Hochschule Liechtenstein
Downloads 172 (357,728)

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

10.

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 156 (389,216)

Abstract:

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

11.

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 132 (444,930)

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

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: 09 Jan 2020
Aron Veress and Lars Kaiser
University of Liechtenstein and University of Liechtenstein
Downloads 118 (485,423)
Citation 1

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Livingston survey, return prediction, academics, bankers, fed

13.

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

14.

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

Abstract:

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

15.

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