Sebastian Müller

Technische Universität München (TUM) - TUM School of Management

Germany

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 2,749

SSRN RANKINGS

Top 2,749

in Total Papers Downloads

19,651

SSRN CITATIONS
Rank 8,496

SSRN RANKINGS

Top 8,496

in Total Papers Citations

107

CROSSREF CITATIONS

44

Scholarly Papers (19)

1.

How Should Individual Investors Diversify? An Empirical Evaluation of Alternative Asset Allocation Policies

Journal of Financial Markets, 19, 62-85
Number of pages: 47 Posted: 13 Sep 2009 Last Revised: 10 Jul 2014
Heiko Jacobs, Sebastian Müller and Martin Weber
University of Duisburg-Essen, Campus Essen, Technische Universität München (TUM) - TUM School of Management and University of Mannheim - Department of Banking and Finance
Downloads 6,492 (1,714)
Citation 25

Abstract:

Loading...

portfolio theory, household finance, asset allocation, international diversification, heuristics

Financial Literacy and Mutual Fund Investments: Who Buys Actively Managed Funds?

Schmalenbach Business Review, Vol. 62, pp. 126-153, April 2010
Number of pages: 37 Posted: 15 Feb 2008 Last Revised: 25 Nov 2013
Sebastian Müller and Martin Weber
Technische Universität München (TUM) - TUM School of Management and University of Mannheim - Department of Banking and Finance
Downloads 2,479 (8,494)
Citation 2

Abstract:

Loading...

Better-than-Average, Financial Literacy, Investor Sophistication, Miscalibration, Mutual Fund Customers, Mutual Funds

Financial Literacy and Mutual Fund Investments: Who Buys Actively Managed Funds?

Schmalenbach Business Review, Vol. 62, pp. 126-153, April 2010
Number of pages: 28 Posted: 11 May 2010
Sebastian Müller and Martin Weber
Technische Universität München (TUM) - TUM School of Management and University of Mannheim - Department of Banking and Finance
Downloads 163 (273,892)
Citation 11

Abstract:

Loading...

Better-than-Average, Financial Literacy, Investor Sophistication, Miscalibration, Mutual Fund Customers, Mutual Funds

3.

Anomalies Across the Globe: Once Public, No Longer Existent?

Journal of Financial Economics, Forthcoming
Number of pages: 46 Posted: 02 Aug 2016 Last Revised: 21 Oct 2018
Heiko Jacobs and Sebastian Müller
University of Duisburg-Essen, Campus Essen and Technische Universität München (TUM) - TUM School of Management
Downloads 2,501 (8,514)
Citation 43

Abstract:

Loading...

return predictability, international stock markets, arbitrage, publication impact, anomalies, trading strategies, market segmentation

4.

Media Makes Momentum

Review of Financial Studies, Forthcoming
Number of pages: 83 Posted: 16 Mar 2012 Last Revised: 01 Apr 2015
Alexander Hillert, Heiko Jacobs and Sebastian Müller
Goethe University Frankfurt - Department of Finance, University of Duisburg-Essen, Campus Essen and Technische Universität München (TUM) - TUM School of Management
Downloads 1,355 (22,288)
Citation 24

Abstract:

Loading...

Momentum, media, overreaction, attention effects, investor biases

5.

Analyst Recommendations and Mispricing Across the Globe

Number of pages: 74 Posted: 13 Oct 2020 Last Revised: 21 Jan 2023
Vitor Azevedo and Sebastian Müller
Technische Universität Kaiserslautern and Technische Universität München (TUM) - TUM School of Management
Downloads 1,285 (24,138)

Abstract:

Loading...

Analysts, analyst recommendations, anomalies, international stock markets, market efficiency.

6.

Stock Market Anomalies and Machine Learning Across the Globe

Number of pages: 36 Posted: 13 Apr 2022 Last Revised: 21 Dec 2022
Vitor Azevedo, Sebastian Kaiser, Georg Kaiser and Sebastian Müller
Technische Universität Kaiserslautern, Technische Universität München (TUM) - TUM School of Management, affiliation not provided to SSRN and Technische Universität München (TUM) - TUM School of Management
Downloads 903 (40,039)

Abstract:

Loading...

International stock market, anomalies, machine learning models, market efficiency, publication impact.

7.

...And Nothing Else Matters? On the Dimensionality and Predictability of International Stock Returns

Number of pages: 44 Posted: 03 Oct 2016 Last Revised: 21 Nov 2018
Heiko Jacobs and Sebastian Müller
University of Duisburg-Essen, Campus Essen and Technische Universität München (TUM) - TUM School of Management
Downloads 621 (65,962)
Citation 10

Abstract:

Loading...

Anomalies, international stock markets, multidimensionality, market efficiency, return predictability

8.

Economic Links and Cross-predictability of Stock Returns: Evidence from Characteristic-Based 'Styles'

Review of Finance, Forthcoming
Number of pages: 83 Posted: 22 Nov 2011 Last Revised: 15 Jun 2017
Sebastian Müller
Technische Universität München (TUM) - TUM School of Management
Downloads 617 (66,547)
Citation 1

Abstract:

Loading...

Cross-predictability, earnings momentum, post earnings announcement drift, style returns, spillovers

9.

International Factor Models

Number of pages: 64 Posted: 11 Feb 2020 Last Revised: 31 Aug 2022
Daniel Huber, Heiko Jacobs, Sebastian Müller and Fabian Preissler
Universität Hamburg, University of Duisburg-Essen, Campus Essen, Technische Universität München (TUM) - TUM School of Management and Technische Universität München (TUM) - TUM School of Management
Downloads 500 (86,486)

Abstract:

Loading...

Asset pricing, Factor models, International stock markets

10.

The q-Factors and Expected Bond Returns

Journal of Banking and Finance, Forthcoming
Number of pages: 91 Posted: 26 Feb 2015 Last Revised: 15 Jun 2017
Benedikt Franke, Sebastian Müller and Sonja Müller
University of Würzburg - Business Administration & Economics, Technische Universität München (TUM) - TUM School of Management and University of Mannheim - Accounting and Taxation
Downloads 500 (86,486)
Citation 1

Abstract:

Loading...

Anomalies, corporate bonds, credit markets, expected returns, factors, market efficiency

11.

Is the Diversification Discount Caused by the Book Value Bias of Debt?

Journal of Banking and Finance, Forthcoming
Number of pages: 40 Posted: 20 Feb 2010
Markus Glaser and Sebastian Müller
Ludwig Maximilian University of Munich (LMU) - Faculty of Business Administration (Munich School of Management) and Technische Universität München (TUM) - TUM School of Management
Downloads 426 (104,532)
Citation 6

Abstract:

Loading...

Diversification, Diversification discount, Conglomerate discount, Internal capital markets, Option pricing, Debt valuation, Merton model, Corporate governance, Ownership structure

12.

Cross-Country Composite Momentum

Number of pages: 72 Posted: 23 Sep 2018 Last Revised: 09 Nov 2020
Birgit Müller and Sebastian Müller
Technical University of Darmstadt and Technische Universität München (TUM) - TUM School of Management
Downloads 421 (105,987)
Citation 1

Abstract:

Loading...

momentum profits, stock characteristics, market efficiency, international stock markets

13.

When Risk and Return are Not Enough: The Role of Loss Aversion in Private Investors' Choice of Mutual Fund Fee Structures

Number of pages: 51 Posted: 18 Apr 2013 Last Revised: 14 Jul 2014
Christian Ehm, Sebastian Müller and Martin Weber
University of Mannheim - Department of Banking and Finance, Technische Universität München (TUM) - TUM School of Management and University of Mannheim - Department of Banking and Finance
Downloads 318 (144,769)
Citation 1

Abstract:

Loading...

Hedge funds, mutual funds, fees, performance fees, incentive fees, loss aversion

14.

Why Does Digitalization Drive Stock Returns?

Number of pages: 46 Posted: 28 Nov 2021 Last Revised: 16 Dec 2022
Katharina Drechsler, Sebastian Müller and Heinz-Theo Wagner
University of Liechtenstein, Technische Universität München (TUM) - TUM School of Management and Technische Universität München (TUM)
Downloads 272 (170,357)

Abstract:

Loading...

Digital innovation, asset pricing, factors, market efficiency, textual analysis

Evaluating the Rating of Stiftung Warentest: How Good are Mutual Fund Ratings and Can They Be Improved?

European Financial Management, 20 (2014), 207-235
Number of pages: 43 Posted: 19 Mar 2011 Last Revised: 03 Mar 2015
Sebastian Müller and Martin Weber
Technische Universität München (TUM) - TUM School of Management and University of Mannheim - Department of Banking and Finance
Downloads 267 (172,800)
Citation 3

Abstract:

Loading...

mutual funds, performance evaluation, performance persistence, mutual fund ratings, active management

Evaluating the Rating of Stiftung Warentest: How Good are Mutual Fund Ratings and Can They Be Improved?

European Financial Management, Vol. 20, Issue 2, pp. 207-235, 2014
Number of pages: 29 Posted: 15 Mar 2014
Sebastian Müller and Martin Weber
Technische Universität München (TUM) - TUM School of Management and University of Mannheim - Department of Banking and Finance
Downloads 2 (988,006)

Abstract:

Loading...

mutual funds, performance evaluation, performance persistence, mutual fund ratings, active management

16.

In Good and in Bad Times? The Relation between Anomaly Returns and Market States

Number of pages: 40 Posted: 20 Sep 2021
Sebastian Müller and Fabian Preissler
Technische Universität München (TUM) - TUM School of Management and Technische Universität München (TUM) - TUM School of Management
Downloads 186 (244,189)

Abstract:

Loading...

Anomalies, international stock markets, market states, sentiment. market efficiency

17.

Journalist Disagreement

Journal of Financial Markets, Forthcoming
Number of pages: 49 Posted: 24 Sep 2018
Alexander Hillert, Heiko Jacobs and Sebastian Müller
Goethe University Frankfurt - Department of Finance, University of Duisburg-Essen, Campus Essen and Technische Universität München (TUM) - TUM School of Management
Downloads 144 (302,852)
Citation 2

Abstract:

Loading...

Media, Journalists, Textual Analysis, Differences of Opinion, Return Predictability

18.

When Firms Open Up: Identifying Value Relevant Textual Disclosure Using simBERT

Number of pages: 36 Posted: 21 Sep 2022 Last Revised: 31 Oct 2022
Christian Breitung and Sebastian Müller
Technische Universität München (TUM) - TUM School of Management and Technische Universität München (TUM) - TUM School of Management
Downloads 119 (349,758)

Abstract:

Loading...

Textual Analysis, Value Relevance, Securities Laws, Annual Reports, Disclosure, BERT

19.

Mispricing Decomposition and Global Mispricing Index

Number of pages: 57 Posted: 19 Jan 2023 Last Revised: 24 Jan 2023
Vitor Azevedo, Minghui Chen, Christoph Kaserer and Sebastian Müller
Technische Universität Kaiserslautern, Technische Universität München (TUM) - Department of Financial Management and Capital Markets, Technische Universität München (TUM) and Technische Universität München (TUM) - TUM School of Management
Downloads 80 (453,297)

Abstract:

Loading...

Mispricing; stock market anomalies; market efficiency; instrumented principal components analysis (IPCA)