Matthias X. Hanauer

Robeco Asset Management - Quantitative Strategies

Researcher

Weena 850

Rotterdam, 3014 DA

Netherlands

http://www.robeco.com/en/insights/authors/matthias-hanauer.html

Technische Universität München (TUM)

Affiliated Researcher

Arcisstr. 21

Munich, D-80290

Germany

http://www.fm.wi.tum.de/?id=31

SCHOLARLY PAPERS

14

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16,440

SSRN CITATIONS
Rank 31,535

SSRN RANKINGS

Top 31,535

in Total Papers Citations

11

CROSSREF CITATIONS

10

Scholarly Papers (14)

1.

Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)

Betriebswirtschaftliche Forschung & Praxis, 65 (5), pp. 469-492, CEFS Working Paper 01-2011
Number of pages: 32 Posted: 17 Nov 2011 Last Revised: 13 Nov 2013
Matthias X. Hanauer, Christoph Kaserer and Marc Steffen Rapp
Robeco Asset Management - Quantitative Strategies, Technische Universität München (TUM) and University of Marburg - School of Business & Economics
Downloads 4,750 (1,725)
Citation 9

Abstract:

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CAPM, multi-factor models, Asset Pricing, Asset Pricing Anomalies, Anomalies, Fama French, Carhart, Risk Factors, Value, Size, Momentum, Germany

2.

Five Concerns with the Five-Factor Model

Number of pages: 17 Posted: 05 Nov 2016 Last Revised: 23 Feb 2017
David Blitz, Matthias X. Hanauer, Milan Vidojevic and Pim van Vliet
Robeco Quantitative Investments, Robeco Asset Management - Quantitative Strategies, VU University Amsterdam - Finance and Robeco Quantitative Investments
Downloads 2,768 (4,422)
Citation 2

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asset pricing, 5-factor model, 3-factor model, CAPM, low-beta, momentum

3.

The Idiosyncratic Momentum Anomaly

Number of pages: 50 Posted: 05 Apr 2017 Last Revised: 10 Jan 2018
David Blitz, Matthias X. Hanauer and Milan Vidojevic
Robeco Quantitative Investments, Robeco Asset Management - Quantitative Strategies and VU University Amsterdam - Finance
Downloads 2,571 (4,998)
Citation 9

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asset pricing, idiosyncratic momentum, momentum crashes, risk management

4.

Enhanced Momentum Strategies

Number of pages: 66 Posted: 19 Aug 2019 Last Revised: 17 Nov 2019
Matthias X. Hanauer and Steffen Windmueller
Robeco Asset Management - Quantitative Strategies and Technical University of Munich - School of Management
Downloads 1,184 (17,595)

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Momentum, Momentum Scaling, Idiosyncratic Momentum, Risk Management

5.

Does Earnings Growth Drive the Quality Premium?

Number of pages: 47 Posted: 13 Jun 2016 Last Revised: 16 Jan 2020
Georgi Kyosev, Matthias X. Hanauer, Joop Huij and Simon Lansdorp
Erasmus University Rotterdam (EUR), Rotterdam School of Management (RSM), Robeco Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management and Robeco Quantitative Strategies
Downloads 1,095 (19,763)

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quality, factor premiums, earnings growth, return-on-equity, profit margins, leverage, earnings variability, operating accruals, investments, gross profitability

6.

Size, Value, and Momentum in Emerging Market Stock Returns: Integrated or Segmented Pricing?

Asia-Pacific Journal of Financial Studies, Forthcoming
Number of pages: 42 Posted: 08 Nov 2013 Last Revised: 18 Apr 2015
Matthias X. Hanauer and Martin Linhart
Robeco Asset Management - Quantitative Strategies and Technische Universität München (TUM)
Downloads 653 (40,958)
Citation 5

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emerging markets, integrated pricing, momentum premium, size premium, value premium

7.

Constructing a Powerful Profitability Factor: International Evidence

Number of pages: 59 Posted: 28 Aug 2018 Last Revised: 15 Oct 2019
Matthias X. Hanauer and Daniel Huber
Robeco Asset Management - Quantitative Strategies and Technische Universität München (TUM)
Downloads 608 (45,093)

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Factor models, Profitability, International Markets, Anomalies

8.

A New Look at the Fama-French Model: Evidence Based on Expected Returns

Number of pages: 42 Posted: 11 Jun 2012 Last Revised: 28 Mar 2014
Matthias X. Hanauer, Christoph Jäckel and Christoph Kaserer
Robeco Asset Management - Quantitative Strategies, Technische Universität München (TUM) and Technische Universität München (TUM)
Downloads 581 (47,860)
Citation 1

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Expected returns, implied cost of capital, asset pricing, Fama-French three-factor model

Is Japan Different? Evidence on Momentum and Market Dynamics

Number of pages: 25 Posted: 26 Oct 2013 Last Revised: 07 Dec 2013
Matthias X. Hanauer
Robeco Asset Management - Quantitative Strategies
Downloads 509 (55,962)
Citation 1

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Japan, Momentum, Momentum Crashes, Behavioral Finance, Market Dynamics

Is Japan Different? Evidence on Momentum and Market Dynamics

International Review of Finance, Vol. 14, Issue 1, pp. 141-160, 2014
Number of pages: 20 Posted: 22 Mar 2014
Matthias X. Hanauer
Robeco Asset Management - Quantitative Strategies
Downloads 1 (708,726)
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10.

Mean-Variance Optimization Using Forward-Looking Return Estimates

Number of pages: 43 Posted: 01 Oct 2017 Last Revised: 05 Oct 2017
Patrick Bielstein and Matthias X. Hanauer
EDHEC-Risk Institute and Robeco Asset Management - Quantitative Strategies
Downloads 441 (67,442)

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Portfolio Optimization, Expected Returns, Implied Cost of Capital, Momentum, Maximum Sharpe Ratio

11.

The Cross-Section of Emerging Market Stock Returns

Number of pages: 55 Posted: 28 Aug 2018
Matthias X. Hanauer and Jochim Lauterbach
Robeco Asset Management - Quantitative Strategies and Technische Universität München (TUM)
Downloads 406 (74,598)

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Emerging Markets, Market Anomalies, Value, Profitability, Investments, Momentum

12.

Das Fama-French Modell und seine Nachfahren: Welche Erkenntnisse verbergen sich im Rauschen von Daten und Methoden? (The Fama-French Model and its Successors: What Insights can be Gained Behind the Noise of Data and Methods?)

Number of pages: 46 Posted: 11 May 2015
Matthias X. Hanauer, Christoph Jäckel and Christoph Kaserer
Robeco Asset Management - Quantitative Strategies, Technische Universität München (TUM) and Technische Universität München (TUM)
Downloads 347 (89,439)

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Expected returns, implied cost of capital, Fama-French three-factor model, Fama-French five-factor model

13.

Special Situation Fonds

CORPORATE FINANCE biz, 5/2013, pp. 276-284
Number of pages: 18 Posted: 03 Apr 2013 Last Revised: 15 Jul 2013
Mario Fischer, Matthias X. Hanauer and Udo Seifert
Technische Universität München (TUM), Robeco Asset Management - Quantitative Strategies and Munich Re
Downloads 269 (117,978)

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Special Situations, Special Situation Funds, Hedge Funds, Mutual Funds, Event-Driven

14.

Synthetic Hedge Funds

Review of Financial Economics, Forthcoming
Number of pages: 25 Posted: 16 Feb 2016 Last Revised: 15 Jun 2016
Mario Fischer, Matthias X. Hanauer and Robert Heigermoser
Technische Universität München (TUM), Robeco Asset Management - Quantitative Strategies and Technische Universität München (TUM) - Department of Financial Management and Capital Markets
Downloads 257 (123,780)

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Clone, Hedge Fund Clones, Hedge Fund, Synthetic Hedge Funds, Indexing, Replication