Matthias X. Hanauer

Technische Universität München (TUM)

Postdoctoral researcher

Arcisstr. 21

Munich, D-80290

Germany

http://www.professors.wi.tum.de/fm/team/researcher/dr-matthias-hanauer-cfa/

Robeco Quantitative Investments

Researcher

Weena 850

Rotterdam, 3014 DA

Netherlands

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

  • Technische Universität München (TUM)

  • Robeco Quantitative Investments

SCHOLARLY PAPERS

19

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SSRN CITATIONS
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32

CROSSREF CITATIONS

18

Scholarly Papers (19)

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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
Technische Universität München (TUM), Technische Universität München (TUM) and University of Marburg - School of Business & Economics
Downloads 5,094 (1,880)
Citation 10

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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, Technische Universität München (TUM), VU University Amsterdam - Finance and Robeco Quantitative Investments
Downloads 3,400 (3,790)
Citation 4

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

3.

The Idiosyncratic Momentum Anomaly

Number of pages: 60 Posted: 05 Apr 2017 Last Revised: 08 Apr 2020
David Blitz, Matthias X. Hanauer and Milan Vidojevic
Robeco Quantitative Investments, Technische Universität München (TUM) and VU University Amsterdam - Finance
Downloads 3,011 (4,718)
Citation 12

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asset pricing, idiosyncratic momentum, momentum crashes, risk management

4.

Enhanced Momentum Strategies

Number of pages: 73 Posted: 19 Aug 2019 Last Revised: 07 Aug 2020
Matthias X. Hanauer and Steffen Windmüller
Technische Universität München (TUM) and Technische Universität München (TUM) - School of Management
Downloads 2,236 (7,729)
Citation 4

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Anomalies, Asset pricing, Momentum, International stock markets

5.

Resurrecting the Value Premium

Number of pages: 27 Posted: 05 Oct 2020 Last Revised: 23 Oct 2020
David Blitz and Matthias X. Hanauer
Robeco Quantitative Investments and Technische Universität München (TUM)
Downloads 1,724 (11,762)
Citation 2

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Value Premium, Value Investing, Value Factor, HML, Factor Investing, Factor Premia, Smart Beta, Asset Pricing, Market Efficiency, Crowding

6.

A Comparison of Global Factor Models

Number of pages: 53 Posted: 02 Mar 2020 Last Revised: 31 Mar 2020
Matthias X. Hanauer
Technische Universität München (TUM)
Downloads 1,373 (16,822)
Citation 4

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Empirical asset pricing, Factor models, Value; Momentum, Profitability

7.

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), Technische Universität München (TUM), Erasmus University - Rotterdam School of Management and Robeco Quantitative Strategies
Downloads 1,326 (17,722)

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

8.

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
Technische Universität München (TUM) and Universität Hamburg
Downloads 922 (30,238)
Citation 3

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Factor models, Profitability, International Markets, Anomalies

9.

Settling the Size Matter

Number of pages: 18 Posted: 09 Sep 2020
David Blitz and Matthias X. Hanauer
Robeco Quantitative Investments and Technische Universität München (TUM)
Downloads 842 (34,327)

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10.

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
Technische Universität München (TUM) and Technische Universität München (TUM)
Downloads 676 (46,350)
Citation 8

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

11.

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
Technische Universität München (TUM), Technische Universität München (TUM) and Technische Universität München (TUM)
Downloads 619 (51,985)
Citation 2

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

12.

Is Japan Different? Evidence on Momentum and Market Dynamics

Downloads 524 ( 64,056)
Citation 3

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
Technische Universität München (TUM)
Downloads 523 (63,524)
Citation 3

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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
Technische Universität München (TUM)
Downloads 1 (799,569)
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13.

The Cross-Section of Emerging Market Stock Returns

Number of pages: 55 Posted: 28 Aug 2018
Matthias X. Hanauer and Jochim Lauterbach
Technische Universität München (TUM) and Technische Universität München (TUM)
Downloads 516 (65,296)
Citation 3

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

14.

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
Barclays PLC and Technische Universität München (TUM)
Downloads 516 (65,296)
Citation 2

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

15.

Surprise in Short Interest

Number of pages: 57 Posted: 24 Nov 2020
Matthias X. Hanauer, Pavel Lesnevski and Esad Smajlbegovic
Technische Universität München (TUM), University of Mannheim - Department of International Finance and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 428 (81,997)

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informed short selling, fundamentals, mispricing

16.

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
Technische Universität München (TUM), Technische Universität München (TUM) and Technische Universität München (TUM)
Downloads 389 (91,552)

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

17.

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), Technische Universität München (TUM) and Technische Universität München (TUM) - Department of Financial Management and Capital Markets
Downloads 276 (133,442)

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

18.

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), Technische Universität München (TUM) and Munich Re
Downloads 276 (133,442)

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

19.

The Volatility Effect in China

Journal of Asset Management, Forthcoming
Number of pages: 20 Posted: 19 Jan 2021 Last Revised: 16 Apr 2021
David Blitz, Matthias X. Hanauer and Pim van Vliet
Robeco Quantitative Investments, Technische Universität München (TUM) and Robeco Quantitative Investments
Downloads 240 (153,520)

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China A shares, low risk, low volatility, low beta, minimum variance, anomaly, value, size, momentum, profitability, investments, smart beta, low-volatility investing