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

24

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44,534

SSRN CITATIONS
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Top 13,394

in Total Papers Citations

79

CROSSREF CITATIONS

22

Scholarly Papers (24)

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1.

Beyond Fama-French Factors: Alpha from Short-Term Signals

Financial Analysts Journal, Forthcoming
Number of pages: 36 Posted: 01 Jun 2022 Last Revised: 25 Jan 2023
David Blitz, Matthias X. Hanauer, Iman Honarvar, Rob Huisman and Pim van Vliet
Robeco Quantitative Investments, Technische Universität München (TUM), Robeco Quantitative Investments, Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 5,962 (2,239)
Citation 3

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short-term signals, market frictions, portfolio construction, transaction costs, investments, market efficiency

2.

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 5,675 (2,428)
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

3.

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), Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 4,321 (3,893)
Citation 8

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

4.

Enhanced Momentum Strategies

Journal of Banking and Finance, Forthcoming
Number of pages: 67 Posted: 19 Aug 2019 Last Revised: 30 Jan 2023
Matthias X. Hanauer and Steffen Windmüller
Technische Universität München (TUM) and Technische Universität München (TUM) - School of Management
Downloads 4,130 (4,212)
Citation 10

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Anomalies, Asset pricing, Momentum, International stock markets

5.

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 Robeco Quantitative Investments
Downloads 3,769 (4,894)
Citation 18

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asset pricing, idiosyncratic momentum, momentum crashes, risk management

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 2,700 (8,418)
Citation 4

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

7.

The Term Structure of Machine Learning Alpha

Number of pages: 40 Posted: 18 Jun 2023 Last Revised: 19 Jul 2023
David Blitz, Matthias X. Hanauer, Tobias Hoogteijling and Clint Howard
Robeco Quantitative Investments, Technische Universität München (TUM), Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 2,302 (10,871)

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machine learning, asset pricing, factor investing, alpha, investment strategies, trading costs

8.

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 2,286 (10,970)
Citation 10

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

9.

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 Sustainable Index Solutions
Downloads 1,758 (16,608)

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

10.

Machine Learning and The Cross-Section of Emerging Market Stock Returns

Emerging Markets Review, Forthcoming
Number of pages: 93 Posted: 29 Nov 2022 Last Revised: 15 Mar 2023
Matthias X. Hanauer and Tobias Kalsbach
Technische Universität München (TUM) and Technische Universität München (TUM)
Downloads 1,485 (21,592)

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Machine Learning, Return Prediction, Cross-Section of Stock Returns, Emerging Markets, Random Forest, Gradient Boosting, Neural Networks

11.

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 1,419 (23,076)
Citation 5

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12.

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 1,251 (27,780)
Citation 3

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Factor models, Profitability, International Markets, Anomalies

13.

Boosting Agnostic Fundamental Analysis: Using Machine Learning to Identify Mispricing in European Stock Markets

Finance Research Letters, Forthcoming
Number of pages: 23 Posted: 14 Dec 2021 Last Revised: 05 Apr 2022
Matthias X. Hanauer, Marina Kononova and Marc Steffen Rapp
Technische Universität München (TUM), University of Marburg - School of Business & Economics and University of Marburg - School of Business & Economics
Downloads 820 (50,472)

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Fundamental analysis, market efficiency, stock return, machine learning, random forest, gradient boo

14.

Surprise in Short Interest

Journal of Financial Markets, Forthcoming
Number of pages: 74 Posted: 24 Nov 2020 Last Revised: 23 May 2023
Matthias X. Hanauer, Pavel Lesnevski and Esad Smajlbegovic
Technische Universität München (TUM), Union Investment Institutional GmbH and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 787 (53,285)

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informed short selling, anchoring bias, market efficiency

15.

Factor models for Chinese A-shares

Number of pages: 56 Posted: 10 Sep 2021 Last Revised: 02 Feb 2023
Matthias X. Hanauer, Maarten Jansen, Laurens Swinkels and Weili Zhou
Technische Universität München (TUM), Robeco Asset Management, Erasmus University Rotterdam (EUR) and Robeco Asset Management
Downloads 765 (55,356)

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Anomalies, Asset pricing, China, Equity markets, Emerging markets, Factor models, Investing

16.

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 746 (57,443)
Citation 2

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

17.

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 733 (58,646)
Citation 8

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

18.

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 688 (63,713)
Citation 3

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

19.

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 666 (66,443)
Citation 2

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

20.

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 592 (77,103)
Citation 3

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

21.

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 536 (87,218)

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

22.

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 477 (100,904)

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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

23.

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, Robert Heigermoser and Robert Heigermoser
Technische Universität München (TUM), Technische Universität München (TUM) and Technische Universität München (TUM) - Department of Financial Management and Capital MarketsTechnische Universität München (TUM), Students
Downloads 337 (149,496)

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

24.

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 329 (153,311)

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