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

13

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Scholarly Papers (13)

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 4,575 (1,701)

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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 Asset Management - Quantitative Strategies, Robeco Asset Management - Quantitative Strategies, VU University Amsterdam, Finance and Robeco Asset Management - Quantitative Investing
Downloads 2,560 (4,641)

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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 Asset Management - Quantitative Strategies, Robeco Asset Management - Quantitative Strategies and VU University Amsterdam, Finance
Downloads 2,284 (5,628)

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asset pricing, idiosyncratic momentum, momentum crashes, risk management

4.

Does Earnings Growth Drive the Quality Premium?

Number of pages: 38 Posted: 13 Jun 2016 Last Revised: 13 Jun 2018
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 1,002 (21,126)

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

5.

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 627 (40,590)

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

6.

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 573 (45,748)

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

7.

Constructing a Powerful Profitability Factor: International Evidence

Number of pages: 56 Posted: 28 Aug 2018 Last Revised: 03 Oct 2018
Matthias X. Hanauer and Daniel Huber
Robeco Asset Management - Quantitative Strategies and Technische Universität München (TUM)
Downloads 512 (52,751)

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Factor models, Profitability, International Markets, Anomalies

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 495 (54,446)

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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 (671,144)
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9.

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 382 (75,418)

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

10.

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 339 (86,656)

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

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 329 (89,606)

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

12.

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 263 (113,959)

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

13.

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 249 (120,627)

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