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

  • Robeco Asset Management - Quantitative Strategies

  • Technische Universität München (TUM)

SCHOLARLY PAPERS

14

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16,440

SSRN CITATIONS
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SSRN RANKINGS

Top 31,535

in Total Papers Citations

11

CROSSREF CITATIONS

10

Scholarly Papers (14)

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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
Robeco Asset Management - Quantitative Strategies, Technische Universität München (TUM) and University of Marburg - School of Business & Economics
Downloads 4,750 (1,725)
Citation 9

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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

9.

Is Japan Different? Evidence on Momentum and Market Dynamics

Downloads 510 ( 56,453)
Citation 1

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