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 Institutional Asset Management

Executive Director Quant Research

Weena 850

Rotterdam, 3014 DA

Netherlands

http://www.robeco.com/en-int/about-us/matthias-hanauer

  • Technische Universität München (TUM)

  • Robeco Institutional Asset Management

SCHOLARLY PAPERS

28

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73,609

TOTAL CITATIONS
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Top 11,527

in Total Papers Citations

119

Scholarly Papers (28)

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1.

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

WP version of Financial Analysts Journal, 2023, 79(4): 96-117. https://doi.org/10.1080/0015198X.2023.2173492
Number of pages: 36 Posted: 01 Jun 2022 Last Revised: 15 Dec 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 8,498 (1,625)
Citation 5

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

2.

Factor Zoo (.zip)

The Journal of Portfolio Management, Quantitative Special Issue 2024, 50 (3) 11-31 DOI: 10.3905/jpm.2023.1.561
Number of pages: 36 Posted: 15 Nov 2023 Last Revised: 26 Apr 2024
Alexander Swade, Matthias X. Hanauer, Harald Lohre and David Blitz
State Street Global Markets - State Street Associates, Technische Universität München (TUM), Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 7,946 (1,810)
Citation 4

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Factor zoo, factor model, factor investing, alpha, GRS test

3.

Formula Investing

Number of pages: 33 Posted: 13 Dec 2024
Marcel Schwartz and Matthias X. Hanauer
Technical University Munich and Technische Universität München (TUM)
Downloads 6,263 (2,705)

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Quantitative Investing, F-Score, Magic Formula, Acquirer's Multiple, Conservative Formula JEL Classification: G11

4.

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 6,015 (2,917)
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

5.

Enhanced Momentum Strategies

Journal of Banking and Finance, Forthcoming
Number of pages: 67 Posted: 19 Aug 2019 Last Revised: 27 May 2024
Matthias X. Hanauer and Steffen Windmüller
Technische Universität München (TUM) and Technische Universität München (TUM) - School of Management
Downloads 5,177 (3,776)
Citation 11

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Anomalies, Asset pricing, Momentum, International stock markets

6.

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), Northern Trust Corporation - Northern Trust Asset Management and Robeco Quantitative Investments
Downloads 5,165 (3,792)
Citation 8

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

7.

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 Northern Trust Corporation - Northern Trust Asset Management
Downloads 4,314 (5,154)
Citation 26

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asset pricing, idiosyncratic momentum, momentum crashes, risk management

8.

Design choices, machine learning, and the cross-section of stock returns

Number of pages: 43 Posted: 02 Dec 2024 Last Revised: 14 Feb 2025
Minghui Chen, Matthias X. Hanauer and Tobias Kalsbach
Technische Universität München (TUM) - Department of Financial Management and Capital Markets, Technische Universität München (TUM) and Technische Universität München (TUM)
Downloads 4,102 (5,575)

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Machine learning, stock returns, design choices, non-standard errors, portfolio performance

9.

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 Abu Dhabi Investment Authority
Downloads 3,805 (6,326)
Citation 4

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

10.

A Comparison of Global Factor Models

Number of pages: 70 Posted: 02 Mar 2020 Last Revised: 05 Jul 2024
Matthias X. Hanauer
Technische Universität München (TUM)
Downloads 3,507 (7,236)
Citation 4

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

11.

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 2,769 (10,492)
Citation 17

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

12.

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 2,176 (15,483)

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

13.

Does Earnings Growth Drive the Quality Premium?

Number of pages: 47 Posted: 13 Jun 2016 Last Revised: 27 May 2024
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 2,019 (17,417)

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

14.

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 1,812 (20,690)
Citation 7

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15.

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 1,036 (47,292)

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

16.

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 993 (50,220)

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informed short selling, anchoring bias, market efficiency

17.

Factor models for Chinese A-shares

Number of pages: 58 Posted: 10 Sep 2021 Last Revised: 18 Oct 2023
Matthias X. Hanauer, Maarten Jansen, Laurens Swinkels and Weili Zhou
Technische Universität München (TUM), Robeco Quantitative Investments, Erasmus University Rotterdam (EUR) and Robeco Institutional Asset Management
Downloads 931 (54,932)
Citation 2

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

18.

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 931 (54,932)
Citation 2

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

19.

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 816 (65,797)
Citation 8

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

20.

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 794 (68,181)
Citation 3

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

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 776 (70,290)

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

22.

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 762 (72,052)
Citation 5

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

23.

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 716 (78,102)
Citation 3

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

24.

Do Machine Learning Models Need to Be Sector Experts?

Number of pages: 48 Posted: 06 May 2025
Matthias X. Hanauer, Amar Soebhag, Marc Stam and Tobias Hoogteijling
Technische Universität München (TUM), Erasmus University Rotterdam (EUR) - Department of Business Economics, Tilburg University and Robeco Quantitative Investments
Downloads 702 (99,817)

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Asset pricing, return predictability, machine learning

25.

The Volatility Effect in China

Journal of Asset Management, Forthcoming
Number of pages: 20 Posted: 19 Jan 2021 Last Revised: 27 May 2024
David Blitz, Matthias X. Hanauer and Pim van Vliet
Robeco Quantitative Investments, Technische Universität München (TUM) and Robeco Quantitative Investments
Downloads 558 (107,315)

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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

26.

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 375 (171,781)

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

27.

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 371 (173,835)

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

28.

Model complexity and the performance of global versus regional models

Number of pages: 16 Posted: 07 May 2025
Minghui Chen, Matthias X. Hanauer and Tobias Kalsbach
Technische Universität München (TUM) - Department of Financial Management and Capital Markets, Technische Universität München (TUM) and Technische Universität München (TUM)
Downloads 280 (251,826)

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Machine learning, return prediction, cross-section of stock returns, integrated pricing