Fields of Research Interest

  • Asset Pricing, Asset Management, Hedge Funds, Factor Investing, Quantitative Investment Strategies
  • Behavioral Finance, Sustainable Finance

Current Research Projects

Factor-based Investment Strategies, Investor Behavior and Market Timing, Corporate Governance

Publications, Book Contributions and Working Papers

  1. Residual Equity Momentum Spillover in Global Corporate Bond Markets, 2019 , Journal of Fixed Income, 28 (3), 46-54. 
  2. Extending Fama-French Factors to Corporate Bond Markets, 2019, Journal of Portfolio Management, 45 (3), 141-158. 
  3. The Low Beta Anomaly: A Corporate Bond Investor's Perspective, 2018 , Review of Financial Economics, 36 (4), 300-306. 
  4. Exploiting Uncertainty with Market Timing in Corporate Bond Markets, 2018, Journal of Asset Management 19 (2), 79-92.      
  5. ESG Factors in Corporate Bond Returns: Perspectives for Academic Research and Investors, 2017, Journal of Environmental Law and Policy 40 (4), 293-298.
  6. Common Equity Factors in Corporate Bond Markets, 2017, Chapter in "Factor Investing ", ISTE Press - Elsevier, 207-226. 
  7. Systematic or Idiosyncratic? Spillover Effects in Corporate Bond Markets and Portfolio Implications, 2017, Working Paper.

Media

Faktorensuche für die Rendite - Quantitative Kapitalmarktforschung

https://www.deka-institutionell.de/de/artikel-trends/forschung-fuer-die-kapitalmaerkte-forschung-fuer-die-praxis-iq-kap-1279.html

 

Liquidity snarls progress on factor investing in credit, Risk.net, 24.10.2017

(see below for download)

 

Extending Fama-French Factors to Corporate Bond Markets, Spängler IQAM Investment Talk, 14.06.2017

https://www.spaengler-iqam.at/sys/download/global/list/talk/document/2017_06_14_Investment_Talk_Amit_Goyal.pdf/

 

Fama-French-Faktoren für Unternehmensanleihen, Absolute research, 21.03.2016

https://www.absolut-research.de/news/detail/n/fama-french-faktoren-fuer-unternehmensanleihen/

Risk.net article - Liquidity snarls progress on factor investing in credit
risk.net_asset-management_5347591_liquid[...]
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