Dr. Matthias X. Hanauer, CFA
Contact
Phone: +49 89 289 28143
E-mail: matthias.hanauer[at]tum.de
Matthias is a postdoctoral researcher at the Technical University of Munich (TUM). His research interests are mainly in the area of empirical asset pricing with a focus on international factor premia, factor models, and factor definitions. Matthias is a director at Robeco’s Quant Equity Selection Research team. He holds a PhD in finance from the Technical University of Munich and is a CFA® charterholder.
Together with Steffen Windmüller, Matthias hosts the website https://www.globalfactorpremia.org/ on which they provide and visualize monthly returns for twelve common factors for various international markets.
Current Working Papers
- The Term Structure of Machine Learning Alpha, 2023
with David Blitz, Tobias Hoogteijling, and Clint Howard - Factor models for Chinese A-shares, 2022
with Maarten Jansen, Laurens Swinkels, and Weili Zhou - A Comparison of Global Factor Models, 2020
Selected Publications
- Surprise in Short Interest,
with Esad Smajlbegovic and Pavel Lesnevski, Journal of Financial Markets, 2023 - Machine Learning and The Cross-Section of Emerging Market Stock Returns,
with Tobias Kalsbach, Emerging Markets Review, 2023 - Beyond Fama-French Factors: Alpha from Short-Term Signals,
with David Blitz, Iman Honarvar, Rob Huisman, and Pim van Vliet, Financial Analysts Journal, 2023 - Enhanced Momentum Strategies,
with Steffen Windmüller, Journal of Banking & Finance, 148, 2023. - Boosting Agnostic Fundamental Analysis: Using Machine Learning to Identify Mispricing in European Stock Markets,
with Marc Steffen Rapp, and Marina Kononova, Finance Research Letters, 48, 2022. - Resurrecting the Value Premium,
with David Blitz, Journal of Portfolio Management, 47 (2), 2021 (pdf). - Does earnings growth drive the quality premium?,
with Georgi Kyosev, Joop Huij, and Simon Lansdorp, Journal of Banking & Finance, 114, 2020. - The cross-section of emerging market stock returns,
with Jochim G. Lauterbach, Emerging Markets Review, 38, 2019. - Five concerns with the five-factor model,
with David Blitz, Milan Vidojevic, and Pim Van Vliet, Journal of Portfolio Management, 44 (4), 2018.
Full list of publications and working papers
- Google scholar profile
- To assess my latest research visit SSRN.
Data
- Global factor premia (vizualization under https://www.globalfactorpremia.org/, download here)
- Fama-French/Carhart Factors for the German Stock Market (based on CDAX)
Awards
- ACATIS Value Prize (2021, 2020, 2019, and 2014)
- University Prize of Deutsches Aktieninstitut (DAI) 2010
Selected Press Reports
- Fußballaktien als Lottospiel (Frankfurter Allgemeine Zeitung)
- Is it time to give GICS a kick with an AI-powered shake-up? (Citywire)
- The last gasp of the meme-stock era (The Economist)
- Machine Learning and The Cross-Section of Emerging Market Stock Returns (Alpha Architect)
- The problem with momentum ETFs (ETF Stream)
- The Size Effect Didn't Disappear. It Never Existed (Bloomberg)
- Is the size factor broken? No, it never existed in the first place (ETF Stream)
- Quants Find No Premium From Small Stocks (Institutional Investor)
- Robeco and the factor zoo: sort the wheat from the chaff (Investor Strategy News)
- Kritiker des Fünf-Faktor-Modells (Institutional Money)
- "Einfach währt am längsten", based on ACATIS Value prize award, see also press release
- Feature, in: Börse Online, 47/2014, p. 39.
- Feature, in: Euro Magazin, 12/2014, p. 115.
- Capital Asset Pricing Model sollte erweitert werden (Börsen-Zeitung)
- How a team's performance influences its share price
Disclosure
Matthias also works as a senior researcher at Robeco’s Quant Selection Research team. Robeco is an investment management firm that among other strategies also offers active factor investing strategies.