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

• Machine Learning and The Cross-Section of Emerging Market Stock Returns,
  2022, with Tobias Kalsbach
• Beyond Fama-French Factors: Alpha from Short-Term Signals,
  2022, with David Blitz, Iman Honarvar, Rob Huisman, and Pim van Vliet 
• Factor models for Chinese A-shares,
  2022, with Maarten Jansen, Laurens Swinkels, and Weili Zhou
• Surprise in Short Interest,
  2022, with Esad Smajlbegovic, and Pavel Lesnevski
• A Comparison of Global Factor Models, 2020

Selected Publications

• 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

• "The problem with momentum ETFs"
• "The Size Effect Didn't Disappear. It Never Existed"
• "Quants Find No Premium From Small Stocks"
• "Robeco and the factor zoo: sort the wheat from the chaff"
• "Kritiker des Fünf-Faktor-Modells"
  • in: Institutional Money, 2/2017, p. 114.
• "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"
  • in: Börsen-Zeitung, 211/2014, p. 2.
• "How a team's performance influences its share price"
  • Press review
  • n-tv video

Office hours 

• By appointment

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.