Phone: +49 89 289 28143
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 also works as a senior researcher 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 Volatility Effect in China, 2021, with David Blitz, and Pim van Vliet
- Surprise in Short Interest, 2020, with Esad Smajlbegovic, and Pavel Lesnevski
- A Comparison of Global Factor Models, 2020
- Enhanced Momentum Strategies, 2020, with Steffen Windmüller
- 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
- Global factor premia (vizualization under https://www.globalfactorpremia.org/, download here)
- Fama-French/Carhart Factors for the German Stock Market (based on CDAX)
- ACATIS Value Prize 2020
- ACATIS Value Prize 2019
- ACATIS Value Prize 2014
- University Prize of Deutsches Aktieninstitut (DAI) 2010
Selected Press Reports
- "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.
- "König Fußball an der Börse - Den Aktienkurs spielend beeinflussen"
- By appointment
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.