Florian Weigert
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Weigert
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Florian
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+41 71 224 7014
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Publication

Option Return Predictability with Machine Learning and Big Data

2023 , Bali, Turan G. , Beckmeyer, Heiner , Mörke, Mathis Rudolf Werner , Weigert, Florian

Drawing upon more than 12 million observations over the period from 1996 to 2020, we  nd that allowing for nonlinearities signi cantly increases the out-of-sample performance of option and stock characteristics in predicting future option returns. The nonlinear machine learning models generate statistically and economically sizeable pro ts in the long-short portfolios of equity options even after accounting for transaction costs. Although option-based characteristics are the most important standalone predictors, stock-based measures o er substantial incremental predictive power when considered alongside option-based characteristics. Finally, we provide compelling evidence that option return predictability is driven by informational frictions and option mispricing.

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Crash Sensitivity and Cross-Section of Expected Stock Returns

2018 , Chabi-Yo, Fousseni , Ruenzi, Stefan , Weigert, Florian

This paper examines whether investors receive compensation for holding crash-sensitive stocks. We capture the crash sensitivity of stocks by their lower tail dependence (LTD) with the market based on copulas. We find that stocks with weak LTD serve as a hedge during crises, but, overall, stocks with strong LTD have higher average future returns. This effect cannot be explained by traditional risk factors and is different from the impact of beta, downside beta, coskewness, and cokurtosis. Our findings are consistent with results from the empirical option pricing literature and support the notion that investors are crash-averse.

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Publication

Does female management influence firm performance? Evidence from Luxembourg banks

2016-05 , Reinert, Regina , Weigert, Florian , Winnefeld, Christoph

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Publication

Extreme Weather Risk and the Cost of Equity

2023-09 , Julia Braun , Alexander Braun , Florian Weigert

We examine if extreme weather exposure impacts firms’ cost of equity. Motivated by a consumption-based asset pricing model with heterogeneous agents, we reveal the exis- tence of an extreme weather risk premium in the cross-section of stock returns. In the period from 1995 to 2019, domestic U.S. stocks with the most negative sensitivity to thunderstorm losses earned excess returns of 6.5% p.a. over those with the most posi- tive sensitivity. This premium can neither be explained by risk factors from standard asset pricing models nor by firm characteristics. Our results reveal a novel link between climate risk and firm value.

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Publication

Multivariate crash risk

2022 , Chabi-Yo, Fousseni , Huggenberger, Markus , Weigert, Florian

This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH, and we empirically confirm that stocks with high MCRASH earn significantly higher future returns than stocks with low MCRASH. The premium is not explained by linear factor exposures, alternative downside risk measures, or stock characteristics. Extending market-based definitions of crash risk to other well-established factors helps to determine the cross-section of expected stock returns without further expanding the factor zoo.

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Publication

Tail Risk in Hedge Funds : A Unique View from Portfolio Heldings

2017-09 , Agarwal, Vikas , Ruenzi, Stefan , Weigert, Florian

We develop a new tail risk measure for hedge funds to examine the impact of tail risk on fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns, and investments in both, tail-sensitive stocks as well as options, drive tail risk. Moreover, managerial incentives and discretion as well as exposure to funding liquidity shocks are important determinants of tail risk. We find evidence that is consistent with funds being able to time tail risk exposure prior to the recent financial crisis.

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Publication

Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide

2016 , Weigert, Florian

This paper examines whether investors receive compensation for holding stocks with a strong sensitivity to extreme market downturns in a sample covering forty countries. Worldwide, stocks with strong crash sensitivity deliver average returns of more than 7% p.a. higher than stocks with weak crash sensitivity. The effect is robust across geographical subsamples and is not explained by systematic risk factors and alternative firm characteristics. I show that the risk premium is particularly pronounced in countries that display negative market skewness, high income per capita, and rank high on Hofstede's individualism index.

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Publication

The Impact of Regulatory Stress Testing on Bank's Equity and CDS Performance

2018-05-17 , Ahnert, Lukas , Vogt, Pascal , Vonhoff, Volker , Weigert, Florian

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Publication

Does Foreign Information Predict the Returns of Multinational Firms Worldwide?

2017-10 , Finke, Christian , Weigert, Florian

We investigate whether value-relevant foreign information only gradually dilutes into stock prices of multinational firms worldwide. Using an international sample of firms from 22 developed countries, we find that a portfolio strategy based on firms' foreign sales information yields future returns of more than 10% p.a. globally. The return spread due to foreign information is substantial across different geographical regions and cannot be explained by traditional risk factors, firm characteristics, and industry momentum. Our results are in line with limited attention of investors being the main driver of this effect worldwide.

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Publication

An Empirical Analysis of Multivariate Copula Models

2009 , Fischer, Matthias , Köck, Christian , Schlüter, Stephan , Weigert, Florian

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