HomeWho 's who

Dr. Lars Kaiser

Assistant Professor
Chair in Business Administration, Banking and Financial Management
Current Activity
My primary research focus is on responsible investing and in particular on effective ESG integration for established investment strategies.

Research Fields
> Emirical Asset Pricing
> Portfoliomanagement
> Responsible & Value Investing

Working Papers
> ESG Integration: Value, Growth and Momentum
> Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns
> Dynamic Indexes: Equity Rotation and Factor Timing
> Asset Allocation by Investment Professionals: Integration or Segmentation?

CV
Link

External Resources
LinkedIn, SSRN, Google Scholar, ResearchGate
Portrait
Corporate Social Responsibility and Risk: Perspectives on Materiality, Trust and Investor Preferences
FFF-Förderprojekt, June 2018 until May 2021

This study contributes to the academic literature on CSR and ESG risk materiality. By disentangling aggregated ESG ratings according to their underlying key performance indicators (KPI) and ... more ...

Evidence on the link between value and sustainable investing
FFF-Förderprojekt, September 2016 until August 2018 (finished)

The research project at hand can generally be assigned to the field of fundamental investment management and combines non-financial issues in the form of ESG factors with the classical ... more ...

Measures of cross-sectional dispersion in international stock returns
internes Projekt, June 2015 until June 2018

Time-series volatility is a long standing and well established measure of risk for both individual stocks and the market as such. However, the fact that volatility is time variant is not the sole set ... more ...

The Impact of Deposit Insurance on European Depositor Behavior in a Banking Crisis
Netzwerkprojekt, April 2014 until April 2016

The basic objective of this study is to test whether the monitoring activity of the European professional - defined as one with a meaningful level of financial knowledge - could be affected by ... more ...

Quantitative Investment Management and Portfolio Optimisation
PhD-Thesis, March 2011 until February 2015 (finished)

Overall, the proposed dissertation project aims to contribute to academic literature by identifying research gaps in the field of quantitative investment management and answering the respective by ... more ...

  • Kaiser, L., & Stöckl, S. (in press). Cryptocurrencies: Herding and the Transfer Currency. Finance Research Letters. (ABDC_2016: B; ABS: 2; ISI: 0.842; ISI: 0.762; VHB_3: B)

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  • Kaiser, L., & Welters, J. (in press). Risk Mitigating Effect of ESG on Momentum Portfolios. Journal of Risk Finance, 14. (ABDC_2016: C; ABS: 1; VHB_3: B)

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  • Kaiser, L., & Schaller, F. (2019). Environmentally (Un-) Friendly Portfolio Construction. Journal of Investment Consulting, 19(1).

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  • Kaiser, L. (2019). Seasonality in Cryptocurrencies. Finance Research Letters, 31. (ABDC_2016: B; ABS: 2; ISI: 0.842; ISI: 0.762; VHB_3: B)

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  • Angerer, M., Dünser, M., Kaiser, L., Peter, G., Stöckl, S., & Veress, A. (2019). What drives our Beer Consumption? In Search of Nutrition Habits and Demographic Patterns. Applied Economics, 51(41), 4539-4550. (ABDC_2016: A)

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  • Kaiser, L. (2018). International Equity Indices and Public Trust. Journal of Investing, 27(2), 76-89. (ABDC_2016: B)

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  • Kaiser, L., Fleisch, M., & Salcher, L. (2018). Bias and Misrepresentation Revisited: Perspective on Major Equity Indices. Finance Research Letters, 26, 223-229. (ABDC_2016: B; ABS: 2; ISI: 0.842; ISI: 0.762; VHB_3: B)

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  • Veress, A., & Kaiser, L. (2017). Forecasting Quality of Professionals: Does Affiliation Matter? Quarterly Review of Economics and Finance, 66, 159-168. (ABDC_2016: B; ABS: 2; ISI: 0.104; VHB_3: B)

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  • Kaiser, L. (2017). Portfolio concentration and equity market contagion: evidence on the “flight to familiarity” across indexing methods. Journal of Investment Strategies, 7(1), 1-20.

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  • Kaiser, L., Veress, A., & Menichetti, M. J. (2014). Enhanced Mean-Variance Portfolios: A Controlled Integration of Quantitative Predictors. Journal of Portfolio Management, 40(4), 28-41. (ABDC_2016: A; ABS: 2; ISI: 0.659; ISI: 0.41; VHB_3: B)

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  • Kaiser, L. (2014). Value Investing with Firm Size Restrictions: Evidence for the German Stock Market. International Journal of Economics and Finance, 6(6), 14-29.

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  • Kaiser, L., Veress, A., & Menichetti, M. J. (2014). Practical Applications of Enhanced Mean-Variance Portfolios: A Controlled Integration of Quantitative Predictors. Institutional Investor Journals, 2(2), 30-34.

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  • Menichetti, M. J., Kaiser, L., & Veress, A. (2013). The Exchange Rate Dimension in International Asset Allocation - Lessons learned from the current financial crisis. In D. Hummel (Ed.), The Euro-Financial-Crisis – Impacts on Banking, Capital Markets, and Regulation. Report of the International Workshop in Potsdam on July 20/21, 2012 (pp. 85 -101). Potsdam, Germany: University of Potsdam Press.

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  • Kaiser, L. (2011). Black-Litterman Portfolio Optimisation: An Application to the German and Swiss Stock Market. In M. Ilg & K. Rheinberger (Eds.), Value Day 2011 - Aktuelle Entwicklungen in Controlling & Finance (Vol. 1, pp. 119-130). Berlin: wvb Wissenschaftlicher Verlag Berlin.

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  • Kaiser, L. (2019). ESG Integration: Value, Growth and Momentum. Paper presented at the 3rd Conference on CSR, the Economy and Financial Markets, Dusseldorf (Germany).

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  • Kaiser, L. (2018). ESG Integration: Value, Growth and Momentum. Paper presented at the 17th Colloquium on Financial Markets, Cologne (Germany).

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  • Kaiser, L. (2018). ESG Integration: Value, Growth and Momentum. Paper presented at the Frontiers of Factor Investing, Lancaster (UK).

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  • Kaiser, L. &. (2018). Dynamic Indexes: Equity Rotation and Factor Timing. Paper presented at the SGF Conference 2018, Zurich (Switzerland).

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  • Kaiser, L. (2018). ESG Integration: Value, Growth and Momentum. Paper presented at the INQUIRE Europe Autumn Seminar, Budapest (Hungary).

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  • Kaiser, L. (2018). Responsible Investing: An Academic Perspective. Paper presented at the Client Event by ABG Sundal Collier, Copenhagen (Denmark).

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  • Stöckl, S., & Kaiser, L. (2017). Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns. Paper presented at the SGF Conference 2017, Zurich (Switzerland).

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  • Kaiser, L. (2017). Dynamic Indexes: Equity Rotation and Factor Timing. Paper presented at the Citi's Annual Global Quant Conference, Budapest (Hungary).

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  • Kaiser, L. (2017). Asset Allocation by Investment Professionals: Integration or Segmentation?. Paper presented at the 2017 European FMA Conference, Lisbon (Portugal).

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  • Kaiser, L. (2017). Style, Momentum and ESG Investing. Paper presented at the Green Summit 2017 - Sustainability Forum Liechtenstein, Vaduz, Liechtenstein.

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  • Kaiser, L. (2017). Style, Momentum and ESG Investing. Paper presented at the Green Summit 2017 - Sustainability Forum Liechtenstein, Vaduz, Liechtenstein.

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  • Kaiser, L. (2017). Style, Momentum and ESG Investing. Paper presented at the 32. Workshop der Austrian Working Group on Banking and Finance, Obergurgl, Austria.

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  • Kaiser, L. (2017). Style, Momentum and ESG Investing. Paper presented at the 2017 Paris Financial Management Conference, Paris, France.

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  • Kaiser, L. (2016). Closing the gap between equal and value-weighting. Paper presented at the 23rd Forecasting Financial Markets, Hannover (Germany).

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  • Kaiser, L. (2016). Asset Allocation by Investment Professionals: Integration or Segmentation?. Paper presented at the 31. Workshop der Austrian Working Group on Banking and Finance, Universität Klagenfurt.

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  • Kaiser, L., & Stöckl, S. (2016). The Economic Benefit of Forecasting Market Components for Mean-Variance Investors. Paper presented at the 31. Workshop of the Austrian Working Group on Banking and Finance, Klagenfurt (Austria).

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  • Kaiser, L. (2015). Categorical Evaluation of Alternative Index Weighting Schemes. Paper presented at the 2015 FMA European Conference, Venice (Italy).

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  • Kaiser, L. (2014). Value Investing with Firm Size Restrictions: Evidence for the German Stock Market. Paper presented at the Eastern Finance Association Annual Meeting, Pittsburgh (US).

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  • Kaiser, L., Veress, A., & Menichetti, M. (2013). Enhanced optimal portfolios - A controlled integration of quantitative predictors. Paper presented at the Eastern Finance Association Annual Meeting, St. Pete Beach (Florida, US).

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  • Angerer, M., Dünser, M., Kaiser, L., Peter G., Stöckl, S., & Veress, A. (2013). What drives our beer consumption? - In search of nutrition habits and demographic patterns. Paper presented at the 3rd Beeronomics Conference 2013, York (United Kingdom).

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  • Kaiser, L. (2013). Value Investing with Firm Size Restrictions: Evidence for the German Stock Market. Paper presented at the Internationales Doktorandenseminar in Banking 2013, Augsburg (Germany).

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  • Kaiser, L. (2013). Value Investing with Firm Size Restrictions: Evidence for the German Stock Market.. Paper presented at the International Doctoral Seminar in Banking. University of Fribourg, Fribourg (Switzerland).

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  • Kaiser, L. (2013). Enhanced optimal portfolios - A controlled integration of quantitative predictors. Paper presented at the Quantitiative & Asset Management Workshop 2013, Venice (Italy).

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  • Kaiser, L. (2013). Enhanced optimal portfolios - A controlled integration of quantitative predictors. Paper presented at the Quantitative and Asset Management Workshop, Venice (Italy).

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  • Kaiser, L., Veress, A., & Menichetti, M. J. (2012). Enhanced optimal portfolios - A controlled intergration of quantitative predictors. Paper presented at the 29th GdRE Annual International Symposium on Money, Banking and Finance, Nantes (France).

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  • Kaiser, L., Veress, A., & Menichetti, M. (2012). Enhanced optimal portfolios - A controlled integration of quantitative predictors. Paper presented at the 2012 International Doctoral Seminar, Fribourg (Switzerland).

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  • Kaiser, L., Veress, A., & Menichetti, M. J. (2012). Enhanced optimal portfolios - A controlled integration of quantitative predictors. Paper presented at the 25th Australasian Banking and Finance Conference, Sydney (Australia).

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  • Kaiser, L., Veress, A., & Menichetti, M. J. (2012). Enhanced optimal portfolios - A controlled integration of quantitative predictors. Paper presented at the 2012 Auckland Finance Meeting, Auckland (New Zealand).

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  • Kaiser, L., Veress, A., & Menichetti, M. J. (2012). Enhanced Mean-Variance Portfolios: A Controlled Integration of Quantitative Predictors. Paper presented at the Research Seminar at City University Hong Kong, Hong Kong.

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  • Kaiser, L. (2011). Black-Litterman Potfolio Optimisation: An Application to the German and Swiss Stock Market. Paper presented at the Value Day 2011, Dornbirn (Austria).

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  • Stöckl, S., & Kaiser, L. (2017). Higher moments matter! Cross-sectional (higher) moments and the predictability of stock returns. University of Liechtenstein.

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  • Kaiser, L. (2017). ESG Integration: Value, Growth and Momentum. University of Liechtenstein.

    more
  • Kaiser, L. (2016). Dynamic Indexes: Equity Rotation and Factor Timing. Universität Liechtenstein.

    more
  • Kaiser, L. (2016). Asset Allocation by Investment Professionals: Integration or Segmentation?. Universität Liechtenstein.

    more
  • Kaiser, L., & Stöckl, S. (2016). The Economic Benefit of Forecasting Market Components for Mean-Variance Investors. University of Liechtenstein.

    more
  • Kaiser, L. (2012). Mitigating the Principal - Agent Problem in Delegated Portfolio Management. University of Liechtenstein.

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  • Kaiser, L. (2010). Black-Litterman Portfolio Optimisation: An Application to the German and Swiss Stock Market. , Universität Liechtenstein, Vaduz.

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  • Kaiser, L. (2010). Black-Litterman Portfolio Optimisation: An Application to the German and Swiss Stock Market. Unpublished Master Thesis, University of Liechtenstein, Vaduz.

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  • Kaiser, L. (2015). Ansätze zur Portfoliostrukturierung: Smart Beta. Liechtenstein Live, Vaduz.

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