uni.liPersonenverzeichnis

Dipl.-Ing. Mag. Dr. Sebastian Stöckl

Assistenzprofessor
Lehrstuhl für Finance
Tätigkeit
  • Lehre in den konsekutiven und Weiterbildungs-Studiengängen
  • Präsident des Mittelbauvorstandes
  • Externer Dozent am MCI Innsbruck und an der Ramkhamhaeng Universität Bangkok, Thailand (früher: Universität Innsbruck)
  • Organisator des Finance Research Seminars

News:

Aktuelle Informationen, Working Papers und meinen Lebenslauf finden Sie auf meiner persönlichen Webseite (Englisch): www.sebastianstoeckl.com

    Forschungsgebiete:
    • Unsicherheit (Finanzmarkt-/Politische/Ökonomische)
    • Innovation Finance (Kryptowährungen, Machine Learning, Artificial Intelligence)
    • Pension Finance (Lebenszyklusoptimierung)
    • Empirical Asset Pricing (Cross-sectional/Aggregate)
    • Portfolio Management (Quantitative and Empirical)
    • Risk Management (Portfoliorisiko, Risikomaße)
    • Parameter/Model Uncertainty (Robust Portfolios, Ambiguity Aversion)
    Ausbildung
    seit 2015

    Doctor of Philosophy in Economics
    Universität Innsbruck, AT

    seit 2011

    European Summer School of Financial Mathematics
    ETH Zurich, CH

    2011 — 2013

    PhD Kurse
    Real Options / Università della Svizzera Italiana, CH
    Discrete Time Theory of Finance / Universität Konstanz, DE
    Behavioural Portfolio Theory / Universität Zürich, CH

    seit 2010

    Advanced Risk and Portfolio Management Bootcamp
    Baruch College / New York, US

    seit 2007

    Certified Financial Risk Manager
    Global Association of Risk Professionals

    seit 2007

    Master in Business Administration
    Universität Innsbruck, AT

    seit 2007

    Dipl.-Ing. of technical Mathematics
    University of Innsbruck, AT

    Werdegang
    seit 2015

    Assistenzprofessor am Lehrstuhl für Finance
    Institut für Finanzdienstleistungen
    Universität Liechtenstein, FL

    seit 2012

    Gastdozent
    MCI Management Center Innsbruck, AT

    2012 — 2014

    Wissenschaftlicher Mitarbeiter
    im FWF-Projekt "Wertorientiertes IT-Portfoliomanagement"
    Institut für Wirtschaftsinformatik, Produktionswirtschaft und Logistik
    Universität Innsbruck, AT

    seit 2011

    Gastdozent
    Ramkhamhaeng Universität / Bangkok, TH

    2010 — 2015

    Wissenschaftlicher Mitarbeiter (Doc/Postdoc)
    am Lehrstuhl für Finance, Institut für Finanzdienstleistungen
    Universität Liechtenstein, FL

    2010 — 2011

    Lehrbeauftragter in Investition und Finanzierung
    Institut für Banken und Finanzen
    Universität Innsbruck, AT

    seit 2008

    Praktikum
    Credit Portfolio Management
    Credit Suisse Group / Zürich, CH

    2008 — 2009

    Research Assistant
    Porsche Automobil Holding SE (Finanzmanagement) / Stuttgart, DE

    2006 — 2007

    Tutor
    Mathematik für Wirtschaftswissenschaftler
    Universität Innsbruck, AT

    Auslandsaufenthalte
    2005 — 2006

    Austauschsemester
    Universität von Kantabrien / Santander, ES

    Auszeichnungen
    seit 2015

    Forschungspreis des Fürstentum Liechtensteins
    für Nachwuchsforschende der Universität Liechtenstein

    seit 2012

    Förderungsstipendium
    Universität Innsbruck, AT

    Mitgliedschaften
    seit 2010

    Global Association of Risk Professionals

    seit 2010

    American Finance Association

    Chipkartenfoto
    Parameter Uncertainty: Measurement and resulting implications for portfolio management
    FFF-Förderprojekt, Dezember 2018 bis November 2019

    Dieses Projekt dreht sich um die zentrale Frage, wie mit der Unsicherheit von Schätzparametern bei Investitionsprozessen umgegangen werden soll. Im ersten Teil wird eine bereits existierende Studie ... mehr

    Understanding Pensions in Europe
    ERASMUS, September 2016 bis August 2019

    Ziel dieses Projektes ist die Entwicklung von Online Kursen und einer Software zur individuellen Pensionsplanung für zwei unterschiedliche Zielgruppen: a) Studierende relevanter Studienrichtungen im ... mehr

    A Risk Index for Global Private Investors
    internes Projekt, März 2016 bis März 2019

    In this project, we construct a series of risk indices for global private investors (a global, european, north american and asian version). These risk indices will reflect the overall risk of typical ... mehr

    Measures of cross-sectional dispersion in international stock returns
    internes Projekt, Juni 2015 bis Juni 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 ... mehr

    The influence of risk and return perception on financial risk taking
    FFF-Förderprojekt, Juni 2011 bis Februar 2014 (abgeschlossen)

    We will investigate the role of risk taking in the human decision making process within the context of investments. A lot of theoretical and experimental research has been conducted in the last 50 ... mehr

    • 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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    • 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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    • Angerer, M., Peter, G., Stöckl, S., Wachter, T., Bank, M., & Menichetti, M. (2018). Bid-Ask Spread Patterns and the Optimal Timing for Discretionary Liquidity Traders on Xetra. Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung (ZfbF), 70(3), 209-230. (VHB_3: B)

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    • Stöckl, S., Hanke, M., & Angerer, M. (2017). PRIX - A risk index for global private investors. The Journal of Risk Finance, 18(2), 214-231. (ABDC_2016: C; ABS: 1; VHB_3: B)

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    • Müller, M., Stöckl, S., Zimmermann, S., & Heinrich, B. (2016). Decision Support for IT Investment Projects - A Real Option Analysis Approach Based on Relaxed Assumptions. Business & Information Systems Engineering (BISE), 58(6), 381-396. (ABDC_2016: A; ABS: 2; ISI: 3.248; ISI: 3.392; VHB_3: B)

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    • Stöckl, S., & Hanke, M. (2014). Financial Applications of the Mahalanobis Distance. Applied Economics and Finance, 1(2), 78-84. (ABDC_2016: A)

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    • Stöckl, S. (2009). Die Riemannsche Vermutung. In M. Wohlgemuth (Ed.), Mathematisch für Anfänger (2 ed., pp. 277-290): Spektrum Verlag.

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    • Stöckl, S., & Rode, M. (2019). Political Populism and Financial Markets. Paper presented at the Annual Meeting of the European Public Choice Society 2019, Jerusalem, Israel.

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    • Gächter, M., Geiger, M., & Stöckl, S. (2019). Financial Distress and the Transmission of Macroeconomic Uncertainty: International Evidence. Paper presented at the 23nd International Conference on Macroeconomic Analysis and International Finance, Rethymno, Greece.

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    • Stöckl, S. (2019). Turbulence in the Cross-Section: Predicting Factor Premia. Paper presented at the INFINITI Conference on International Finance, Glasgow, Scotland.

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    • Stöckl, S. (2018). Turbulence in the Cross-Section: Predicting Factor Premia. Paper presented at the 2nd INFINITI Conference on International Finance ASIA-PACIFIC, Sydney, Australia.

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    • Stöckl, S. (2018). Turbulence in the Cross-Section: Predicting Factor Premia. Paper presented at the 31st Australasian Finance & Banking Conference, Sydney, Australia.

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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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    • Stöckl, S. (2017). Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns. Paper presented at the FMA Europe, Lisbon (Portugal).

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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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    • Stöckl, S. (2016). Financial Turbulence and Aggregate Stock Returns. Paper presented at the 29th Australasian Finance & Banking Conference, Sydney (Australia).

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    • Stöckl, S. (2016). Financial Turbulence and Aggregate Stock Returns. Paper presented at the Workshop on Pension Finance, Asset-liability Management, Asset Allocation under Parameter Uncertainty, Bolzano, Italy.

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    • Stöckl, S. (2015). Comoment Factors and the Predictability of Stock Returns. Paper presented at the Forecasting Financial Markets Conference, Rennes (France).

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    • Stöckl, S. (2015). Portfolio Turbulence and the Predictability of Stock Returns. Paper presented at the World Finance Conference, Buenos Aires (Argentina).

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    • Stöckl, S. (2015). Portfolio Turbulence and the Predictability of Stock Returns. Paper presented at the Southern Finance Association, Annual Meeting, Captiva Island (USA).

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    • Müller, M., Stöckl, S., & Zimmermann, S. (2014). Valuation of Real Options on IT Investments - A Simulation Model based on Modified Assumptions. Paper presented at the European Conference on Information Systems, Tel Aviv (Israel).

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    • Stöckl, S., Hanke, M., & Angerer, M. (2013). PRIX - A Risk Index for Global Private Investors. Paper presented at the 20th Forecasting Financial Markets 2013, Hannover (Germany).

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    • Stöckl, S., Hanke, M., & Angerer, M. (2013). PRIX - A Risk Index for Global Private Investors. Paper presented at the Finance & Economics Conference 2013, Frankfurt (Germany).

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    • Stöckl, S., Hanke, M., & Angerer, M. (2013). PRIX - A Risk Index for Global Private Investors. Paper presented at the 8th EEEcon Workshop 2013, Innsbruck (Austria).

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    • Stöckl, S., Hanke, M., & Angerer, M. (2013). PRIX - A Risk Index for Global Private Investors. Paper presented at the World Finance & Banking Symposium 2013, Bejing (China).

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    • Stöckl, S., & Hanke, M. (2013). Financial Applications of the Mahalanobis Distance. Paper presented at the 28th Workshop of the Austrian Working Group on Banking and Finance 2013, Vienna (Austria).

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    • Stöckl, S., & Hanke, M. (2013). Financial Applications of the Mahalanobis Distance. Paper presented at the 26th Australasian Finance and Banking Conference 2013, Sydney (Australia).

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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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    • Müller, M., Stöckl, S., & Zimmermann, S. (2012). Towards a Precise Valuation of Interdependent IT Projects – A Real Option Approach Considering Unhedgeable Risks. Paper presented at the INFORMS Annual Meeting, Phoenix, USA.

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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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    • Stöckl, S. (2017). Financial Turbulence, Parameter Uncertainty and Aggregate Stock Returns. University of Liechtenstein.

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    • Panagakou, E., & Stöckl, S. (2016). Hedging Effectiveness of the EURO STOXX 50 Index Futures Contracts. University of Liechtenstein.

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

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    • Heinrich, B., Müller, M., Stöckl, S., & Zimmermann, S. (2015). Towards a Well-Founded Valuation of Managerial Flexibilities in IT Investment Projects - A Multidisciplinary Literature Review.

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    • Stöckl, S. (2015). Portfolio Turbulence and the Predictability of Stock Returns. University of Liechtenstein.

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    • Stöckl, S. (2015). Comoment Factors and the Predictability of Stock Returns. University of Liechtenstein.

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    • Fernandez-Amador, O., & Stöckl, S. (2014). Forecasting Levels of Log Variables in Autoregressive Conditional Heteroskedastic Models.

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    • Stöckl, S. (2015). Selected Essays in Financial Economics. Unpublished PhD Thesis, University of Innsbruck, Innsbruck.

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