- Assistenzprofessor (mit Tenure-Track)
- Financial Economics
- Akademischer Leiter
- Liechtenstein Undergraduate & Graduate School
- Official Representative AACSB
- Universität Liechtenstein
- Tätigkeit
- Lehre in BSc, MSc, PhD und Weiterbildungsstudiengängen
- Akademischer Leiter der Undergraduate & Graduate School
- Projektleiter: Understanding Saving in Europe (Erasmus+), Investment Management Game (Erasmus+), An ESG-based Investment Case for Absolute Return Funds (Innosuisse)
- Externer Dozent am MCI Innsbruck (früher: Universität Innsbruck und Ramkhamhaeng Universität Bangkok, Thailand)
- Organisator des Finance Research Seminars
Aktuelle Informationen, Working Papers und meinen Lebenslauf finden Sie auf meiner persönlichen Webseite (Englisch): www.sebastianstoeckl.com
Forschungsgebiete (im Bereich Financial Economics):- 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
- 2010 — 2015
Doctor of Philosophy in Economics
Universität Innsbruck, AT - 2007
Certified Financial Risk Manager
Global Association of Risk Professionals - 2003 — 2007
Master in Business Administration
Universität Innsbruck, AT - 2001 — 2007
Dipl.-Ing. of technical Mathematics
University of Innsbruck, AT - Werdegang
- seit 2022
Assistenzprofessor (mit Tenure Track) für Financial Economics
Institut für Finance
Universität Liechtenstein, FL - 2015 — 2022
Assistenzprofessor am Lehrstuhl für Finance
Institut für Finance
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 - 2011 — 2019
Gastdozent
Ramkhamhaeng Universität / Bangkok, TH - 2010 — 2015
Wissenschaftlicher Mitarbeiter (Doc/Postdoc)
am Lehrstuhl für Finance, Institut für Finance
Universität Liechtenstein, FL - 2010 — 2011
Lehrbeauftragter in Investition und Finanzierung
Institut für Banken und Finanzen
Universität Innsbruck, AT - 2008 — 2009
Research Assistant
Porsche Automobil Holding SE (Finanzmanagement) / Stuttgart, DE - 2008
Praktikum
Credit Portfolio Management
Credit Suisse Group / Zürich, CH - Auszeichnungen
- 2015
Forschungspreis des Fürstentum Liechtensteins
für Nachwuchsforschende der Universität Liechtenstein - 2012
Förderungsstipendium
Universität Innsbruck, AT
- Veranstaltungen im WS 23/24
- C12_Bachelorthesis: Erstellung (Thesis)
- C20 C15 Research Greenhouse (Modul/LV/Prüfung)
- C20 Econometrics (Modul)
- C20 Empirical Methods (Modul/LV/Prüfung)
- C20 Qualitative Methods (Modul)
- C20 Statistics (Modul/LV/Prüfung)
- C21_Portfolio Business Game (VT IFS) (Übung) Stöckl, Salcher
- Empirical Methods (Übung) Stöckl
- Finance Research Seminar (Seminar) Stöckl
- FU_KI Hands-On: Ethik, Technologie und echte Use Cases (Seminar) Stöckl, Papathanasiou
- FU_KI Hands-On: Ethik, Technologie und echte Use Cases (Modul/LV/Prüfung)
- Investment Strategies and Asset Management (Übung) Hanke, Stöckl
- Research Design and Management (Vorlesung / Übung) Bayrle-Kelso, Brecht, Chandra Kruse, Furtner, Hanke, Kirn, Laskov, Schenk, Schneider, Stöckl
- Research Greenhouse (Sonstiges) Stöckl, Kordsachia
- Thesis Project (Thesis)
- Investment Management Game
- ERASMUS, September 2022 bis August 2025
In diesem Projekt möchten wir gerne, gemeinsam mit unserenPartnernein kompetitives Investment Management Spiel (IMAG) entwickeln, in welchem Teams von Studierenden (aber auch Schüler*innen, ... mehr
- Breaking Bad: Parameter Uncertainty caused by Structural Breaks in Stocks
- FFF-Förderprojekt, Januar 2022 bis Dezember 2022
Estimating parameter inputs for portfolio optimization has been shown to be notoriously diffi-cult resulting in disappointing out-of-sample performance (Michaud, 1989; DeMiguel et al., 2009). The ... mehr
- Deep and (Un-) Constrained Portfolio Optimization
- FFF-Förderprojekt, Januar 2022 bis Dezember 2022
Since its birth in the 1950ies, portfolio optimization has suffered from errors regarding the esti-mation of the input parameters (Michaud, 1989). To overcome the resulting underperformance, recent ... mehr
- Understanding Saving in Europe
- ERASMUS, September 2019 bis August 2022
Angesichts des demographischen Wandels und des anhaltenden Niedrigzinsumfelds werden langfristige Entscheidungen des Einzelnen immer wichtiger. Optimal über den Lebenszyklus zu sparen, erfordert ... mehr
- Decision methods and tools in the context of pension finance
- FFF-Förderprojekt, September 2019 bis August 2020 (abgeschlossen)
In this project we developed an R-package (available through github at https://github.com/sstoeckl/pensionfinanceLi) to optimize decisions individuals in Liechtenstein's pension system have to take. ... mehr
- Parameter Uncertainty: Measurement and resulting implications for portfolio management
- FFF-Förderprojekt, Dezember 2018 bis Februar 2020 (abgeschlossen)
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 (abgeschlossen)
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
Kotlarz, P., Hanke, M., & Stöckl, S. (2023). Regime-dependent drivers of the EUR/CHF exchange rate. Swiss Journal of Economics and Statistics, 159(3), 1-18.
detailsHanke, M., Stöckl, S., & Weissensteiner, A. (2022). Recovering Election Winner Probabilities from Stock Prices. Finance Research Letters, 45, 1-5. (ABDC_2022: A; ABS_2021: 2; VHB_3: B)
detailsStöckl, S., & Kaiser, L. (2021). Higher Moments Matter! Cross-sectional (higher) Moments and the Predictability of Stock Returns. Review of Financial Economics, 39(4), 455-481. (ABDC_2022: B; ABS_2021: 1; VHB_3: B)
detailsStöckl, S., & Rode, M. (2021). The Price of Populism: Financial Market Outcomes of Populist Electoral Success. Journal of Economic Behavior & Organization, 189, 51-83. (ABDC_2022: A*; VHB_3: A)
detailsKaiser, L., & Stöckl, S. (2020). Cryptocurrencies: Herding and the Transfer Currency. Finance Research Letters, 33. (ABDC_2022: A; ABS_2021: 2; VHB_3: B)
detailsGächter, M., Geiger, M., & Stöckl, S. (2020). Credit Intermediation and the Transmission of Macro-Financial Uncertainty: International Evidence. Journal of International Money and Finance, 108. (ABDC_2022: A; ABS_2021: 3; VHB_3: B)
detailsHanke, M., Stöckl, S., & Weissensteiner, A. (2020). Political Event Portfolios. Journal of Banking and Finance, 118, 1-18. (ABDC_2022: A; ABS_2021: 3; VHB_3: A)
detailsAngerer, 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_2022: A; ABS_2021: 2)
detailsAngerer, 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)
detailsStöckl, S., Hanke, M., & Angerer, M. (2017). PRIX - A risk index for global private investors. The Journal of Risk Finance, 18(2), 214-231. (ABDC_2022: B; ABS_2021: 1; VHB_3: B)
detailsMüller, M. P., 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_2022: A; ABS_2021: 2; VHB_3: B)
detailsStöckl, S., & Hanke, M. (2014). Financial Applications of the Mahalanobis Distance. Applied Economics and Finance, 1(2), 78-84.
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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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Salcher, L., & Stöckl, S. (2022). Less is More: Ranking Information, Estimation Errors and Optimal Portfolios. Presented at the European Conference on Stochastic Optimization and Computational Management Science, Venice, Italy.
detailsBartel, M., & Stöckl, S. (2022). Diversifying Estimation Errors with Unsupervised Machine Learning. Presented at the European Conference on Stochastic Optimization & Computational Management Science, Venice, Italy.
detailsBartel, M., & Stöckl, S. (2022). Diversifying Estimation Errors with Unsupervised Machine Learning. Presented at the World Finance Conference, Turin, Italy.
detailsBartel, M., & Stöckl, S. (2022). Diversifying Estimation Errors with Unsupervised Machine Learning. Presented at the International Conference on Operations Research - OR 2022, Karlsruhe, Germany.
detailsBartel, M., & Stöckl, S. (2022). Diversifying Estimation Errors with Unsupervised Machine Learning. Presented at the Finance Forum 2022 - Annual Meeting of the Spanish Finance Association, Santiago de Compostela, Spain.
detailsBartel, M., & Stöckl, S. (2022). Factor Chasing and the Cross-Country Factor Momentum Anomaly. Presented at the Frontiers of Factor Investing, Lancaster, UK.
detailsBartel, M., & Stöckl, S. (2022). Factor Chasing and the Cross-Country Factor Momentum Anomaly. Presented at the 3rd Financial Economics Meeting, Paris, France.
detailsSalcher, L., & Stöckl, S. (2021). Less is More: Ranking Information, Estimation Errors and Optimal Portfolios. Presented at the World Finance Conference, Virtual Conference.
detailsSalcher, L., & Stöckl, S. (2021). Breaking Bad: Parameter Uncertainty Caused by Structural Breaks in Stocks. Presented at the 36th Workshop of the Austrian Working Group on Banking and Finance, Virtual Conference.
detailsBartel, M., & Stöckl, S. (2021). International Factor Momentum and Reversals. Presented at the 36th Workshop of the Austrian Working Group on Banking and Finance, Virtual Conference.
detailsBartel, M., & Stöckl, S. (2021). Diversifying Estimation Errors with Unsupervised Machine Learning. Presented at the The 2nd Shanghai Lixin Virtual Conference on New Frontiers in the Interdisciplinary Research of Finance with Global Finance Journal, Virtual Conference.
detailsBartel, M., & Stöckl, S. (2021). Diversifying Estimation Errors with Unsupervised Machine Learning. Presented at the World Finance Conference, Virtual Conference.
detailsHanke, M., Stöckl, S., & Weissensteiner, A. (2020). Portfolio Rules and Factor Premia under Ambiguity. Presented at the 9th Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance 2020, electronical (originally scheduled in Geneva, Switzerland).
detailsBartel, M., & Stöckl, S. (2020). A trip into the Clusterverse: Comparing Covariance Matrix Clustering in Portfolio Optimization. Presented at the 35th Workshop of the Austrian Woring Group on Banking and Finance, Virtual Conference.
detailsStöckl, S., & Rode, M. (2019). Political Populism and Financial Markets. Presented at the Annual Meeting of the European Public Choice Society 2019, Jerusalem, Israel.
detailsGächter, M., Geiger, M., & Stöckl, S. (2019). Financial Distress and the Transmission of Macroeconomic Uncertainty: International Evidence. Presented at the 23nd International Conference on Macroeconomic Analysis and International Finance, Rethymno, Greece.
detailsStöckl, S. (2019). Turbulence in the Cross-Section: Predicting Factor Premia. Presented at the INFINITI Conference on International Finance, Glasgow, Scotland.
detailsHanke, M., Stöckl, S., & Weissensteiner, A. (2019). Political Event Portffolios. Presented at the Quantitative Methods in Finance Conference, Sydney, Australia.
detailsStöckl, S. (2018). Turbulence in the Cross-Section: Predicting Factor Premia. Presented at the 2nd INFINITI Conference on International Finance ASIA-PACIFIC, Sydney, Australia.
detailsStöckl, S. (2018). Turbulence in the Cross-Section: Predicting Factor Premia. Presented at the 31st Australasian Finance & Banking Conference, Sydney, Australia.
detailsStöckl, S., & Kaiser, L. (2017). Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns. Presented at the SGF Conference 2017, Zurich, Switzerland.
detailsStöckl, S. (2017). Financial Turbulence and Aggregate Stock Returns. Presented at the FMA Europe, Lisbon,Portugal.
detailsKaiser, L., & Stöckl, S. (2016). The Economic Benefit of Forecasting Market Components for Mean-Variance Investors. Presented at the 31. Workshop of the Austrian Working Group on Banking and Finance, Klagenfurt (Austria).
detailsStöckl, S. (2016). Financial Turbulence and Aggregate Stock Returns. Presented at the 29th Australasian Finance & Banking Conference, Sydney, Australia.
detailsStöckl, S. (2015). Comoment Factors and the Predictability of Stock Returns. Presented at the Forecasting Financial Markets Conference, Rennes (France).
detailsStöckl, S. (2015). Portfolio Turbulence and the Predictability of Stock Returns. Presented at the World Finance Conference, Buenos Aires, Argentina.
detailsStöckl, S. (2015). Portfolio Turbulence and the Predictability of Stock Returns. Presented at the Southern Finance Association, Annual Meeting, Captiva Island, USA.
detailsMüller, M., Stöckl, S., & Zimmermann, S. (2014). Valuation of Real Options on IT Investments - A Simulation Model based on Modified Assumptions. Presented at the European Conference on Information Systems, Tel Aviv (Israel).
detailsStöckl, S., Hanke, M., & Angerer, M. (2013). PRIX - A Risk Index for Global Private Investors. Presented at the 20th Forecasting Financial Markets 2013, Hannover (Germany).
detailsStöckl, S., Hanke, M., & Angerer, M. (2013). PRIX - A Risk Index for Global Private Investors. Presented at the Finance & Economics Conference 2013, Frankfurt (Germany).
detailsStöckl, S., Hanke, M., & Angerer, M. (2013). PRIX - A Risk Index for Global Private Investors. Presented at the 8th EEEcon Workshop 2013, Innsbruck (Austria).
detailsStöckl, S., Hanke, M., & Angerer, M. (2013). PRIX - A Risk Index for Global Private Investors. Presented at the World Finance & Banking Symposium 2013, Bejing (China).
detailsStöckl, S., & Hanke, M. (2013). Financial Applications of the Mahalanobis Distance. Presented at the 28th Workshop of the Austrian Working Group on Banking and Finance 2013, Vienna (Austria).
detailsStöckl, S., & Hanke, M. (2013). Financial Applications of the Mahalanobis Distance. Presented at the 26th Australasian Finance and Banking Conference 2013, Sydney (Australia).
detailsAngerer, 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. Presented at the 3rd Beeronomics Conference 2013, York (United Kingdom).
detailsMüller, M., Stöckl, S., & Zimmermann, S. (2012). Towards a Precise Valuation of Interdependent IT Projects – A Real Option Approach Considering Unhedgeable Risks. Presented at the INFORMS Annual Meeting, Phoenix, USA.
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Salcher, L., & Stöckl, S. (2022). Breaking Bad: Parameter Uncertainty Caused by Structural Breaks in Stocks. University of Liechtenstein.
detailsSalcher, L., & Stöckl, S. (2022). Less is More: Ranking Information, Estimation Errors and Optimal Portfolios. University of Liechtenstein.
detailsBartel, M., & Stöckl, S. (2022). Factor Chasing and the Cross-Country Factor Momentum Anomaly. University of Liechtenstein.
detailsBartel, M., & Stöckl, S. (2022). Diversifying Estimation Errors with Unsupervised Machine Learning. University of Liechtenstein.
detailsStöckl, S. (2017). Financial Turbulence, Parameter Uncertainty and Aggregate Stock Returns. University of Liechtenstein.
detailsPanagakou, E., & Stöckl, S. (2016). Hedging Effectiveness of the EURO STOXX 50 Index Futures Contracts. University of Liechtenstein.
detailsKaiser, L., & Stöckl, S. (2016). The Economic Benefit of Forecasting Market Components for Mean-Variance Investors.
detailsHeinrich, B., Müller, M., Stöckl, S., & Zimmermann, S. (2015). Towards a Well-Founded Valuation of Managerial Flexibilities in IT Investment Projects - A Multidisciplinary Literature Review.
detailsStöckl, S. (2015). Portfolio Turbulence and the Predictability of Stock Returns. University of Liechtenstein.
detailsStöckl, S. (2015). Comoment Factors and the Predictability of Stock Returns. University of Liechtenstein.
detailsFernandez-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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Salcher, L., & Stöckl, S. (2022, May 13). Less is more: Ranking Information, Estimation Errors and Optimal Portfolios. Finance Seminar, University of Neuchatel, Switzerland.
detailsStöckl, S. (2022, April 12). Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns. Finance Research Seminar, University of Konstanz, Konstanz, Germany.
detailsStöckl, S. (2016, December 2). Financial Turbulence and Aggregate Stock Returns. Workshop on Pension Finance, Asset-liability Management, Asset Allocation under Parameter Uncertainty, Bolzano, Italy.
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