uni.liPersonenverzeichnis

Dipl.-Ing. Mag. Dr. Sebastian Stöckl

Assistenzprofessor
Lehrstuhl für Finance
Tätigkeit
  • Lehre in den Bachelor- und Masterstudien, sowie in der Weiterbildung
  • Modulorganisation im Bereich des Bachelorstudiums
  • Präsident des Mittelbauvorstandes
  • Externer Dozent am MCI Innsbruck und an der Ramkhamhaeng Universität Bangkok, Thailand (früher: Universität Innsbruck)

News:
  • Unser Paper "PRIX - A Risk Index for Global Private Investors" wurde zur Publikation im Journal of Risk Finance akzeptiert!

Aktuelle Konferenzbeiträge:
  • 29th Australasian Finance & Banking Conference 2016 in Sydney (Australia)

Forschungsgebiete:
  • Empirical Asset Pricing (Predicting the Equity Premium)
  • Portfolio Management (Quantitative and Empirical)
  • Risk Management (Risk Properties of Portfolios, Risk Metrics, Risk Indices, Financial Turbulence)
  • Parameter/Model Uncertainty (Robust Portfolios, Ambiguity Aversion)
  • Econometrics (Forecasting, multivariate GARCH)
  • Behavioural Finance

Externe Seiten:

Lebenslauf:

Sprechstunde:
Donnerstag: 11:00-12:00 (nach Vereinbarung)
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

  • 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.

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  • Kaiser, L., & Stöckl, S. (2019). Cryptocurrencies: Herding and the Transfer Currency. Finance Research Letters (forthcoming). (ABDC: B; ABS: 2; ISI: 0.842; VHB: B)

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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. Schmalenbach Business Review : ZFBF, 70(3), 209-230. (VHB: B)

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  • Stöckl, S., Hanke, M., & Angerer, M. (2017). PRIX - A risk index for global private investors. Journal of Risk Finance, 18(2), 214-231. (ABDC: C; ABS: 1; VHB: 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, 58(6), 381-396. (ABDC: A; ABS: 2; ISI: 3.248; VHB: 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: A)

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

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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. Unpublished. University of Liechtenstein.

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

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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). Selected Essays in Financial Economics. Unpublished PhD Thesis, University of Innsbruck, Innsbruck.

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