Dipl.-Ing. Mag. Dr. Sebastian Stöckl
- Assistant Professor
- Chair in Finance
- Current Activity
- Teaching in Bachelor- and Masterstudies, as well as in Continuing Education
- Modul Responsibility for Undergraduate and Graduate Studies
- Visiting Lecturer at the MCI Innsbruck and the Ramkhamhaeng University Bangkok, Thailand (formerly: University of Innsbruck)
News:- Our Paper "PRIX - A Risk Index for Global Private Investors" has been accepted for publication in the Journal of Risk Finance!
Current conference contributions:
Research Areas:- 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:
Curriculum Vitae:
Consultation hour:Thursday: 11:00-12:00 (on appointment)
- Education
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2015
Doctor of Philosophy in Economics
University of Innsbruck, AT -
2011
European Summer School of Financial Mathematics
ETH Zurich, CH -
2011 — 2013
PhD Courses
Real Options / Università della Svizzera Italiana, CH
Discrete Time Theory of Finance / University of Constance, DE
Behavioural Portfolio Theory / University of Zurich, CH -
2010
Advanced Risk and Portfolio Management Bootcamp
Baruch College / New York, US -
2007
Certified Financial Risk Manager
Global Association of Risk Professionals -
2007
Master in Business Administration
University of Innsbruck, AT -
2007
Dipl.-Ing. of technical Mathematics
University of Innsbruck, AT - Career
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2015
Assistant Professor at the Chair in Finance
Institute for Financial Services
University of Liechtenstein, FL -
2012
Visiting Lecturer
MCI Management Center Innsbruck, AT -
2012 — 2014
Research Assistant
in the FWF-Project "Value Based IT Investment Portfolio Management"
Department of Information Systems, Production and Logistics Management
University of Innsbruck, AT -
2011
Visiting Professor
Ramkhamhaeng University / Bangkok, TH -
2010 — 2015
Research Assistant (Doc/Postdoc)
at the Chair in Finance, Institute for Financial Services
University of Liechtenstein, FL -
2010 — 2011
Lecturer in Investment and Finance
Department of Banking and Finance
University of Innsbruck, AT -
2008
Internship
Credit Portfolio Management
Credit Suisse Group / Zurich, CH -
2008 — 2009
Research Assistant
Porsche Automobil Holding SE (Financial Management) / Stuttgart, DE -
2006 — 2007
Tutor
Mathematics for Business Students
University of Innsbruck, AT - Awards
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2015
Research Prize of the Principality of Liechtenstein
for Young Researchers at the University of Liechtenstein -
2012
Support Grant (Förderungsstipendium)
University of Innsbruck, AT - Visiting Academic
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2005 — 2006
Exchange Semester
Universidad de Cantabria / Santander, ES - Memberships
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2010
Global Association of Risk Professionals
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2010
American Finance Association
- Schedule for SS 18
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- Bachelor's thesis: Process (Thesis) N.N.
- Introduction to Finance (Lecture) Angerer, Menichetti
- Research Methods I - IFS - specialization Part (Lecture) Szymczak, Stöckl
- Financial Derivatives (Lecture) Angerer, Stöckl
- Research Greenhouse (Miscellaneous) Menichetti, Hanke, Angerer, Kaiser, Stöckl, Kimmerle, Szymczak, Reichenecker
- Seminar in Finance (Seminar) Hanke, Menichetti, Angerer, Kaiser, Szymczak, Kimmerle, Stöckl, Reichenecker
- Understanding Pensions in Europe
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ERASMUS, September 2016 until August 2019
The aim of this project is to develop online courses and software for individual pension planning targeted at two different audiences: a) Students in higher education programs. b) European citizens ... more ...
- A Risk Index for Global Private Investors
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internes Projekt, March 2016 until March 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 ... more ...
- Measures of cross-sectional dispersion in international stock returns
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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 influence of risk and return perception on financial risk taking
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FFF-Förderprojekt, June 2011 until February 2014 (finished)
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 ... more ...
Refereed Journal Articles (4)
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Angerer, M., Peter, G., Stöckl, S., Wachter, T., Bank, M., & Menichetti, M. (2017). Bid-Ask Spread Patterns and the Optimal Timing for Discretionary Liquidity Traders on Xetra. Schmalenbach Business Review : ZFBF, forthcoming. (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.
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Refereed Conference Papers (16)
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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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Book Chapter (1)
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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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Conference Paper (1)
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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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Working Papers (unpublished) (2)
Working Papers (6)
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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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Thesis (1)
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Stöckl, S. (2015). Selected Essays in Financial Economics. Unpublished PhD Thesis, University of Innsbruck, Innsbruck.
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