HomeWho 's who

Dipl.-Ing. Mag. Dr. Sebastian Stöckl

Assistant Professor
Chair in Finance
Current Activity
  • Teaching in BSc, MSc, PhD and continuing education
  • President of the "Mittelbauvorstand"
  • Visiting Lecturer: MCI Innsbruck & Ramkhamhaeng University Bangkok (formerly: Universität Innsbruck)
  • Organizer of the Finance Research Seminars

News:

More Information, Working Papers can be found on my personal website: www.sebastianstoeckl.com

    Research Areas:
    • Uncertainty (Financial/Political/Economical)
    • Innovation Finance (Crypto Currencies, Machine Learning, Artificial Intelligence)
    • Pension Finance (Life-Cycle Optimization)
    • Empirical Asset Pricing (Cross-sectional/Aggregate)
    • Portfolio Management (Quantitative and Empirical)
    • Risk Management (Portfolio risk, Risk Measures)
    • Parameter/Model Uncertainty (Robust Portfolios, Ambiguity Aversion)
    Education
    since 2015

    Doctor of Philosophy in Economics
    University of Innsbruck, AT

    since 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

    since 2010

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

    since 2007

    Certified Financial Risk Manager
    Global Association of Risk Professionals

    since 2007

    Master in Business Administration
    University of Innsbruck, AT

    since 2007

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

    Career
    since 2015

    Assistant Professor at the Chair in Finance
    Institute for Financial Services
    University of Liechtenstein, FL

    since 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

    since 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

    since 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

    Visiting Academic
    2005 — 2006

    Exchange Semester
    Universidad de Cantabria / Santander, ES

    Awards
    since 2015

    Research Prize of the Principality of Liechtenstein
    for Young Researchers at the University of Liechtenstein

    since 2012

    Support Grant (Förderungsstipendium)
    University of Innsbruck, AT

    Memberships
    since 2010

    Global Association of Risk Professionals

    since 2010

    American Finance Association

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

    This project is concerned with estimation errors and parameter uncertainty in the investment process. The first study extends a previous study using investors reaction to parameter uncertainty to ... more ...

    Understanding Pensions in Europe
    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
    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
    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
    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 ...

    • 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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