- 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:- Our paper Political Event Portfolios (joint work with Michael hanke and Alex Weissensteiner) has been published in the Journal of Banking & Finance! Current data on the 2020 US presidential election can be found here!
- Data for our paper Credit Intermediation and the Transmission of Macro-Financial Uncertainty: International Evidence (joint work with Martin Gächter and Martin Geiger, Journal of International Money and Finance) can be found here!
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
- Schedule for WS 20/21
- Portfolio Business Game (Seminar) Stöckl
- Portfoliomanagement and Financial Analysis (Lecture) Stöckl, Menichetti
- Portfoliomanagement and Financial Analysis (Module)
- Research Seminar (Seminar) Angerer, Hanke, Stöckl, Hoffmann, Herrmann-Meng
- Risk Management & Financial Institutions (Lecture) Hanke, Menichetti
- Seminar Portfoliomanagement and Financial Analysis (Seminar) Stöckl, Menichetti
- C15 Empirical Finance (Module)
- C15 Quantitative Finance (Module)
- C20 Econometrics (Module)
- C20 Empirical Methods (Module/Course/Examination)
- C20 Qualitative Methods (Module)
- C20 Statistics (Module)
- Empirical and Experimental Methods in Finance (Exercise) Stöckl, Angerer
- Empirical Methods (Exercise) Stöckl
- Finance Research Seminar (Seminar) Stöckl
- Research Design and Management (Lecture / Exercise) Angerer, Schneider, Kirn, Staub, Stöckl, vom Brocke, Michels, Furtner, Brandl, Thies, Kaps, Seidel, Zimmermann, Chandra Kruse, Brecht, Schenk, Meister
- Research Greenhouse (Miscellaneous) Kaiser, Stöckl
- Thesis Project (Thesis)
- Understanding Saving in Europe
- ERASMUS, September 2019 until August 2022
Given the changing demographic and the continuous low interest rate environment, long-term decisions by individuals are becoming increasingly important. Saving optimally over the life cycle requires ... more ...
- Decision methods and tools in the context of pension finance
- FFF-Förderprojekt, September 2019 until August 2020
tbc more ...
- Parameter Uncertainty: Measurement and resulting implications for portfolio management
- FFF-Förderprojekt, December 2018 until February 2020 (finished)
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 ...
Articles in Scientific Journals (9)
Stöckl, S., & Kaiser, L. (in press). Higher Moments Matter! Cross-sectional (higher) Moments and the Predictability of Stock Returns. Review of Financial Economics. (ABDC_2016: B; ABDC_2019: B; ABS_2018: 1; ISI_2016: 1.415; ISI_2016_5year: 1.989; VHB_3: B)
moreKaiser, L., & Stöckl, S. (2020). Cryptocurrencies: Herding and the Transfer Currency. Finance Research Letters, 33. (ABDC_2016: B; ABDC_2019: A; ABS_2018: 2; ISI_2016: 0.762; ISI_2016_5year: 0.842; ISI_2018: 1.709; VHB_3: B)
moreGächter, 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_2016: A; ABDC_2019: A; ABS_2018: 3; ISI_2018: 1.78; ISI_2018_5year: 2.448; VHB_3: B)
moreHanke, M., Stöckl, S., & Weissensteiner, A. (2020). Political Event Portfolios. Journal of Banking and Finance, 118, 1-18.
moreAngerer, 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; ABDC_2019: A)
moreAngerer, 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)
moreStöckl, 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; ABDC_2019: B; ABS_2018: 1; VHB_3: B)
moreMüller, 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_2016: A; ABDC_2019: A; ABS_2018: 2; ISI_2016: 3.392; ISI_2016_5year: 3.248; ISI_2018: 3.6; VHB_3: B)
moreStöckl, 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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Chapter in Edited Book (1)
Stöckl, S. (2009). Die Riemannsche Vermutung. In M. Wohlgemuth (Ed.), Mathematisch für Anfänger (2 ed., pp. 277-290): Spektrum Verlag.
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Presentations at Scholarly Conferences (24)
Hanke, 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).
moreStöckl, S., & Rode, M. (2019). Political Populism and Financial Markets. Presented at the Annual Meeting of the European Public Choice Society 2019, Jerusalem, Israel.
moreGächter, 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.
moreStöckl, S. (2019). Turbulence in the Cross-Section: Predicting Factor Premia. Presented at the INFINITI Conference on International Finance, Glasgow, Scotland.
moreHanke, M., Stöckl, S., & Weissensteiner, A. (2019). Political Event Portffolios. Presented at the Quantitative Methods in Finance Conference, Sydney, Australia.
moreStöckl, S. (2018). Turbulence in the Cross-Section: Predicting Factor Premia. Presented at the 2nd INFINITI Conference on International Finance ASIA-PACIFIC, Sydney, Australia.
moreStöckl, S. (2018). Turbulence in the Cross-Section: Predicting Factor Premia. Presented at the 31st Australasian Finance & Banking Conference, Sydney, Australia.
moreStöckl, 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.
moreStöckl, S. (2017). Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns. Presented at the FMA Europe, Lisbon,Portugal.
moreKaiser, 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).
moreStöckl, S. (2016). Financial Turbulence and Aggregate Stock Returns. Presented at the 29th Australasian Finance & Banking Conference, Sydney, Australia.
moreStöckl, S. (2016). Financial Turbulence and Aggregate Stock Returns. Presented at the Workshop on Pension Finance, Asset-liability Management, Asset Allocation under Parameter Uncertainty, Bolzano, Italy.
moreStöckl, S. (2015). Comoment Factors and the Predictability of Stock Returns. Presented at the Forecasting Financial Markets Conference, Rennes (France).
moreStöckl, S. (2015). Portfolio Turbulence and the Predictability of Stock Returns. Presented at the World Finance Conference, Buenos Aires, Argentina.
moreStöckl, S. (2015). Portfolio Turbulence and the Predictability of Stock Returns. Presented at the Southern Finance Association, Annual Meeting, Captiva Island, USA.
moreMüller, 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).
moreStöckl, S., Hanke, M., & Angerer, M. (2013). PRIX - A Risk Index for Global Private Investors. Presented at the 20th Forecasting Financial Markets 2013, Hannover (Germany).
moreStöckl, S., Hanke, M., & Angerer, M. (2013). PRIX - A Risk Index for Global Private Investors. Presented at the Finance & Economics Conference 2013, Frankfurt (Germany).
moreStöckl, S., Hanke, M., & Angerer, M. (2013). PRIX - A Risk Index for Global Private Investors. Presented at the 8th EEEcon Workshop 2013, Innsbruck (Austria).
moreStöckl, S., Hanke, M., & Angerer, M. (2013). PRIX - A Risk Index for Global Private Investors. Presented at the World Finance & Banking Symposium 2013, Bejing (China).
moreStöckl, 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).
moreStöckl, S., & Hanke, M. (2013). Financial Applications of the Mahalanobis Distance. Paper presented at the 26th Australasian Finance and Banking Conference 2013, Sydney (Australia).
moreAngerer, 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).
moreMüller, 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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Working Papers (8)
Stöckl, S., & Rode, M. (2020). The Price of Populism: Financial Market Outcomes of Populist Electoral Success. University of Liechtenstein.
moreStöckl, S. (2017). Financial Turbulence, Parameter Uncertainty and Aggregate Stock Returns. University of Liechtenstein.
morePanagakou, E., & Stöckl, S. (2016). Hedging Effectiveness of the EURO STOXX 50 Index Futures Contracts. University of Liechtenstein.
moreKaiser, L., & Stöckl, S. (2016). The Economic Benefit of Forecasting Market Components for Mean-Variance Investors. University of Liechtenstein.
moreHeinrich, B., Müller, M., Stöckl, S., & Zimmermann, S. (2015). Towards a Well-Founded Valuation of Managerial Flexibilities in IT Investment Projects - A Multidisciplinary Literature Review.
moreStöckl, S. (2015). Portfolio Turbulence and the Predictability of Stock Returns. University of Liechtenstein.
moreStöckl, S. (2015). Comoment Factors and the Predictability of Stock Returns. University of Liechtenstein.
moreFernandez-Amador, O., & Stöckl, S. (2014). Forecasting Levels of Log Variables in Autoregressive Conditional Heteroskedastic Models.
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Thesis (1)
Stöckl, S. (2015). Selected Essays in Financial Economics. Unpublished PhD Thesis, University of Innsbruck, Innsbruck.
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