OeNB Jubiläumsfonds Project #18781 — Factors versus Characteristics in Empirical Asset Pricing: Investigating Institutional Demand
Project Idea
The core of the project is to discriminate between factors and characteristics by exploiting data on institutional demand, leading to the following three main research questions:
- RQ.1: What is the extent of the relative significance of risk factors versus characteristics for the cross-section of expected returns?
- RQ.2: To what extent are di erent proxies of institutional investor demand determined by the relative significance of risk factors versus characteristics?
- RQ.3: Does factor- or characteristics-induced institutional investor demand influence the cross-section of expected returns?
Project Members
- Univ.-Prof. Dr. Jochen Lawrenz
- Moritz Dauber, MSc MSc (since 06/2023)
- Ferdinand Cramm, MSc (03/2025 – 06/2026)
Selected Presentations
Workshop Obergurgl (2026), Deutsche Gesellschaft für Finanzwirtschaft (2025), Verein für Socialpolitik (2025), International Risk Management Conference (2025), European Financial Management Association (2024), Austrian Working Group on Banking & Finance (2023)
Publications
Bank, M. & Insam F. & Lawrenz J. (2026). Taste for characteristics or risk factor aversion? Evidence from institutional demand. Financial Markets and Portfolio Management, 40(1), 27-96. https://doi.org/10.1007/s11408-025-00480-x
The research within this project is financed by the OeNB Jubiläumsfonds.