Research

Research Fields

Asset Pricing

Financial Econometrics

Publications

The decay of cay (2025) with J. Lawrenz,
Forthcoming at the Journal of Empirical Finance. (Journal) (SSRN)

We revisit the ability of the consumption--wealth ratio (cay) to forecast stock market returns and document a substantial decline in predictability over the last two decades. This decay of cay goes along with a structural shift in the underlying cointegration relationship, which can be attributed to the fact that asset wealth evolves increasingly detached from aggregate consumption and labor income. We propose a new version of cay derived only from the top 10% richest households and show that among various other proposed improvements of cay, this appears as the most promising empirical proxy for the still appealing theory.

Working Papers

Common Factors in Currency Characteristics (2025) with D. Umlandt,
Working paper. (SSRN)

We study the factor structure of currency characteristics using a multidimensional tensor factor model that jointly captures their variation across currencies, characteristics, and time. Factor-mimicking portfolios constructed from the extracted factors price individual currency returns more effectively than traditional factor models based on univariate sorts. The cross-sectional and temporal variation in currency characteristics is well summarized by two factors: a carry trade factor and a second factor that hedges carry-crash risk through exposures to momentum, value, and the term spread. A third time-varying factor marginally improves model fit and exhibits a high Sharpe ratio.

Education

2022-            PhD in Economics and Statistics at the University of Innsbruck, Austria

2020-2022   MSc in Applied Economics at the University of Innsbruck, Austria

2017-2020   MSc in Mathematics at the University of Mainz, Germany

2014-2017   BSc in Mathematics at the University of Mainz, Germany

Teaching

Summer term 2026      PS Financial Markets, Asset Management and Valuation

                                         SE Financial Econometrics

Winter term 2025/26    SE Principles of Mathematical Finance

Winter term 2024/25    SE Principles of Mathematical Finance

Summer term 2024      SE Risk Management and Derivatives

Winter term 2023/24    UE Principles of Mathematical Finance

Summer term 2023      SE Risk Management and Derivatives

Awards

Clemens-August-Andreae Price 2023 for the best master's thesis in Economics at the University of Innsbruck