Google Scholar Profile
Florian Weigert | Citations: 1381 | H-Index: 17 (March 2026)
Research Interests
Empirical Asset Pricing | Hedge Funds & Mutual Funds | Behavioral Finance | Financial Technology
Publications in FT 50 Journals
A Bayesian Stochastic Discount Factor for the Cross-Section of Individual Equity Options (joint with Niclas Käfer, Mathis Mörke, and Tobias Wiest), Journal of Financial and Quantitative Analysis, 2025, Forthcoming
Hedge Funds and the Positive Idiosyncratic Volatility Effect (joint with Turan Bali), Review of Finance, 2024, 28, pp. 1611-1661
Unobserved Performance of Hedge Funds (joint with Vikas Agarwal and Stefan Ruenzi), Journal of Finance, 2024, 79, pp. 3203-3259
Data for the UP 5-1 long-short portfolio can be found here.
The paper received the award for the best article published in the field of alternative investments 2025 from the Bundesverband Alternative Investments (BAI).
Option Return Predictability with Machine Learning and Big Data (joint with Turan Bali, Heiner Beckmeyer, and Mathis Moerke), Review of Financial Studies, 2023, 36, pp. 3548-3602
Multivariate Crash Risk (joint with Fousseni Chabi-Yo and Markus Huggenberger), Journal of Financial Economics, 2022, 145, pp. 129-153
Data for the MCRASH 10-1 long-short portfolio return can be found here.
Crash Sensitivity and the Cross-Section of Expected Stock Returns (joint with Fousseni Chabi-Yo and Stefan Ruenzi), Journal of Financial and Quantitative Analysis, 2018, 53, pp. 1059-1100
Data for the LTD 5-1 long-short portfolio return can be found here.
Does Foreign Information Predict the Returns of Multinational Firms Worldwide? (joint with Christian Finke), Review of Finance, 2017, 21, pp. 2199-2248
Tail Risk in Hedge Funds: A Unique View From Portfolio Holdings (joint with Vikas Agarwal and Stefan Ruenzi), Journal of Financial Economics, 2017, 125, pp. 610-636
Data for the tail risk 5 - 0 long-short portfolio return can be found here.
The paper received the award for the best article published in the field of alternative investments 2017 from the Bundesverband Alternative Investments (BAI).
Other Peer-Reviewed Publications
The Value of Financial Advisors in M&A Transactions (joint with Arnaud Maitre), Finance Research Letters, 2026, Forthcoming
Social Media-Based Attention and the Cross-Section of Cryptocurrency Returns (joint with Arnaud Maitre and Nikolay Pugachyov), Journal of Banking and Finance, 2025, Forthcoming
Extreme Weather Risk and the Cross-Section of Expected Stock Returns (joint with Alexander Braun and Julia Braun), Journal of Risk and Insurance, 2025, Forthcoming
Joint Extreme Events in Equity Returns and Liquidity and their Cross-Sectional Pricing Implications (joint with Stefan Ruenzi and Michael Ungeheuer), Journal of Banking and Finance, 2020, 115, Article 105809
Factor Exposure Variation and Mutual Fund Performance (joint with Manuel Ammann and Sebastian Fischer), Financial Analysts Journal , 2020, 76, pp. 101-118
Regulatory Stress Testing and Bank Performance (joint with Lukas Ahnert, Pascal Vogt, and Volker Vonhoff), European Financial Management, 2020, 26, pp. 1449-1488
Cash Holdings and the Performance of European Mutual Funds (joint with Frank Graef, Pascal Vogt, and Volker Vonhoff), Finance Research Letters, 2019, 29, pp. 285-291
Momentum and Crash Sensitivity (joint with Stefan Ruenzi), Economics Letters, 2018, 165, pp. 77-81
Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide, Review of Asset Pricing Studies, 2016, 6, pp. 135-178
Does Female Management Influence Firm Performance? Evidence From Luxembourg Banks (joint with Regina Reinert and Christoph Winnefeld), Financial Markets and Portfolio Management, 2016, 30, pp. 113-136
The paper received the award for the best paper published in Financial Markets and Portfolio Management.
An Empirical Comparison of Multivariate Copula Models (joint with Matthias Fischer, Christian Köck, and Stephan Schlüter), Quantitative Finance, 2009, 9, pp. 839-854
Working Papers
Back to the Roots: Ancestral Origin and Mutual Fund Manager Portfolio Choice (joint with Manuel Ammann, Alexander Cochardt, and Simon Straumann)
AFA 2023 Paper, FMA Consortium in Asset Management 2023 Paper, DGF 2021 Paper
The paper received the best paper award at the FMA Consortium on Asset Management 2023.
Machine Learning Mutual Fund Flows (joint with Juerg Fausch, Moreno Frigg, and Stefan Ruenzi)
AFA 2026 Paper, FMA 2025 Paper, FMA Consortium in Asset Management 2025 Paper, DGF 2024 Paper
Forecasting Mutual Fund Performance - Combining Return-Based with Portfolio Holdings-Based Predictors (joint with Sebastian Müller and Nikolay Pugachyov)
SGF 2025 Paper, 4th Frontiers of Factor Investing Conference 2024 Paper, FMA 2024 Paper, DGF 2024 Paper
In Search of Seasonality in Intraday and Overnight Option Returns (joint with Turan Bali, Amit Goyal, and Mathis Mörke)
MFA 2026 Paper, DGF 2026 Paper
Machine Learning the Performance of Mutual Funds on a Global Scale (joint with Christian Breitung, Manuel Mazidi, and Sebastian Müller)
Liechtenstein Workshop on AI in Finance 2026 Paper