MAster Theses: General Rules

I am willing to supervise master theses, bachelor theses and data science projects in the research fields of Empirical Asset Pricing, Hedge Funds, Mutual Funds, and Behavioral Finance. You can either apply for a topic from the list below or suggest your own topic.

Topic 1:  Hedge Funds and Cryptocurrencies

Description: Institutional investors increasingly invest in cryptocurrencies. Can hedge fund returns be explained by their exposure to different cryptocurrency returns?
Literature: DeVault and Wang (2021):  Embracing the future of buying into the bubble: Do sophisticated institutions invest in crypto assets? Working Paper


Topic 2:  Illiquidity Upside and Downside Risk
Description: Amihud and Noh (2021) show that the sensitivity (beta) of the illiquid-minus-liquid (IML) is priced in the cross-section of stock returns. Can we find similar (stronger) pricing implications when we split up the beta into an upside and a downside beta?
Literature: Amihud and Noh (2021):  The pricing of the illiquidity factor's conditional risk with time-varying premium. Journal of Financial Markets

Topic 3:  Do Mutual Funds Outperform in Recessions? International Evidence
Description: Kacperczyk, van Nieuwerburgh, and Veldkamp (2014) find that fund managers pick stocks in booms or successfully time the market in recessions. Can we find empirical evidence that  mutual funds outperform during recessions on an international basis?
Literature:  Kacperczyk, van Nieuwerburgh, and Veldkamp (2014): Time-varying fund manager skill. Journal of Finance 

Topic 4: Machine Learning in Asset Pricing
Description: Gu, Kelly, and Xiu (2020) show how machine learning methods can be used to predict stock returns and to derive profitable trading strategies. The thesis can investigate the value of machine learnign for other asset classes (e.g., mutual funds or cryptocurrencies) or alter the machine learning methods.
Literature:   Gu, Kelly, and Xiu (2020): Empirical asset pricing with machine learning. Review of Financial Studies

Topic 5:  Do Hot Hands Exist Among Hedge Fund and Mutual Fund Managers?
Description: Miller and Sanjurjo (2018) show that there exists a substantial bias in studies that measured the hot hand fallacy in economic / financial research. Do find evidence of hot hands among fund managers when correcting for this bias?
Literature:   Miller and Sanjurjo (2018): Surprised by the hot hand fallacy? A truth in the law of small numbers. Econometrica

I expect you to aim for a high-quality thesis. The objective should be that your thesis has publication standards similar to a peer-reviewed article in an academic finance journal. To obtain a good grade, I expect your thesis to include a well-grounded empirical study that delivers a novel contribution to existing finance research. For all topics you should be familiar with a statistical software package like Stata, Matlab, R, or Python. Excel is not sufficient. I will help you to retrieve data for your thesis. 

The thesis can be written in LaTeX (preferred) or in Word. 

Past Supvervised Theses

Emprical Asset Pricing
Asset Pricing with Downside Risk | Do Stocks Outperform Treasury Bills Worldwide? | Seasonality in Asset Pricing Abnormalies | Momentum Crashes: Evidence From International Stock Markets | Using Company Red Flags as Short-Selling Indicators | Performance of Merger-Arbitrage Strategies | Performance of Automobile Investments and other Collectibles | The Cross-Section of Cryptocurrency Returns | Managing Tail Risk of Cryptocurrencies | Does Demand for Sustainable Investment Products Impact Stock Returns?

Hedge Funds
Hedge Fund Performance and Industry Competition | Risk Factor Timing of Hedge Funds | Hedge Funds and the Real Estate Market | Hedge Fund Performance and the Fama and French  Five Factor Model | Funding Liquidity Risk and Hedge Fund Returns | Strategy Distinctiveness, R2, and Hedge Fund Returns | Flow-Performance Relationship in the Hedge Fund Industry | Derivative Usage of Hedge Funds | Leverage Usage of Hedge Funds | Understanding the Performance of Hedge Funds with Venture Capital Indices | Hedge Funds and ESG Investing

Mutual Funds
Do High-Fee Mutual Funds Deliver Superior Performance? | Systematic Fund Flows and Mutual Fund Investor Clienteles | Do Mutual Funds Perform Better in Recessions? | Cash Holdings and the Performance of Mutual Funds | Liquidity Management of Mutual Funds | Performance Streaks and Mutual Fund Flows | Performance of Sustainable Mutual Funds | Differences between Discretionary and Quantitative Investment Management

Behavioral Finance
Good Day Sunshine: Stock Returns and the Weather | Effects of Soccer-Related Mood Swings on Asset Prices | Lottery Stocks and the Cross-Section of Expected Stock Returns Worldwide | Past Experiences of Mutual Fund Managers | Sentiment-Based Comovement of Stocks | Flow-Performance Relationship of Mutual Funds: A Loss Averse Perspective