Fieberg, Christian
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Item-typ:Veröffentlichung, Index construction for sustainable development investing(Routledge, 2023); ; ; ; We implement the definition for Sustainable Development Investing (SDI) developed by the Global Investors for Sustainable Development (GISD) Alliance to construct an investable global SDI-aligned equity index. To this end, we create a proprietary methodology to rate companies’ SDI contribution using the Sustainable Development Goals (SDGs) as the appropriate unit of measurement. We find that the inclusion of SDI preferences in a multi-objective portfolio yields similar risk-return characteristics as a benchmark portfolio. This article informs institutional investors and index providers about practical approaches to implement the SDI definition with recently developed commercial data solutions. In this context, we review and provide an overview of data availability for the classification of companies’ alignment to the SDGs based on their products and services.Wissenschaftlicher ArtikelBand:13Heft:182 - Some of the metrics are blocked by yourconsent settings
Item-typ:Veröffentlichung, Non-standard errors in the cryptocurrency worldMotivated by recent findings from the equity market, we investigate non-standard errors in cryptocurrency research. We examine ten prevalent decisions related to data sources, sample preparation, and portfolio construction, generating 20,736 research designs for 43 sorting variables. Our findings reveal remarkable variation in portfolio performance tied to seemingly trivial choices. The non-standard errors in cryptocurrency studies not only surpass those in the stock market but also clearly exceed standard errors—though varying considerably across coin characteristics. Notwithstanding the above, the most prominent cryptocurrency factors, such as size and momentum, remain consistently robust across numerous specifications. Lastly, we find that reducing the influence of the smallest coins effectively decreases the non-standard errors.Wissenschaftlicher ArtikelHeft:9234 - Some of the metrics are blocked by yourconsent settings
Item-typ:Veröffentlichung, Machine learning goes global: Cross-sectional return predictability in international stock marketsWe examine return predictability with machine learning in 46 stock markets around the world. We calculate 148 firm characteristics and use them to feed a repertoire of different models. The algorithms extract predictability mainly from simple yet popular factor types—such as momentum, reversal, value, and size. All individual models generate substantial economic gains; however, combining them proves particularly effective. Despite the overall robustness, the machine learning performance depends heavily on firm size and availability of recent information. Furthermore, it varies internationally along two critical dimensions: the number of listed firms in the market and the average idiosyncratic risk limiting arbitrage.Wissenschaftlicher ArtikelHeft:15579 - Some of the metrics are blocked by yourconsent settings
Item-typ:Veröffentlichung, Pockets of Predictability: A Replication(Wiley, 2025-08); ; Farmer, Schmidt, and Timmermann (FST) document time-variation in market return predictability, identifying “pockets” of significant predictability through kernel regressions. However, our analysis reveals a critical discrepancy between the method outlined by FST and the code actually implemented. Instead of using a one-sided kernel, which guarantees out-of-sample forecasts, they perform in-sample estimation with a two-sided kernel. As a result, future information leaks into the forecasting model, undermining its reliability. Rectifying this error qualitatively alters the findings, invalidating most conclusions of the FST study. Thus, attempts to exploit such “pockets”—should they exist—offer little help in forecasting market returns.Wissenschaftlicher ArtikelBand:80Heft:617 - Some of the metrics are blocked by yourconsent settings
Item-typ:Veröffentlichung, RMatlab-app2web: Web Deployment ofR/MATLABApplications(2013-09-03); ; This paper presents the RMatlab-app2web tool which enables the use of R or MATLAB scripts as CGI programs for generating dynamic web content. RMatlab-app2web is highly adjustable. It can be run on both, Windows and Unix-like systems. CGI scripts written in PHP take information entered on web-based forms on the client browser, pass it to R or MATLAB on the server and display the output on the client browser. Adjustable to the server’s requirements, the data transfer procedure can use either the GET or the POST routine. The application allows to call R or MATLAB to run previously written scripts. It does not allow to run completely flexible user code. We run a multivariate OLS regression to demonstrate the use of the RMatlab-app2web tool.Wissenschaftlicher Artikel1385 - Some of the metrics are blocked by yourconsent settings
Item-typ:Veröffentlichung, An investor’s perspective on risk-models and characteristic-models(2016-03-27); ; Purpose – In capital markets, research risk factor loadings and characteristics are considered as opposing explanations for the cross-sectional dispersion in average stock returns. However, there is little known about the performance an investor would obtain who believes either in the characteristics explanation (CB-investor) or in the risk factor loadings explanation (RB-investor). The purpose of this paper is to compare the performance of CB- and RB-investors. Design/methodology/approach – To compare the competing strategies, the authors propose a simple new approach to equity portfolio optimization in the style of Brandt et al. (2009) by modeling the portfolio weight in each asset as a function of the asset’s risk factor loadings or characteristics. The authors perform an empirical analysis on the German stock market, exploiting the risk factor loadings from the Carhart (1997) four-factor model and the respective characteristics size, book-to-market equity ratio and momentum. Findings – The results show that investment strategies relying on characteristics (particularly on momentum) outperform risk-based investment strategies in horse races. These findings hold in- and out-of-sample. Furthermore, the characteristics-based investment strategies outperform a value-weighted market portfolio strategy in- and out-of-sample. Originality/value – The authors introduce a portfolio optimization approach that enables investors to directly link portfolio decisions to the firm’s characteristics or risk factor loadings.Wissenschaftlicher ArtikelBand:17Heft:3145 - Some of the metrics are blocked by yourconsent settings
Item-typ:Veröffentlichung, Cross-country factor momentumWe study a new class of the momentum effect: cross-country factor momentum. We document a persistent international pattern: factors in winning countries consistently outperform those in losing countries. The effect holds across most anomalies and is robust to many considerations.Wissenschaftlicher ArtikelHeft:23532 - Some of the metrics are blocked by yourconsent settings
Item-typ:Veröffentlichung, Zertifikatebewertung auf Grundlage der Monte Carlo Verfahren(2015-09-24); ; Eine objektive Bewertung von Zertifikaten, deren Preise i. d. R. von Emittenten gestellt werden, ist wesentlich für ihre Akzeptanz beim Anleger. Dieser Beitrag stellt die simulationsbasierte Bewertung von Zertifikaten dar. Die simulationsbasierte Bewertung mittels indirekter Ermittlung der Auszahlungsstruktur (indirektes Bewertungsverfahren) ist als der vielversprechendste Ansatz identifiziert, der mit wenigen Annahmen auskommend viele entscheidungsnützliche Informationen anbietet und sich vergleichsweise einfach implementieren lässt.Wissenschaftlicher ArtikelBand:22Heft:5123 - Some of the metrics are blocked by yourconsent settings
Item-typ:Veröffentlichung, The Relevance of Level-Based Value Relevance Studies – Also a reply to Ordosch (CFB 2012)(2012); Fieberg (2012) kommt in seinem Beitrag u.a. zu dem Schluss, dass die Ergebnisse von auf Niveauvariablen basierenden Wertrelevanzstudien aufgrund von „Skaleneffekten“ und der Verwendung nichtstationärer Variablen möglicherweise in Frage zu stellen sind. Ordosch (2012) argumentiert, dass diese Schlussfolgerungen voreilig erscheinen. In dem vorliegenden Beitrag wird gezeigt, dass die Schlussfolgerungen in Fieberg (2012) nicht voreilig sind. In his paper Fieberg (2012) concludes that the results of value relevance studies based on levels are possibly irrelevant due to scale effects and the use of non-stationary variables. Ordosch (2012) argues that this conclusion appears to be premature. This comment shows that the conclusions derived in Fieberg (2012) are not premature.Wissenschaftlicher ArtikelBand:2012Heft:08114 - Some of the metrics are blocked by yourconsent settings
Item-typ:Veröffentlichung, Vorschlag eines Bewertungskonzepts von Zertifikaten(2012); Ansätze zur analytischen Bewertung von Zertifikaten sind bisher wenig in der Literatur thematisiert. Dieser Beitrag stellt ein auf dem Black/Scholes-Modell basierendes Bewertungskonzept zur Diskussion, mit dessen Hilfe Zertifikate analytisch bewertet werden können. Zur analytischen Bewertung ist die Identifikation der Komponenten eines Zertifikats notwendig. Diese wird basierend auf einer Systematisierung von Zertifikaten in Klassen einheitlicher Konstruktion vorgenommen. Anhand eines Formelsets nach Haug (2007) für Barrier-Optionen gelingt anschließend die Entwicklung analytischer Bewertungslösungen für Zertifikate. Eventuell auftretende Bewertungsfehler aufgrund der Nichtbeachtung der Volatility Surface oder von Marktunvollkommenheiten werden im Rahmen von Fallstudien untersucht. (JEL G13, G24) The literature has paid limited attention to approaches to analytical certificate valuation. This article proposes a concept, which roots in the Black/Scholes model, in order to analytically value the certificates. The implementation of the proposed concept requires the knowledge of the components of the certificates. Based on a classification of certificates in uniformly constructed classes, we identify the components. Based on formulas for barrier options proposed by Haug (2007) we develop an analytical approach to value virtually all existing certificates. Valuation errors which may occur due to non-observation of the volatility surface or due to market imperfections are analyzed in case studies.Wissenschaftlicher ArtikelBand:45Heft:2109