TY - GEN A1 - Mögel, Benjamin A1 - Auer, Benjamin R. T1 - How accurate are modern Value-at-Risk estimators derived from extreme value theory? T2 - Review of Quantitative Finance and Accounting Y1 - 2018 U6 - https://doi.org/10.1007/s11156-017-0652-y SN - 0924-865X SN - 1573-7179 VL - 50 SP - 1030 EP - 4 ER - TY - GEN A1 - Rottmann, Horst A1 - Auer, Benjamin R. T1 - WISU-Check-up: Wahrscheinlichkeit und Regression T2 - WISU - Das Wirtschaftsstudium Y1 - 2018 UR - http://www.wisu.de/cgi-bin/html-auth.cgi?file=./jg97/frjg97.htm&session=5c2cafa05d0e6776 SN - 0340-3084 VL - 1 SP - 61 EP - 62 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Normalverteilungsmischungen T2 - WISU - Das Wirtschaftsstudium Y1 - 2018 UR - http://www.wisu.de/cgi-bin/html-auth.cgi?file=./jg97/frjg97.htm&session=5c2cafa05d0e6776 SN - 0340-3084 VL - 3 SP - 285 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Tests auf Zufälligkeit T2 - WISU - Das Wirtschaftsstudium Y1 - 2018 UR - http://www.wisu.de/cgi-bin/html-auth.cgi?file=./jg97/frjg97.htm&session=5c2c979256b1b6c4 SN - 0340-3084 VL - 7 SP - 787 EP - 788 ER - TY - GEN A1 - Auer, Benjamin R. A1 - Rottmann, Horst T1 - Zur Bedeutung des zentralen Grenzwertsatzes T2 - WiSt - Wirtschaftswissenschaftliches Studium Y1 - 2018 U6 - https://doi.org/10.15358/0340-1650-2018-9-36 SN - 0340-1650 VL - 9 SP - 36 EP - 40 ER - TY - GEN A1 - Strobel, Marcus A1 - Auer, Benjamin R. T1 - Does the predictive power of variable moving average rules vanish over time and can we explain such tendencies? T2 - International Review of Economics and Finance N2 - Recent studies offer striking evidence that, in stock markets, the predictive power of fundamental variables and seasonal effects tends to diminish over time. In this article, we analyse whether this also holds for the popular variable moving average (VMA) rules of Brock et al. (1992). While previous research on this issue has strongly concentrated on US and emerging stock market indices, we fill a research gap by focussing on a wide range of developed market indices and individual stocks. Using a trend regression approach for a dataset covering 1972 to 2015, we find that most analysed trading rule specifications show negative trend coefficients. These results, robust in a variety of settings, indicate that VMA rule signals have steadily lost their ability to forecast future price movements accurately. Analysing several rationales for this outcome, we find that negative trends in the autocorrelation of stock returns are a highly promising explanation for the poorer performance of VMA rules because they are designed to capture autocorrelation. Y1 - 2018 U6 - https://doi.org/10.1016/j.iref.2017.10.012 SN - 1059-0560 VL - 53 SP - 168 EP - 184 ER - TY - GEN A1 - Degenhardt, Thomas A1 - Auer, Benjamin R. T1 - The 'Sell in May' effect: A review and new empirical evidence T2 - North American Journal of Economics and Finance N2 - In this article, we revisit a stock market anomaly widely known as the “Sell in May” (SIM) effect according to which returns tend to be higher in winter months than in summer months. Motivated by the increased attention this phenomenon has recently received in top-tier finance journals, we provide two contributions. First, we review the academic literature by systematically comparing studies in terms of their country coverage, methodology, results, explanations, trading implications and potential post-publication disappearance in order to derive a general picture on the existence and practical relevance of the SIM effect. Second, we extend the empirical work on the subject by analyzing whether the SIM effect exists in investment universes of highly liquid individual stocks and commodity futures which we would expect to be most efficiently priced. Our results indicate that this is indeed the case (with a higher effect strength in the stock market than in the commodity futures market). Furthermore, our findings support earlier studies showing that the effect is robust (across testing approaches and time) and appears to be concentrated in the industrial sector. However, we find that the SIM effect has become weaker (stronger) in the stock (commodity) market since it has become part of the public information set and that the effectiveness and persuasiveness of standard investment strategies based on the effect are limited. Y1 - 2018 U6 - https://doi.org/10.1016/j.najef.2017.09.003 SN - 1062-9408 VL - 43 SP - 169 EP - 205 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Are standard asset pricing factors long-range dependent? T2 - Journal of Economics and Finance N2 - Factor portfolios derived from phenomena identified in the cross-section of stock returns have become vital parts of modern investment products and financial models. Even though much has been learned about the properties of these portfolios in recent years, one issue still remains unaddressed. Are factor returns long-range dependent (LRD)? We seek to answer this important research question because if factor returns were LRD, optimal portfolio decisions and traditional asset pricing methods/tests based on these factors would be severely biased and the validity of a large strand of prior research would be compromised. Specifically, using Hurst exponent approaches within rescaled range and detrended fluctuation frameworks, we analyse the presence of LRD in the returns of factor portfolios formed based on size, book-to-market, momentum and beta characteristics. For the periods from 1931 to 2014 (US market) and 1990 to 2014 (20 international markets) and supported by several robustness checks, we find no systematic evidence of persistence or anti-persistence in the factor returns. This implies that the factor use can be considered unproblematic in both asset management and asset pricing. Y1 - 2018 U6 - https://doi.org/10.1007/s12197-017-9385-y SN - 1055-0925 SN - 1938-9744 VL - 42 IS - 1 SP - 66 EP - 88 ER - TY - GEN A1 - Zhang, Hanxiong A1 - Auer, Benjamin R. A1 - Vortelinos, Dimitrios I. T1 - Performance ranking (dis)similarities in commodity markets T2 - Global Finance Journal N2 - In this article, we revisit recent evidence indicating that the choice of performance measure appears to be irrelevant for the ranking of investment alternatives in the commodity market. Extending the previous literature in several important ways, we provide the following insights into the rankings produced by the 13 most popular performance measures for 24 commodities. First, ranking differences are somewhat larger in the spot market than in the futures market. Second, when we use daily instead of monthly data, performance measures that model reward based on average returns still produce similar performance rankings. However, when data of higher frequency is used for performance measures modeling reward based on higher partial moments, performance rankings differ crucially from those produced by measures focusing on average returns. Finally, the degree of ranking (dis)similarity appears to vary over time. Empirically, then, the choice of performance measure can matter. Nevertheless, our findings do not invalidate recent theoretical results on ranking similarity, because population rankings may not be identical with sample rankings, which are subject to estimation error. Y1 - 2018 U6 - https://doi.org/10.1016/j.gfj.2017.09.001 SN - 1044-0283 VL - 35 SP - 115 EP - 137 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Green, greener, greenest: Identifying ecological trends and leading entities by means of environmental ratings T2 - International Review of Applied Economics N2 - In this article, we analyse whether industries worldwide significantly react to the changing environmental demands of their stakeholders. Specifically, we test the hypothesis of increasing environmentally responsible company behaviour in recent years. We do this by constructing environmental industry ratings based on a novel data-set covering three geographic regions and 42 industries from 2009 to 2015 and by fitting robust trend regression models to these ratings. Interestingly, we cannot observe a general upward trend in all industries and regions. In other words, the ‘green wave’ does not appear to carry all business sectors. This becomes particularly clear when looking at rankings derived from estimated trends. Industries in Europe show especially significant downward trends. Even though most European industries are currently rated higher than their counterparts in the Asia-Pacific region and North America, these trends indicate that Europe may lose this leading position in the future. Besides delivering such general tendencies, our estimated trends combined with the current rating levels provide important decision support. They show which industry sectors and regions are particularly (un)interesting for socially responsible investment products, ecologically conscious applicants or environmentally responsible consumers. Y1 - 2018 U6 - https://doi.org/10.1080/02692171.2017.1332015 SN - 1465-3486 SN - 0269-2171 VL - 32 IS - 2 SP - 139 EP - 163 ER - TY - GEN A1 - Auer, Benjamin R. T1 - A note on Guo and Xiao's (2016) results on monotonic functions of the Sharpe ratio T2 - Finance Research Letters Y1 - 2018 U6 - https://doi.org/10.1016/j.frl.2017.09.023 SN - 1544-6123 VL - 24 SP - 290 ER - TY - GEN A1 - Scheller, Felix A1 - Auer, Benjamin R. T1 - How does the choice of Value-at-Risk estimator influence asset allocation decisions? T2 - Quantitative Finance Y1 - 2018 U6 - https://doi.org/10.1080/14697688.2018.1459806 SN - 1469-7696 SN - 1469-7688 VL - 18 IS - 12 SP - 2005 EP - 2022 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Copulas T2 - Das Wirtschaftsstudium : WISU Y1 - 2019 SN - 0340-3084 IS - 2 SP - 175 EP - 177 ER - TY - GEN A1 - Auer, Benjamin R. A1 - Rottmann, Horst T1 - Konfidenzintervalle und Überlappung T2 - Das Wirtschaftsstudium : WISU Y1 - 2019 SN - 0340-3084 IS - 1 SP - 56 EP - 57 ER - TY - GEN A1 - Auer, Benjamin R. A1 - Rottmann, Horst T1 - Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity? T2 - Journal of Economics and Business Y1 - 2019 SN - 0148-6195 VL - 103 SP - 61 EP - 79 ER - TY - GEN A1 - Auer, Benjamin R. A1 - Hiller, Tobias T1 - Can cooperative game theory solve the low risk puzzle? T2 - International Journal of Finance and Economics Y1 - 2019 SN - 1099-1158 VL - 24 IS - 2 SP - 884 EP - 889 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Does the strength of capital market anomalies exhibit seasonal patterns? T2 - Journal of Economics and Finance Y1 - 2019 SN - 1938-9744 SN - 1055-0925 VL - 43 IS - 1 SP - 91 EP - 103 ER - TY - GEN A1 - Auer, Benjamin R. A1 - Mehlitz, Julia S. T1 - Schätzung der Kerndichte T2 - Das Wirtschaftsstudium : WISU Y1 - 2019 SN - 0340-3084 IS - 11 SP - 1210 EP - 1213 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Portfoliokonstruktionsroutinen in der praktischen Anwendung T2 - WiSt - Wirtschaftswissenschaftliches Studium Y1 - 2019 SN - 0340-1650 SN - 1982-047X VL - 48 IS - 9 SP - 44 EP - 47 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Ausfallwahrscheinlichkeit T2 - Das Wirtschaftsstudium : WISU Y1 - 2019 SN - 0340-3084 IS - 7 SP - S. 783 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Styleanalyse T2 - Das Wirtschaftsstudium : WISU Y1 - 2019 SN - 0340-3084 IS - 6 SP - 670 EP - 673 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Risikokapitalallokation mit dem Shapley-Lösungskonzept T2 - WISU - Das Wirtschaftsstudium Y1 - 2020 SN - 0340-3084 VL - 49 IS - 12 ER - TY - GEN A1 - Mehlitz, Julia S. A1 - Auer, Benjamin R. T1 - A Monte Carlo evaluation of non-parametric estimators of expected shortfall T2 - Journal of Risk Finance Y1 - 2020 SN - 1526-5943 VL - 21 IS - 4 SP - 355 EP - 397 ER - TY - GEN A1 - Lang, Korbinian A1 - Auer, Benjamin R. T1 - The economic and financial properties of crude oil: A review T2 - North American Journal of Economics and Finance Y1 - 2020 SN - 1879-0860 SN - 1062-9408 VL - 52 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Naive Prognosen T2 - WISU - Das Wirtschaftsstudium Y1 - 2020 SN - 0340-3084 VL - 49 IS - 10 SP - 1040 EP - 1044 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Saisonbereinigung T2 - WISU - Das Wirtschaftsstudium Y1 - 2020 SN - 0340-3084 VL - 49 IS - 8/9 SP - 858 EP - 860 ER - TY - CHAP A1 - Rottmann, Horst A1 - Auer, Benjamin R. T1 - Ökonometrie T2 - Gabler Wirtschaftslexikon Y1 - 2019 SN - 978-3-658-19570-0 SP - 2561 EP - 2564 PB - Springer-Gabler CY - Wiesbaden ET - 19. Auflage ER - TY - BOOK A1 - Auer, Benjamin R. A1 - Rottmann, Horst T1 - Statistik und Ökonometrie für Wirtschaftswissenschaftler : eine anwendungsorientierte Einführung Y1 - 2020 SN - 978-3-658-30136-1 U6 - https://doi.org/10.1007/978-3-658-30137-8 PB - Springer Gabler CY - Wiesbaden ET - 4., aktualisierte und überarbeitete Auflage ER - TY - GEN A1 - Vinzelberg, Anja A1 - Auer, Benjamin R. T1 - Do crude oil futures still fuel portfolio performance? T2 - Review of Financial Economics Y1 - 2021 SN - 1873-5924 SN - 1058-3300 VL - 39 IS - 4 SP - 402 EP - 423 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Have trend-following signals in commodity futures markets become less reliable in recent years? T2 - Financial Markets and Portfolio Management Y1 - 2021 SN - 2373-8529 SN - 1934-4554 VL - 35 IS - 4 SP - 533 EP - 553 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Implementation and profitability of sustainable investment strategies: An errors-in-variables perspective T2 - Business ethics, the environment & responsibility Y1 - 2021 SN - 2694-6424 VL - 30 IS - 4 SP - 619 EP - 638 ER - TY - GEN A1 - Auer, Benjamin R. A1 - Schuhmacher, Frank T1 - Comparing the small-sample estimation error of conceptually different risk measures T2 - International Journal of Theoretical and Applied Finance Y1 - 2021 SN - 1793-6322 SN - 0219-0249 VL - 24 IS - 5 ER - TY - GEN A1 - Mehlitz, Julia S. A1 - Auer, Benjamin R. T1 - Time-varying dynamics of expected shortfall in commodity futures markets T2 - Journal of Futures Markets Y1 - 2021 U6 - https://doi.org/10.1002/fut.22196 SN - 1096-9934 SN - 0270-7314 VL - 41 IS - 6 SP - 895 EP - 925 ER - TY - GEN A1 - Auer, Benjamin R. A1 - Hiller, Tobias T1 - Cost gap, Shapley or nucleolus allocation: Which is the best game-theoretic remedy for the low-risk anomaly? T2 - Managerial and Decision Economics Y1 - 2021 U6 - https://doi.org/10.1002/mde.3279 SN - 1099-1468 VL - 42 IS - 4 SP - 876 EP - 884 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Intraklassenkorrelation T2 - WISU - Das Wirtschaftsstudium Y1 - 2021 SN - 0340-3084 VL - 50 IS - 6 SP - 650 EP - 653 ER - TY - GEN A1 - Auer, Benjamin R. A1 - Rottmann, Horst T1 - Monte-Carlo-Evaluation von Instrumentenvariablenschätzern T2 - WiSt - Wirtschaftswissenschaftliches Studium Y1 - 2021 SN - 0340-1650 IS - 5 SP - 46 EP - 50 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Effektives Assetmanagement mit einfachen Regressionstechniken T2 - WiSt - Wirtschaftswissenschaftliches Studium Y1 - 2021 SN - 0340-1650 SN - 1982-047X IS - 2-3 SP - 30 EP - 36 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Google-Trendindikator T2 - WISU - Das Wirtschaftsstudium Y1 - 2021 SN - 0340-3084 VL - 50 IS - 1 SP - S. 53 ER - TY - GEN A1 - Schuhmacher, Frank A1 - Kohrs, Hendrik A1 - Auer, Benjamin R. T1 - Justifying mean-variance portfolio selection when asset returns are skewed T2 - Management Science Y1 - 2021 U6 - https://doi.org/10.1287/mnsc.2020.3846 VL - 67 IS - 12 SP - 7824 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Nachhaltiges Investieren T2 - Wirtschaftswissenschaftliches Studium Y1 - 2022 SN - 0340-1650 VL - 51 IS - 11 SP - 38 EP - 39 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Optimale vs. naive Diversifikation T2 - Wirtschaftswissenschaftliches Studium Y1 - 2022 SN - 0340-1650 VL - 51 IS - 10 SP - 38 EP - 39 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Anlagerisiken im Deutschen Aktienindex T2 - Wirtschaftswissenschaftliches Studium Y1 - 2022 SN - 0340-1650 VL - 51 IS - 7-8 SP - 36 EP - 37 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Ist Gold in Krisenzeiten ein sicherer Hafen? T2 - Wirtschaftswissenschaftliches Studium Y1 - 2022 SN - 0340-1650 VL - 51 IS - 6 SP - 46 EP - 47 ER - TY - GEN A1 - Auer, Benjamin R. T1 - Aktives Aktieninvestment in der Pandemie T2 - Wirtschaftswissenschaftliches Studium Y1 - 2022 SN - 0340-1650 VL - 51 IS - 5 SP - 40 EP - 41 ER - TY - GEN A1 - Vinzelberg, Anja A1 - Auer, Benjamin R. T1 - Unprofitability of food market investments T2 - Managerial and Decision Economics Y1 - 2022 U6 - https://doi.org/10.1002/mde.3570 SN - 1099-1468 VL - 43 IS - 7 SP - 2887 EP - 2910 ER - TY - GEN A1 - Stadtmüller, Immo A1 - Auer, Benjamin R. A1 - Schuhmacher, Frank T1 - On the benefits of active stock selection strategies for diversified investors T2 - Quarterly Review of Economics and Finance Y1 - 2022 U6 - https://doi.org/10.1016/j.qref.2022.04.006 SN - 1062-9769 VL - Vol. 85 SP - 342 EP - 354 ER - TY - GEN A1 - Stadtmüller, Immo A1 - Auer, Benjamin R. A1 - Schuhmacher, Frank T1 - On the time-varying dynamics of stock and commodity momentum returns T2 - Finance Research Letters Y1 - 2022 U6 - https://doi.org/10.1016/j.frl.2021.102385 SN - 1544-6131 VL - Vol. 46, pt. B SP - 1 EP - 10 ER - TY - GEN A1 - Auer, Benjamin R. T1 - On false discoveries of standard t-tests in investment management applications T2 - Review of Managerial Science Y1 - 2022 U6 - https://doi.org/10.1007/s11846-021-00453-0 SN - 1863-6691 VL - 16 IS - 3 SP - 751 EP - 768 ER - TY - GEN A1 - Auer, Benjamin R. A1 - Schuhmacher, Frank T1 - Are there multiple independent risk anomalies in the cross-section of stock returns? T2 - Journal of Risk Y1 - 2021 SN - 1755-2842 VL - 24 IS - 2 ER - TY - GEN A1 - Vinzelberg, Anja A1 - Auer, Benjamin R. T1 - A comparison of minimum variance and maximum Sharpe ratio portfolios for mainstream investors T2 - Journal of Risk Finance Y1 - 2022 U6 - https://doi.org/10.1108/JRF-02-2021-0021 SN - 1526-5943 VL - 23 IS - 1 SP - 55 EP - 84 ER - TY - GEN A1 - Kohrs, Hendrik A1 - Auer, Benjamin R. A1 - Schuhmacher, Frank T1 - Reducing complexity in multivariate electricity price forecasting T2 - International Journal of Energy Sector Management Y1 - 2022 U6 - https://doi.org/10.1108/IJESM-12-2020-0017 SN - 1750-6220 VL - 16 IS - 1 SP - 21 EP - 49 ER - TY - GEN A1 - Lamert, Kerstin A1 - Auer, Benjamin R. A1 - Wunderlich, Ralf T1 - Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion T2 - arXiv Y1 - 2023 U6 - https://doi.org/10.48550/arXiv.2311.15635 SP - 1 EP - 32 ER - TY - GEN A1 - Lamert, Kerstin A1 - Auer, Benjamin R. A1 - Wunderlich, Ralf T1 - Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion T2 - Mathematical Methods of Operations Research Y1 - 2025 U6 - https://doi.org/10.1007/s00186-025-00889-0 SN - 1432-2994 VL - 2025 PB - Springer Science and Business Media LLC ER -