Tobias Hemauer
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Hemauer
First name
Tobias
Email
tobias.hemauer@unisg.ch
Phone
+41 71 224 70 17

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  • Publication
    Informative Value, Profitability, and Investment Factors
    ( 2023-12-28)
    Ammann, Manuel
    ;
    Hemauer, Tobias
    ;
    Straumann, Simon
    Book-to-market, profitability, and investment - the characteristics underlying the Fama-French value, profitability, and investment factors - are imperfect indicators of expected returns. This study narrows down the characteristics' expected return information and uses their informative parts to construct enhanced factors. These informative factors exhibit around 50% higher Sharpe ratios than their standard counterparts. They strongly outperform the standard Fama-French factors regarding the maximum Sharpe ratio criterion and in pricing characteristics-sorted portfolios. Importantly, unlike the standard factors, the informative factors exhibit positive risk prices, making them genuine risk factor candidates. Moreover, our procedure to enhance the factors outperforms other enhancement procedures.
    Type: working paper
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/117177
  • Publication
    Resurrecting the Value Factor from its Redundancy
    ( 2023-12-28)
    Ammann, Manuel
    ;
    Hemauer, Tobias
    ;
    Straumann, Simon
    The value factor lacks incremental pricing power in the Fama-French five-factor model, being subsumed by the investment factor. The factors' relationship arises because book-to-market and investment both capture information about expected returns and cash flows. Using only stocks whose book-to-market and investment primarily reflect expected return information to construct the factors increases their means and Sharpe ratios by more than 50%. Importantly, the adjusted factors capture not only more but also complementary pricing information and improve the five-factor model's pricing power. Thus, a value factor built from stocks for which book-to-market is a good expected return indicator is not redundant.
    Type: working paper
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/108718
  • Publication
    The Pricing of Continuous and Discontinuous Factor Risks
    ( 2023-12-28)
    Hemauer, Tobias
    This study considers the Fama-French five-factor model in continuous time, allowing stocks' exposures to the factors' continuous, jump, and overnight movements to differ. Empirically, stocks' continuous, jump, and overnight betas on a given factor can be very different and are only weakly positively related. Contrary to existing evidence, I find continuous market exposure to be positively priced and overnight market exposure to be negatively priced. Moreover, overnight exposures to the size, value, profitability, and investment factors are positively priced, while continuous exposures to these factors are mostly negatively priced. Jump exposures are not consistently priced. I show that these pricing patterns likely arise to compensate investors for being exposed to a tug of war between institutional investors trading intraday and retail investors trading overnight. Finally, I document that the factors' overnight risk prices have predictive power for their future returns.
    Type: working paper
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/119102