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Ulrich Hammerich

Job Market Candidate

Wissenschaftlicher Mitarbeiter

Kontakt:

Max-von-Laue-Straße 1
28359 Bremen
WIWI 2, Raum F4380

Telefon: +49 (0)421 218-66727
hammerich[at]uni-bremen.de

Social Media

 

 

 

Zur Person

1987geb. in Tauberbischofsheim
2006Abitur in Tauberbischofsheim
2006-2013Studium der Soziologie und Wirtschaftsinformatik an der Universität Bamberg
2009-2013Statistische Modellierung, Programmierung und Prognose mit Finanzmarktdaten
2011-2012Praktikum bei Futures Services GmbH in Tauberbischofsheim
2013Abschluss als Dipl.-Soz. (Univ.)
2014-2015Start-up Co-Founder kulevo GmbH (Finanzplanung); plasmap GbR
2015Freier Wissenschaftler: Stock Investing, Behavioral Finance, Predictive Analytics
2016-2019Wissenschaftlicher Mitarbeiter am Lehrstuhl für Finanzwirtschaft
seit 2019Gastwissenschaftler am Lehrstuhl für Finanzwirtschaft

Konferenzbeiträge

German Finance Association (DGF) Annual Meeting 2019, Universität Duisburg-Essen

Paper: Price, Cultural Dimensions, and the Cross-Section of Expected Stock Returns (Vortrag)

 
Mutual Funds, Hedge Funds and Factor Investing (MHF) Conference 2019,
Lancaster University Management School, UK

Paper: Price, Cultural Dimensions, and the Cross-Section of Expected Stock Returns (Poster)

 
Financial Management Association (FMA) Annual Meeting 2018, San Diego, CA, USA

Paper: Nominal Stock Price Investing (Vortrag), aktuelle Version des Papers auf SSRN oder Researchgate

Diskussion: Time Series and Cross-Sectional Momentum in Anomaly Returns

(Feifei Wang, Xuemin (Sterling) Yan, Lingling Zheng)

 

Research in Behavioral Finance Conference (RBFC) 2018, VU Amsterdam, die Niederlande

Paper: Nominal Stock Price Investing (Poster)

 

Seminare

HVB-Seminar 2019, Universität Hannover

Paper: Price, Cultural Dimensions, and the Cross-Section of Expected Stock Returns (Vortrag)

 

HVB-Seminar 2017, Ruhr-Universität Bochum

Paper: Nominal Stock Price Investing (Vortrag)

Arbeitspapiere (Auswahl)

Price, Cultural Dimensions, and the Cross-Section of Expected Stock Returns

Abstract

We document a nominal stock price effect that is (like momentum) associated with (national) culture. Using the full spectrum of cultural dimensions proposed by Hofstede et al. and the cross-section of stock returns of 41 countries, we not only show a robust predictive and explanatory power of price in conjunction with several cultural dimensions, but of cultural differences in general. Although momentum and price are related investment strategies, we find a broad (escalating) European high-price effect, but a material low-price effect in Asia as well as the most significant and robust low-price effect for the US. Most consistent around the world, high-priced stocks show lower return volatility and market betas than low-priced stocks and lower values for skewness of returns.

 

Nominal Stock Price Investing(zusammen mit C. Fieberg & T. Poddig)

Abstract

We find that high-priced stocks show significantly higher Sharpe ratios than low-priced stocks. Also, price as an investment style is especially beneficial when applied in a multi-investment style setting, reducing portfolio volatility significantly while adding additional alpha. Implementing robustness tests and factor regressions, the price effect stays alive despite revealing tight connections to investment styles like momentum, low beta and size. Our framework offers yet ignored explanations why nominal prices are consequential for stock returns. We line our argumentation using an event-based, market-wide dramatic dispersion of stock prices in our sample, turning a strong low-price into a strong high-price effect.

Forschungsschwerpunkte

International Stock Market Portfolio Strategies

Investment Styles

Asset/Stock Pricing

Cultural Finance

Behavioral Finance

Simulation of Investment Styles' Time Series

 

In my present research, I connect traditional asset pricing and asset management methodologies with quantifiable cultural dimensions to pioneer culture-based respectively culture-neutral asset pricing and asset management.

Medienberichterstattung

ETF.com (18.11.2016): Swedroe: The Perils Of Bargain Hunting
CXO Advisory Group (25.10.2016): High Prices Mean Good Stocks?
Aktualisiert von: Daniel Metko