Patrick Schwarz

Academic Staff

Patrick Schwarz, M.Sc.

Room:
R11 T07 D21
Phone:
+49 201 18-34024
Email:
Consultation Hour:
Friday: 9 to 10 a.m. (registration required)
Homepage:
Linkedin Profil
Author Profile:
SSRN

Curriculum Vitae:

Education:

  • 2018 - today: Ph.D. Student at the Chair of Finance at the University Duisburg-Essen, Campus Essen
  • 2015 - 2018: Business Administration (M.Sc.) at the Heinrich-Heine University Düsseldorf
  • 2011 - 2014: Business Administration (B.Sc.) at the Heinrich-Heine University Düsseldorf

Working experience:

  • 2018 - today: Research Assistant at the Chair of Finance at the University Duisburg-Essen, Campus Essen
  • 2019 - 2020: University Lecturer at the FOM University of Applied Sciences Essen
  • 2017 - 2018: Student Assistant at the Chair of Business Administration, Entrepreneurship and Finance at the Heinrich-Heine University Düsseldorf
  • 2014 - 2015: Professional at Deloitte & Touche Wirtschaftsprüfungsgesellschaft GmbH, Tax & Legal – Private Company Services

Honours and Awards:

  • 2016: Deutschland Stipendium (scholarship)

Fields of Research:

  • Empirical Capital Market Research, Asset Management, Asset Pricing, Anomalies and Market Efficiency.

Publications:

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  • Schwarz, Patrick: On the performance of volatility-managed equity factors - international and further evidence, 2021. Full textCitationDetails
    On the performance of volatility-managed equity factors - international and further evidence

    Abstract

    Motivated by the mixed evidence on the performance of (downside) volatility-managed equity factor portfolios in the U.S., I study the performance of nine (downside) volatility-managed equity factors before and after considering transaction costs in a set of 45 international equity markets. My results suggest that volatility management is most promising for market, value, profitability and momentum portfolios and that the performance can be enhanced by applying downside volatility instead of total volatility (variance) as a scaling factor. Nevertheless, a marginal trader would find it difficult to profit from these strategies as only the managed market and momentum strategies are partially robust to my transaction cost estimations. Collectively, my results suggest that the persistence of abnormal returns of (downside) volatility-managed equity factors can largely be explained by the associated transaction costs.

Talks:

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  • Schwarz, Patrick: Volatility-managed equity factors around the globe, 100 Jahre VHB: Jubiläumstagung des Verbands der Hochschullehrerinnen und Hochschullehrer für Betriebswirtschaft e.V., 10.03.2022, Düsseldorf (digital). Details
    Volatility-managed equity factors around the globe

    Motivated by the mixed evidence on the performance of (downside) volatility-managed equity factor portfolios in the U.S., I study the performance of nine (downside) volatility-managed equity factors before and after considering transaction costs in a set of 45 international equity markets. My results suggest that volatility management is most promising for market, value, profitability and momentum portfolios and that the performance can be enhanced by applying downside volatility instead of total volatility (variance) as a scaling factor. Nevertheless, a marginal trader would find it difficult to profit from these strategies as only the managed market and momentum strategies are partially robust to my transaction cost estimations. Collectively, my results suggest that the persistence of abnormal returns of (downside) volatility-managed equity factors can largely be explained by the associated transaction costs.

Courses:

  • WT 21/22: Exercise "Corporate Finance" (Master); Finance Seminar "Bubbles and crashes" (Bachelor) & "Trading costs" (Master)
  • ST 21: Exercise "Asset Management" (Bachelor); Finance Seminar "Long-term investment decisions" (Bachelor)
  • WT 20/21: Exercise "Corporate Finance" (Master); Finance Seminar "Dividend policy" (Bachelor) & "European Mutua Fund Performance" (Master)
  • ST 20: Lecture and Exercise "Asset Management" (Bachelor)
  • WT:19/20: Exercise "Corporate Finance" (Master); Finance Seminar "Investor Sentiment"
  • ST 19: Exercise "Asset Management" (Bachelor); Finance Seminar "Behavioral Corporate Finance"
  • WT 18/19: Exercise "Corporate Finance" (Master); Finance Seminar "Asset Management"

Memberships:

  • German Finance Association (DGF) e.V.
  • European Finance Association (EFA)

Academic Duties:

  • Board member of the House of Energy Markets and Finance
  • Course guidance Master EaF (Energy & Finance)

Note for Students:

Please make sure to only contact us with your current @stud.uni-due.de mail account. For data protection reasons, we now only process e-mail requests from e-mail addresses (*@stud.uni-due.de, *@uni-due.de) of the University of Duisburg-Essen.

Publications

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Selected publications

Talks

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Selected talks

Curriculum

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Curriculum

Term paper

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Term paper

Thesis

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Thesis