Lebenslauf:

Ausbildung:

• 2018 - heute: Promotionsstudent am Lehrstuhl für Finanzierung an der Universität Duisburg-Essen, Campus Essen
• 2015 - 2018: Studium der Betriebswirtschaftslehre (M.Sc.) an der Heinrich-Heine Universität Düsseldorf
• 2011 - 2014: Studium der Betriebswirtschaftslehre (B.Sc.) an der Heinrich-Heine Universität Düsseldorf

Praktische Erfahrungen:

• 2018 - heute: Wissenschaftlicher Mitarbeiter am Lehrstuhl für Finanzierung an der Universität Duisburg-Essen, Campus Essen
• 2019 - 2020: Dozent für Finance an der Hochschule für Ökonomie und Management (FOM)
• 2017 - 2018: Wissenschaftliche Hilfskraft am Lehrstuhl für Betriebswirtschaftslehre, insbesondere Entrepreneurship und Finanzierung an der Heinrich-Heine Universität Düsseldorf
• 2014 - 2015: Professional bei Deloitte & Touche Wirtschaftsprüfungsgesellschaft GmbH, Tax & Legal – Private Company Services

Ehrungen und Auszeichnungen:

• 2016: Deutschland Stipendium

Forschungsgebiete:

• Empirische Kapitalmarktforschung, Asset Management, Asset Pricing, Anomalien und Markteffizienz 

Publikationen:

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

  

  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.

Vorträge:

• 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). AbstractDetails

  

  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.

Lehrveranstaltungen:

• WS 21/22: Übung zu "Corporate Finance" (Master); Fachseminar zu "Bubbles and crashes" (Bachelor) & "Trading costs" (Master)
• SS 21: Übung zu "Asset Management" (Bachelor); Fachseminar zu "Lanfgristige Investitionsentscheidungen" (Bachelor)
• WS 20/21: Übung zu "Corporate Finance" (Master); Fachseminar zu "Dividendenpolitik" (Bachelor) & "European Mutua Fund Performance" (Master)
• SS 20: Vorlesung und Übung zu "Asset Management" (Bachelor)
• WS 19/20: Übung zu "Corporate Finance" (Master); Fachseminar zu "Investor Sentiment"
• SS 19: Übung zu "Asset Management" (Bachelor); Fachseminar zu "Behavioral Corporate Finance"
• WS 18/19: Übung zu "Corporate Finance" (Master); Fachseminar zur "Vermögensverwaltung"

Mitgliedschaften:

• Deutsche Gesellschaft für Finanzierung (DGF) e.V.
• European Finance Association (EFA)

Inneruniversitäre Funktionen:

• Mitglied des Vorstands des House of Energy Markets and Finance (HEMF)
• Fachstudienberatung Master EaF (Energy & Finance)