Essays in International Finance

This proposal is to describe the current state as well as future plans of my research in international finance and asset pricing and to document how working under the guidance of Prof. Robert Hodrick will be uniquely beneficial to it. Starting my fourth year of the PhD program in finance (PiF) in September with a focus in Robert Hodrick's core area of expertise, a research stay at Columbia will be an ideal opportunity to further my three projects at different stages of development.My overall goal of the PhD is to contribute to a better understanding of how fundamental risk factors affect the cross-section of returns and volatility within and across asset classes. In my first project on Conditional Currency Hedging (joint work with Angelo Ranaldo), I use currency risk factors in order to derive optimal hedging policies of global equity, commodity and bond investors. In my job market paper on Investor Sentiment Risk Risk, I propose a novel risk factor that captures which securities are most affected by changes in sentiment and relate it to cross-sectional outperformance. Lastly, in my third project Sentiment, Volatility and Comovement everywhere I plan to make use of the novel sentiment factor to model conditional comovement of returns and volatility across asset classes and geographies.The plans for the three research projects are as follows: Come September, I will have redrafted my first paper on Conditional Currency Hedging into an advanced working paper and will have presented it at the World Finance Conference in New York as well as the EFMA Annual Meeting in Basel. I will then present it to Robert Hodrick as well as other esteemed faculty in the fall of 2016 with the goal to submit a competitive paper to an A journal by Thanksgiving of 2016. My job market paper on Investor Sentiment Risk is following with around a 3-6 month-lag. Having now run most baseline analysis, the plan is to have a competitive working paper by September on which to work throughout my stay in Columbia with the goal to submit it to the Western Finance Association in November 2016 and to an A journal by Spring/Summer 2017. Lastly, by September I will have run preliminary analysis for my third paper on Sentiment, Volatility and Comovement everywhere. I plan to work on it together with Robert Hodrick (who has tentatively agreed), as it will profit tremendously from his know-how on both conceptual as well as methodological modeling of comovement processes.