M.Sc. Victoria Voigts
30167 Hannover
Focal Points in Teaching and Research
- Asset Pricing
- Factor Models
- Machine Learning
- Climate Finance
Curriculum Vitae
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Professional background
since 04/19
Ph.D. student, Institute of Finance and Commodity Markets (Prof. Dr. Marcel Prokopczuk), Leibniz University Hannoverseit 04/19
Managing Director of the Hannover Center of Finance and Insurance e.V.11/16 - 02/19
Student assistant at the institutes of Statistics, Macroeconomics and Microeconomics -
Education
10/2017 - 02/2019
Master of Science - Economics and Management, Leibniz University Hannover, Major: Finance03/2018 - 10/2018
Studies abroad, Macquarie University Sydney, Australia, Grant by the DAAD10/2013 - 09/2017
Bachelor of Science - Economics and Management, Leibniz University Hannover, Specialization subjects: Econometrics and Statistics, Money and International Financial Industry, Econometric Theory09/2015 - 01/2016
Studies abroad, Universiteit Antwerpen, Grant by the Erasmus-Program08/2012 - 05/2013
Language study abroad in North Devon, UK07/2011
Abitur, Gymnasium Lehrte
Publications and Working Papers
How Robust are Empirical Factor Models to the Choice of Breakpoints? (with F. Hollstein and M. Prokopczuk; Quarterly Journal of Finance, forthcoming)
Abstract:
We comprehensively investigate the robustness of well-known factor models to altered factor formation breakpoints. Deviating from the standard 30th and 70th percentile selection, we use an extensive set of anomaly test portfolios to uncover two main findings: First, there is a trade-off between specification and diversification. More centered breakpoints tend to result in less (idiosyncratic) risk. More extreme sorts lead to greater exposure to the underlying anomalies and thus to higher average returns. Second, the models are robust to varying degrees. The Hou, Xue, and Zhang (2015) model is much more sensitive to changes in breakpoints than the Fama–French models.
Presentations:
- 2022 Financial Econometrics Summer School of the Society for Financial Econometrics (SoFiE), Brussels
- 2022 European Meeting of the Financial Management Association (FMA), Lyon;
- 2022 Meeting of the International Finance and Banking Society (IFBAS), Naples;
- 2023 Ph.D. Poster Session of the American Finance Association (AFA), New Orleans, LA
