Moritz Dauber, MSc MSc
PhD Candidate
Department of Banking and Finance
o.4.05 (SOWI)
Upon request
Research
Research Interests
Asset Pricing
Time Series Analysis
Working Papers
Common Factors in Currency Characteristics (2025) with D.Umlandt,
Working paper.
(SSRN)We study the factor structure of currency characteristics by employing a threedimensional tensor factor model that simultaneously captures the variation in characteristics of the G10 currencies over time. We show that factor-mimicking portfolios derived from these common factors in currency characteristics are able to price individual currency returns better than standard factor models derived from univariate sorts on the same characteristics. The variation in currency characteristics can be well captured by a parsimonious two-factor model, where the first factor closely resembles the carry trade and the second factor acts as a hedge against carry crash risk, that is composed of signals from FX momentum, FX value and the term spread. A potential third factor, which dynamically weights several characteristics, incrementally improves the fit of the total variation but has a high Sharpe ratio.
The Decay of cay (2023) with J.Lawrenz,
Working paper.
Comprehensive empirical assessment of the forecasting ability of the consumption-to-wealth ratio cay. We show that during the last 15-20 years, cay appears to have lost its alleged predictability altogether. We find neither in-sample, out-of-sample, nor economic predictability from the perspective of most recent data. The behavior of wealth is increasingly detached from consumption since at least 2000.
Education
2022- PhD in Economics and Statistics at the University of Innsbruck, Austria
2020-2022 MSc in Applied Economics at the University of Innsbruck, Austria
2017-2020 MSc in Mathematics at the University of Mainz, Germany
2014-2017 BSc in Mathematics at the University of Mainz, Germany
Teaching
Winter term 2023/24 UE Principals of Mathematical Finance
Summer term 2023 SE Risk Management and Derivatives
Awards
Clemens-August-Andreae Price 2023 for the best master's thesis in Economics at the University of Innsbruck