Professor Kempf has been teaching at the University of Cologne since 1999, where he heads the Department of Business Administration and Finance. In 2004, he also assumed the role of Managing Director of the CFR Centre for Financial Research, Cologne. From 2002 to 2011, he served as the spokesperson for the DFG Research Training Group "Theoretical and Empirical Foundations of Risk Management." Professor Kempf has been a full member of the North Rhine-Westphalian Academy of Sciences and Arts since 2006.

In his research, Professor Kempf focuses on asset allocation from the perspective of private and institutional investors. His work centers on the design and success of investment strategies as well as the management of associated risks. Topics under investigation include active and passive investment strategies, the investment decisions of private investors, and the benefits of financial advice. Another area of focus is investment funds — including exchange-traded funds (ETFs) — hedge funds, and the behavior of fund managers and fund companies. He is particularly interested in the question of how academic findings can be translated into well-informed and sustainable long-term investment decisions.

His research has been published in leading academic journals such as the Journal of Financial Economics, the Review of Financial Studies, the Journal of Financial and Quantitative Analysis, and the Review of Finance.