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Financial Markets and Portfolio Management
2004 - 2013
Edited by Manuel Ammann
from Springer
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Volume 27, issue 1 , 2013
The reaction of international stock markets to Federal Reserve policy pp. 1-30 Jing Wang and Xiaoneng Zhu Pricing contingent convertibles: a general framework for application in practice pp. 31-63 Markus Buergi Portfolio allocation using multivariate variance gamma models pp. 65-99 Asmerilda Hitaj and Lorenzo Mercuri Non-fully invested derivative-free bond index replication pp. 101-124 Iliya Markov , Rodrigue Oeuvray and Nils Tuchschmid V. V. Acharya, S. van Nieuwerburgh, M. Richardson, and L. J. White (2011): Guaranteed to Fail: Fannie Mae, Freddie Mac and the Debacle of Mortgage Finance, Princeton University Press. 176 pages, USD 24.95 pp. 125-126 Rico Wyss Volume 26, issue 4 , 2012
To buy or not to buy? The value of contradictory analyst signals pp. 405-428 Stefan Kanne , Jan Klobucnik , Daniel Kreutzmann and Soenke Sievers International equities listed on the New York stock exchange: does type of issue or date of issue matter? pp. 429-447 Mark Schaub Firm ratings, momentum strategies, and crises: evidence from the US and Taiwanese stock markets pp. 449-468 Nicholas Rueilin Lee Portfolio risk management in a data-rich environment pp. 469-494 Mohammed Bouaddi and Abderrahim Taamouti Simon Lack: The hedge fund mirage—the illusion of big money and why it’s too good to be true pp. 495-497 Nic Schaub Volume 26, issue 3 , 2012
Editorial pp. 297-298 Markus Schmid Any regulation of risk increases risk pp. 299-313 Philip Maymin and Zakhar Maymin VIX changes and derivative returns on FOMC meeting days pp. 315-331 Kevin Krieger , Nathan Mauck and Denghui Chen Financial frictions and real implications of macroprudential policies pp. 333-368 Alexis Derviz On the robustness of risk-based asset allocations pp. 369-401 Thorsten Poddig and Albina Unger David Larcker and Brian Tayan: Corporate governance matters—a closer look at organizational choices and their consequences pp. 403-404 Tanja Artiga Gonzalez Volume 26, issue 2 , 2012
Editorial pp. 177-178 Manuel Ammann Public information in fragmented markets pp. 179-215 Andreas Storkenmaier , Martin Wagener and Christof Weinhardt Tagging the triggers: an empirical analysis of information events prompting sell-side analyst reports pp. 217-246 Alexander Kerl , Oscar Stolper and Andreas Walter The pricing of idiosyncratic risk: evidence from the implied volatility distribution pp. 247-267 Stephan Süss Spread ladder swaps—an analysis of controversial interest rate derivatives pp. 269-289 Matthias Muck Darrell Duffie: Dark markets, asset pricing and information transmission in over-the-counter markets pp. 291-294 Sina Marquardt Massimo Morini: Understanding and managing model risk: a practical guide for quants, traders and validators pp. 295-296 Michael Verhofen Volume 26, issue 1 , 2012
Editorial pp. 1-2 Manuel Ammann Empirical cross-sectional asset pricing: a survey pp. 3-38 Amit Goyal Financial architecture, systemic risk, and universal banking pp. 39-59 Anthony Saunders and Ingo Walter Hostages, free lunches and institutional gaps: the case of the European Currency Union pp. 61-85 Günter Franke Funds of hedge funds: performance, risk and capital formation 2005 to 2010 pp. 87-108 Daniel Edelman , William Fung , David Hsieh and Narayan Naik Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests pp. 109-141 Wolfgang Bessler , Julian Holler and Philipp Kurmann Swiss banking secrecy: the stock market evidence pp. 143-176 François-Xavier Delaloye , Michel Habib and Alexandre Ziegler Volume 25, issue 4 , 2011
Editorial pp. 343-344 Manuel Ammann The 52-week high strategy and information uncertainty pp. 345-378 Hans-Peter Burghof and Felix Prothmann Unraveling a puzzle: the case of value line timeliness rank upgrades pp. 379-409 Nandkumar Nayar , Ajai Singh and Wen Yu Co-movement of revenue: structural changes in the business cycle pp. 411-433 Stefan Erdorf and Nicolas Heinrichs Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland pp. 435-453 Mario Meichle , Angelo Ranaldo and Attilio Zanetti Investing in the turn-of-the-year effect pp. 455-472 William Ziemba Franklin Allen, Elena Carletti, Jan Pieter Krahnen, and Marcel Tyrell: Liquidity and Crises pp. 473-475 Alexander Kohler Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi: Financial models with Lévy processes and volatility clustering pp. 477-478 Tobias Nigbur Volume 25, issue 3 , 2011
Editorial pp. 237-238 Manuel Ammann Google search volume and its influence on liquidity and returns of German stocks pp. 239-264 Matthias Bank , Martin Larch and Georg Peter Do option open-interest changes foreshadow future equity returns? pp. 265-280 Andy Fodor , Kevin Krieger and James Doran The influence of sponsor, servicer, and underwriter characteristics on RMBS performance pp. 281-311 Andre Guettler , Ulrich Hommel and Julia Reichert Beyond payoff diagrams: how to present risk and return characteristics of structured products pp. 313-338 Martin Wallmeier Euan Sinclair: Option Trading—Pricing and Volatility Strategies and Techniques pp. 339-340 Stephan Süss Viral V. Acharya, Thomas F. Cooley, Matthew P. Richardson, and Ingo Walter: Regulating Wall Street—The Dodd-Frank Act and the New Architecture of Global Finance pp. 341-342 Dustin Schütte Volume 25, issue 2 , 2011
Editorial pp. 109-110 Manuel Ammann Are directors’ dealings informative? Evidence from European stock markets pp. 111-148 Kaspar Dardas and Andre Güttler Competition in securities markets: the impact on liquidity pp. 149-172 Michael Chlistalla and Marco Lutat Service quality in the private banking business pp. 173-195 Carsten Horn and Markus Rudolf What drives portfolio investments of German banks in emerging capital markets? pp. 197-231 Christian Wildmann Leif B. G. Andersen and Vladimir V. Piterbarg: Interest Rate Modeling pp. 233-236 Rico von Wyss Volume 25, issue 1 , 2011
Editorial pp. 1-2 Manuel Ammann On the risk situation of financial conglomerates: does diversification matter? pp. 3-26 Nadine Gatzert and Hato Schmeiser IPO underpricing, signaling, and property returns pp. 27-51 Fabian Brämisch , Nico Rottke and Dirk Schiereck Underpricing and long-run performance of Chinese IPOs: the role of underwriter reputation pp. 53-74 Chen Su and Kenbata Bangassa Efficiency in private banking: evidence from Switzerland and Liechtenstein pp. 75-93 Johann Burgstaller and Teodoro Cocca The search for relative value in bonds pp. 95-106 Robin Grieves and Steven Mann Yuri Kabanov and Mher Safarin: Markets with transaction costs pp. 107-108 Evert Wipplinger
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