Financial Markets and Portfolio Management

2004 - 2009

Edited by Manuel Ammann

from Springer
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Volume 23, issue 4, 2009

Editorial pp. 333-334

Angelo Ranaldo and Paul Soderlind

Liquidity risk, credit risk, and the federal reserve’s responses to the crisis pp. 335-348

Asani Sarkar

The implementation of SNB monetary policy pp. 349-359

Thomas Jordan, Angelo Ranaldo and Paul Soderlind

The financial crisis in Norway: effects on financial markets and measures taken pp. 361-381

Tom Bernhardsen, Arne Kloster, Elisabeth Smith and Olav Syrstad

Intraday volatility responses to monetary policy events pp. 383-399

Asger Lunde and Allan Zebedee

Monetary policy shocks and stock returns: evidence from the British market pp. 401-410

A. Gregoriou, A. Kontonikas, R. MacDonald and A. Montagnoli

Volume 23, issue 3, 2009

Editorial pp. 207-208

Manuel Ammann

Commonalities in the order book pp. 209-242

Héléna Beltran-Lopez, Pierre Giot and Joachim Grammig

Pricing volatility of stock returns with volatile and persistent components pp. 243-269

Jie Zhu

Heterogeneous time varying transaction costs and asset pricing in international equity markets pp. 271-283

Andros Gregoriou, Christos Ioannidis and Sugata Ghosh

An evaluation of conditional multi-factor models in active asset allocation strategies: an empirical study for the German stock market pp. 285-313

Marcus Deetz, T. Poddig, I. Sidorovitch and A. Varmaz

A note on portfolio choice for sovereign wealth funds pp. 315-327

Bernd Scherer

C. Skiadas: Asset Pricing Theory pp. 329-330

Evert Wipplinger

C. Alexander: Market Risk Analysis (four-volume set) pp. 331-332

David Oesch

Volume 23, issue 2, 2009

Editorial pp. 109-110

Manuel Ammann

The impact of monetary policy surprises on asset return volatility: the case of Germany pp. 111-135

Ernst Konrad

Predicting premiums for the market, size, value, and momentum factors pp. 137-155

Michael Steiner

Liquidating large security positions strategically: a pragmatic and empirical approach pp. 157-186

Burkart Mönch

Selecting credit rating models: a cross-validation-based comparison of discriminatory power pp. 187-203

Marc Ryser and Stefan Denzler

Thorsten Hens and Kremena Bachmann: Behavioural Finance for Private Banking pp. 205-206

David Oesch

Volume 23, issue 1, 2009

Editorial pp. 1-2

Manuel Ammann

Do German security analysts herd? pp. 3-29

Marcel Naujoks, Kevin Aretz, Alexander Kerl and Andreas Walter

Lemmings in the bond market? An empirical analysis of the term structure of credit spreads pp. 31-57

Nikolas Rokkanen

The ex-dividend day stock price anomaly: evidence from the Greek stock market pp. 59-91

Apostolos Dasilas

Competition between financial markets in Europe: what can be expected from MiFID? pp. 93-103

Hans Degryse

Jean-Charles Rochet: Why Are there so Many Banking Crises? pp. 105-107

Bernd Brommundt

Volume 22, issue 3, 2008

Editorial pp. 193-194

Manuel Ammann

Venture capital investment practices in Europe and the United States pp. 195-217

Armin Schwienbacher

Securitization of mezzanine capital in Germany pp. 219-240

Günter Franke and Julia Hein

Enterprise risk management in financial groups: analysis of risk concentration and default risk pp. 241-258

Nadine Gatzert, Hato Schmeiser and Stefan Schuckmann

Alternative beta applied—an introduction to hedge fund replication pp. 259-279

Roman Tancar and Jan Viebig

Robert D. Arnott, Jason C. Hsu, John M. West: The Fundamental Index—A Better Way to Invest pp. 281-283

Rachel Berchtold

George Pennacchi: Theory of Asset Pricing pp. 285-286

David Oesch

Volume 22, issue 2, 2008

Editorial pp. 95-99

Wolfgang Bessler and Wolfgang Drobetz

The nature of listed real estate companies: property or equity market? pp. 101-126

Jaroslaw Morawski, Heinz Rehkugler and Roland Füss

How do commodity futures respond to macroeconomic news? pp. 127-146

Dieter Hess, He Huang and Alexandra Niessen

Optimal investments in volatility pp. 147-167

Reinhold Hafner and Martin Wallmeier

Sports betting as a new asset class—current market organization and options for development pp. 169-192

Peter Gomber, Peter Rohr and Uwe Schweickert

Volume 22, issue 1, 2008

Editorial pp. 1-2

Manuel Ammann

The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements pp. 3-20

Allan Zebedee, Eric Bentzen, Peter Hansen and Asger Lunde

Return enhancement trading strategies for size based portfolios pp. 21-45

Glen Larsen and Bruce Resnick

Implied measures of relative fund performance pp. 47-66

Steve Hogan and Mitch Warachka

Continuous-time delegated portfolio management with homogeneous expectations: can an agency conflict be avoided? pp. 67-90

Holger Kraft and Ralf Korn

Eric Jondeau, Ser-Huang Poon, Michael Rockinger (eds.): Financial modeling under non-Gaussian distributions pp. 91-92

Stephan Suess

Jim Gatheral: The volatility surface, a practitioner’s guide pp. 93-94

Evert Wipplinger

Volume 21, issue 4, 2007

Editorial pp. 401-402

Manuel Ammann

Shareholder wealth gains through better corporate governance—The case of European LBO-transactions pp. 403-424

Christian Andres, André Betzer and Charlie Weir

The tactical and strategic value of hedge fund strategies: a cointegration approach pp. 425-444

Roland Füss and Dieter Kaiser

Heterogeneous multiple bank financing: does it reduce inefficient credit-renegotiation incidences? pp. 445-470

Christina Bannier

Distribution of the shareholder base of Swiss cantonal banks pp. 471-485

Stefan Neher

Jonathan Berk, Peter DeMarzo. Corporate Finance pp. 487-489

Rachel Berchtold

Pompian, M. (2006): Behavioral Finance and Wealth Management – How to Build Optimal Portfolios That Account for Investor Biases pp. 491-492

Alexander Ising

Volume 21, issue 3, 2007

Editorial pp. 267-268

Manuel Ammann

Credit default swap prices as risk indicators of listed German banks pp. 269-292

Klaus Düllmann and Agnieszka Sosinska

Corporate cash holdings: Evidence from Switzerland pp. 293-324

Wolfgang Drobetz and Matthias Grüninger

Feasible momentum strategies: Evidence from the Swiss stock market pp. 325-352

David Rey and Markus Schmid

Price–volume relations of DAX companies pp. 353-379

Henryk Gurgul, Paweł Majdosz and Roland Mestel

Is the January effect still alive in the futures markets? pp. 381-396

Juan Rendon and William Ziemba

Philippe Jorion: Value at Risk – The New Benchmark for Managing Financial Risk pp. 397-398

Evert Wipplinger

Joel Hasbrouck: Empirical Market Microstructure pp. 399-400

Rico Wyss

Volume 21, issue 2, 2007

Editorial pp. 145-146

Manuel Ammann

An application of the Black–Litterman model with EGARCH-M-derived views for international portfolio management pp. 147-166

Steven L. Beach and Alexei Orlov

Strategic asset allocation for a country: the Norwegian case pp. 167-201

Trond Døskeland

The outperformance of family firms: the role of variance in earnings per share and analyst forecast dispersion on the Swiss market pp. 203-220

Thomas Zellweger, Roger Meister and Urs Fueglistaller

Three aspects of the Swiss term structure: an empirical survey pp. 221-240

Petra Gerlach-Kristen

The characteristics and development of the Swiss franc repurchase agreement market pp. 241-261

Sébastien Kraenzlin

Kenneth J. Singleton: Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment pp. 263-264

Anna Cieslak

Dariusz Gatarek, Przemyslaw Bachert und Robert Maksymiuk (2006): The LIBOR Market Model in Practice pp. 265-266

Rico Wyss

Volume 21, issue 1, 2007

Editorial pp. 1-2

Manuel Ammann

Advice and monitoring in venture finance pp. 3-43

Douglas J. Cumming and Sofia A. Johan

Performance differentiation: cutting losses and maximizing profits of private equity and venture capital investments pp. 45-67

Rainer Lauterbach, Isabell Welpe and Jan Fertig

Do venture capitalists imitate portfolio size? pp. 69-94

André F. Gygax and Anna Griffiths

Country and currency diversification of bond investments: do they really make sense for Swiss investors? pp. 95-120

Nicola Carcano

Return decomposition of absolute-performance multi-asset class portfolios pp. 121-134

Stefan Illmer and Wolfgang Marty

Damiano Brigo and Fabio Mercurio: Interest Rate Models – Theory and Practice pp. 135-137

David Skovmand and Michael Verhofen

Wolfgang Bessler (ed.): Exchanges, Banks, and Capital Markets - (in German: Börsen, Banken und Kapitalmärkte) pp. 139-142

Karl Keiber

Call for Papers pp. 143-144

Wolfgang Bessler and Wolfgang Drobetz