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Financial Markets and Portfolio Management

2004 - 2018

Current editor(s): Manuel Ammann

From:
Springer
Swiss Society for Financial Market Research
Contact information at EDIRC.

Bibliographic data for series maintained by Sonal Shukla ().

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Volume 32, issue 4, 2018

Financial crises, price discovery, and information transmission: a high-frequency perspective pp. 333-365 Downloads
Roland Füss, Ferdinand Mager, Michael Stein and Lu Zhao
Are financial constraints of corporate activist investors perceived negatively? pp. 367-398 Downloads
Leopold Ingenohl and Nicolas Kube
A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization pp. 399-418 Downloads
Jules Clement Mba, Edson Pindza and Ur Koumba
Mean–variance and mean–semivariance portfolio selection: a multivariate nonparametric approach pp. 419-436 Downloads
Hanen Ben Salah, Jan G. Gooijer, Ali Gannoun and Mathieu Ribatet
Andrew W. Lo: Adaptive markets: financial evolution at the speed of thought pp. 437-439 Downloads
Mathis Mörke

Volume 32, issue 3, 2018

Changes in sentiment on REIT industry excess returns and volatility pp. 239-274 Downloads
Daniel Huerta-Sanchez and Diego Escobari
Oil prices implied volatility or direction: Which matters more to financial markets? pp. 275-295 Downloads
Brice V. Dupoyet and Corey A. Shank
Risk measurement distortion: an improved model of return smoothing pp. 297-310 Downloads
Jiaqi Chen, Michael L. Tindall and Wenbo Wu
Behavioral portfolio selection and optimization: an application to international stocks pp. 311-328 Downloads
Beatrice D. Simo-Kengne, Kofi A. Ababio, Jules Mba and Ur Koumba
Daniel Drescher: Blockchain basics: a non-technical introduction in 25 steps pp. 329-331 Downloads
Nicolas Kube

Volume 32, issue 2, 2018

Hedge fund incentives, management commitment and survivorship pp. 115-142 Downloads
Judy Qiu, Leilei Tang and Ingo Walter
Determinants of municipal loan spreads: empirical evidence from Switzerland pp. 143-166 Downloads
Fabio Sigrist, Patrick Köchli and Christoph Lengwiler
Portfolio diversification: the influence of herding, status-quo bias, and the gambler’s fallacy pp. 167-205 Downloads
Ibrahim Filiz, Thomas Nahmer, Markus Spiwoks and Kilian Bizer
The dynamic dependence between stock markets in the greater China economic area: a study based on extreme values and copulas pp. 207-233 Downloads
Saiful Izzuan Hussain and Steven Li
Michelle Baddeley: Behavioral economics: a very short introduction pp. 235-237 Downloads
Jonas Romer

Volume 32, issue 1, 2018

Long-term negative fund alpha: Is it caused by bad skill or bad luck? pp. 1-16 Downloads
Qiang Bu
International asset allocation using the market implied cost of capital pp. 17-51 Downloads
Patrick Bielstein
Institutional spending policies: implications for future asset values and spending pp. 53-76 Downloads
Snorre Lindset and Egil Matsen
What really happens if the positive definiteness requirement on the covariance matrix of returns is relaxed in efficient portfolio selection? pp. 77-110 Downloads
Clarence C. Y. Kwan
Radu S. Tunaru: Real-Estate Derivatives: From Econometrics to Financial Engineering pp. 111-113 Downloads
Daniel Ruf

Volume 31, issue 4, 2017

Fueling the buyout machine: fundraising in private equity pp. 397-443 Downloads
Robert Loos and Bernhard Schwetzler
Valuation of certain CMS spreads pp. 445-467 Downloads
Ping Wu and Robert J. Elliott
The optimal trade-off between interest rate risk and annual return of bond ladders pp. 469-489 Downloads
Jan Henrik Wosnitza
The rolling causal structure between the Chinese stock index and futures pp. 491-509 Downloads
Xiaojie Xu
William N. Goetzmann: Money changes everything—how finance made civilization possible pp. 511-514 Downloads
Neha Gupta
Erratum to: Searching for a listed infrastructure asset class using mean–variance spanning pp. 515-515 Downloads
Frédéric Blanc-Brude, Timothy Whittaker and Simon Wilde

Volume 31, issue 3, 2017

Predictive models for disaggregate stock market volatility pp. 261-288 Downloads
Terence Tai Leung Chong and Shiyu Lin
Risks and rewards for momentum and reversal portfolios pp. 289-315 Downloads
Yuming Li
Tukey’s transformational ladder for portfolio management pp. 317-355 Downloads
Philip A. Ernst, James R. Thompson and Yinsen Miao
Predicting stock returns in the presence of uncertain structural changes and sample noise pp. 357-391 Downloads
Daniel Mantilla-García and Vijay Vaidyanathan
Ira M. Millstein: The activist director—lessons from the boardroom and the future of the corporation pp. 393-395 Downloads
Felix Meyerinck

Volume 31, issue 2, 2017

Hedge funds as international liquidity providers: evidence from convertible bond arbitrage in Canada pp. 117-136 Downloads
Evan Gatev and Mingxin Li
Searching for a listed infrastructure asset class using mean–variance spanning pp. 137-179 Downloads
Frédéric Blanc-Brude, Timothy Whittaker and Simon Wilde
A note on the valuation of asset management firms pp. 181-199 Downloads
Juha Joenväärä and Bernd Scherer
Trading strategies based on past returns: evidence from Germany pp. 201-256 Downloads
Martin H. Schmidt
Davis W. Edwards: Risk Management in Trading: Techniques to Drive Profitability of Hedge Funds and Trading Desks pp. 257-259 Downloads
Sebastian Fischer

Volume 31, issue 1, 2017

A good pair: alternative pairs-trading strategies pp. 1-26 Downloads
Richard Smith and Xun Xu
How does the underlying affect the risk-return profiles of structured products? pp. 27-47 Downloads
Ji Cao
Algorithmic portfolio choice: lessons from panel survey data pp. 49-67 Downloads
Bernd Scherer
Can investors benefit from the performance of alternative UCITS funds? pp. 69-111 Downloads
Michael Busack, Wolfgang Drobetz and Jan Tille
Turan G. Bali, Yigit Atilgan, and K. Ozgur Demirtas: Investing in hedge funds: a guide to measuring risk and return characteristics pp. 113-115 Downloads
Florian Weigert

Volume 30, issue 4, 2016

Quantifying the components of the banks’ net interest margin pp. 371-396 Downloads
Ramona Busch and Christoph Memmel
Assessing financial distress dependencies in OTC markets: a new approach using trade repositories data pp. 397-426 Downloads
Michele Bonollo, Irene Crimaldi, Andrea Flori, Laura Gianfagna and Fabio Pammolli
Changing organizational form in the stock exchange industry and risk-taking pp. 427-451 Downloads
Isaac Otchere and Sana Mohsni
How safe are the safe haven assets? pp. 453-482 Downloads
Kateryna Anatoliyevna Kopyl and John Byong-Tek Lee
John F. Bovenzi: Inside the FDIC: Thirty Years of Bank Failures, Bailouts, and Regulatory Battles pp. 483-485 Downloads
Thomas Spycher

Volume 30, issue 3, 2016

Is there Swissness in investment decision behavior and investment competence? pp. 233-275 Downloads
Kremena Bachmann and Thorsten Hens
The characteristics of infrastructure as an investment class pp. 277-297 Downloads
Wouter Thierie and Lieven De Moor
The impact of mobile payment on payment choice pp. 299-336 Downloads
Tobias Trütsch
Capturing short-term and long-term alpha of global bond portfolios: evidence from EUR-investors’ perspective pp. 337-365 Downloads
Gueorgui Konstantinov
Claus Munk: Financial Asset Pricing Theory pp. 367-369 Downloads
Igor Pozdeev

Volume 30, issue 2, 2016

Does female management influence firm performance? Evidence from Luxembourg banks pp. 113-136 Downloads
Regina M. Reinert, Florian Weigert and Christoph H. Winnefeld
Price distortion induced by a flawed stock market index pp. 137-160 Downloads
Kotaro Miwa and Kazuhiro Ueda
Beating the DAX, MDAX, and SDAX: investment strategies in Germany pp. 161-204 Downloads
Friedrich-Carl Franz and Tobias Regele
A plausible model of yield curve dynamics pp. 205-228 Downloads
Gideon Magnus
David F. Larcker and Brian Tayan: A Real Look at Real World Corporate Governance pp. 229-231 Downloads
Nicolas Kube

Volume 30, issue 1, 2016

Reputational risks and large international banks pp. 1-17 Downloads
Ingo Walter
Reputational risks and large international banks pp. 1-17 Downloads
Ingo Walter
Which stocks drive the size, value, and momentum anomalies and for how long? Evidence from a statistical leverage analysis pp. 19-61 Downloads
Kevin Aretz and Marc Aretz
Which stocks drive the size, value, and momentum anomalies and for how long? Evidence from a statistical leverage analysis pp. 19-61 Downloads
Kevin Aretz and Marc Aretz
(Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets pp. 63-94 Downloads
Nicholas Apergis, Alexandros Gabrielsen and Lee Smales
(Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets pp. 63-94 Downloads
Nicholas Apergis, Alexandros Gabrielsen and Lee Smales
Further examination of the demographic and social factors affecting risk aversion pp. 95-110 Downloads
Tchai Tavor and Sharon Garyn-Tal
Further examination of the demographic and social factors affecting risk aversion pp. 95-110 Downloads
Tchai Tavor and Sharon Garyn-Tal
Karamjeet Paul: Managing extreme financial risk: strategies and tactics for going concerns pp. 111-112 Downloads
Simon Strauman
Karamjeet Paul: Managing extreme financial risk: strategies and tactics for going concerns pp. 111-112 Downloads
Simon Strauman
Page updated 2018-12-10