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Financial Markets and Portfolio Management

2004 - 2022

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 () and Springer Nature Abstracting and Indexing ().

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Volume 36, issue 2, 2022

On the Effects of Capital Markets’ Regulation on Price Informativeness: an Assessment of EU Market Abuse Directive pp. 125-157 Downloads
Paulo Pereira Silva and Isabel Vieira
China’s anti-corruption campaign and stock returns of luxury goods firms pp. 159-177 Downloads
Thomas Nitschka
Corporate bond yields and returns: a survey pp. 179-201 Downloads
Stephanie Heck
Empirical analysis of the illiquidity premia of German real estate securities pp. 203-260 Downloads
Thomas Paul, Thomas Walther and André Küster-Simic
Gregory Scopino: Algo Bots and the Law pp. 261-263 Downloads
Donglin He

Volume 36, issue 1, 2022

State-dependent stock selection in index tracking: a machine learning approach pp. 1-28 Downloads
Reza Bradrania, Davood Pirayesh Neghab and Mojtaba Shafizadeh
Star rating, fund flows and performance predictability: evidence from Norway pp. 29-56 Downloads
Linn K. Aasheim, António F. Miguel and Sofia B. Ramos
Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach pp. 57-85 Downloads
Francesco Bianchi, Lorenzo Mercuri and Edit Rroji
Changes in co-movement and risk transmission between South Asian stock markets amidst the development of regional co-operation pp. 87-117 Downloads
Muhammad Niaz Khan, Suzanne G. M. Fifield, Nongnuch Tantisantiwong and David M. Power
“Empirical Asset Pricing” by Wayne Ferson pp. 119-121 Downloads
Fabian Hollstein
Report of the Editor 2021 pp. 123-124 Downloads
Markus Schmid

Volume 35, issue 4, 2021

Analyst herding and firm-level investor sentiment pp. 461-494 Downloads
John Garcia
COVID-19’s impact on real estate markets: review and outlook pp. 495-513 Downloads
Nadia Balemi, Roland Füss and Alois Weigand
Covid-19 and smart beta pp. 515-532 Downloads
Milot Hasaj and Bernd Scherer
Have trend-following signals in commodity futures markets become less reliable in recent years? pp. 533-553 Downloads
Benjamin R. Auer
Matthew F. Dixon, Igor Halperin, and Paul Bilokon: Machine learning in finance from theory to practice pp. 555-557 Downloads
Antoniya Shivarova

Volume 35, issue 3, 2021

The better turbulence index? Forecasting adverse financial markets regimes with persistent homology pp. 277-308 Downloads
Eduard Baitinger and Samuel Flegel
Cross-validated covariance estimators for high-dimensional minimum-variance portfolios pp. 309-352 Downloads
Sven Husmann, Antoniya Shivarova and Rick Steinert
Gold and oil prices: abnormal returns, momentum and contrarian effects pp. 353-368 Downloads
Guglielmo Maria Caporale and Alex Plastun
Designing volatility indices for Austria, Finland and Spain pp. 369-455 Downloads
Giovanni Campisi and Silvia Muzzioli
Onno de Beaufort Wijnholds: the money masters—the progress and power of central banks pp. 457-459 Downloads
Donglin He

Volume 35, issue 2, 2021

Seasonalities in the German stock market pp. 151-192 Downloads
Daniel Hofmann and Karl Ludwig Keiber
Interaction effects between dynamic hybrid products and traditional deferred annuities in the German life insurance market pp. 193-224 Downloads
Nikolaj Moretti and Johannes Bartels
The US financial crisis, market volatility, credit risk and stock returns in the Americas pp. 225-254 Downloads
Juan Andres Rodriguez-Nieto and Andre V. Mollick
Product market competition and intermediate-term momentum pp. 255-267 Downloads
Scott Li
Matthias Thiemann: The Growth of Shadow Banking: A Comparative Institutional Analysis pp. 269-272 Downloads
Pēteris Kloks

Volume 35, issue 1, 2021

ICO investors pp. 1-59 Downloads
Ruediger Fahlenbrach and Marc Frattaroli
Testing for structural breaks in return-based style regression models pp. 61-76 Downloads
Yunmi Kim, Douglas Stone and Tae-Hwan Kim
A literature review of new methods in empirical asset pricing: omitted-variable and errors-in-variable bias pp. 77-100 Downloads
Solène Collot and Tobias Hemauer
A comprehensive investigation into style momentum strategies in China pp. 101-144 Downloads
Chen Su
Antony Lewis: The basics of bitcoins and blockchains pp. 145-147 Downloads
Luca J. Liebi
Report of the Editor 2020 pp. 149-150 Downloads
Markus Schmid

Volume 34, issue 4, 2020

Behavioral portfolio insurance strategies pp. 353-399 Downloads
Marcos Escobar-Anel, Andreas Lichtenstern and Rudi Zagst
Time-consistent mean–variance asset-liability management in a regime-switching jump-diffusion market pp. 401-427 Downloads
Yu Yang, Yonghong Wu and Benchawan Wiwatanapataphee
Flight-to-quality in the stock–bond return relation: a regime-switching copula approach pp. 429-470 Downloads
Minoru Tachibana
Dominance of hybrid contratum strategies over momentum and contrarian strategies: half a century of evidence pp. 471-505 Downloads
Kobana Abukari and Isaac Otchere
Marcos M. López de Prado: Machine learning for asset managers pp. 507-509 Downloads
Florian Hinz

Volume 34, issue 3, 2020

Factor exposures and diversification: Are sustainably screened portfolios any different? pp. 221-249 Downloads
Arnaud Gougler and Sebastian Utz
Momentum effects in the cryptocurrency market after one-day abnormal returns pp. 251-266 Downloads
Guglielmo Maria Caporale and Alex Plastun
Diversification and portfolio theory: a review pp. 267-312 Downloads
Nettey Boevi Gilles Koumou
A new unbiased additive robust volatility estimation using extreme values of asset prices pp. 313-347 Downloads
Muneer Shaik and S. Maheswaran
Emmanuel Saez and Gabriel Zucman: The Triumph of Injustice: How the Rich Dodge Taxes and How to Make Them Pay pp. 349-352 Downloads
Matthias Weber

Volume 34, issue 2, 2020

Portfolio creation using artificial neural networks and classification probabilities: a Canadian study pp. 133-163 Downloads
Tania Morris and Jules Comeau
The effect of ETFs on financial markets: a literature review pp. 165-178 Downloads
Luca J. Liebi
Are intraday reversal and momentum trading strategies feasible? An analysis for German blue chip stocks pp. 179-197 Downloads
Tim A. Herberger, Matthias Horn and Andreas Oehler
A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization pp. 199-214 Downloads
Jules Clement Mba and Sutene Mwambi
Claudia Zeisberger, Michael Prahls and Bowen White: Mastering Private Equity: transformation via venture capital, minority investments and buyouts pp. 215-217 Downloads
Maria Oliveira
FMPM Best Paper Award 2019 pp. 219-220 Downloads
Markus Schmid

Volume 34, issue 1, 2020

Aggregate insider trading and the prediction of corporate credit spread changes pp. 1-31 Downloads
Patrick Hable and Patrick Launhardt
Which firms benefit from market making? pp. 33-63 Downloads
Y. Peter Chung, S. Thomas Kim, Kenji Kutsuna and Richard L. Smith
The stock market’s reaction to macroeconomic news under ambiguity pp. 65-97 Downloads
Ariel Viale, Antoine Giannetti and Luis Garcia-Feijoó
Collateral affects return risk: evidence from the euro bond market pp. 99-128 Downloads
Stig Helberg and Snorre Lindset
Lasse Heje Pedersen: Efficiently inefficient: how smart money invests and market prices are determined pp. 129-131 Downloads
Vitaly Orlov
Page updated 2022-08-07