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Financial Markets and Portfolio Management

2004 - 2022

Current editor(s): Manuel Ammann

Swiss Society for Financial Market Research
Contact information at EDIRC.

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Volume 33, issue 4, 2019

Oil, the Baltic Dry index, market (il)liquidity and business cycles: evidence from net oil-exporting/oil-importing countries pp. 349-416 Downloads
Husaini Said and Evangelos Giouvris
Incorporating financial market volatility to improve forecasts of directional changes in Australian share market returns pp. 417-445 Downloads
Riza Erdugan, Nada Kulendran and Riccardo Natoli
Risk estimation for short-term financial data through pooling of stable fits pp. 447-470 Downloads
Marzia De Donno, Riccardo Donati, Gino Favero and Paola Modesti
Buffett’s alpha: further explanations from a behavioral value investing perspective pp. 471-490 Downloads
Eben Otuteye and Mohammad Siddiquee
Marcos López de Prado: Advances in financial machine learning pp. 491-493 Downloads
Mathis Mörke

Volume 33, issue 3, 2019

Common risk factors in international stock markets pp. 213-241 Downloads
Peter S. Schmidt, Urs von Arx, Andreas Schrimpf, Alexander F. Wagner and Andreas Ziegler
Alpha forecasting in factor investing: discriminating between the informational content of firm characteristics pp. 243-275 Downloads
Lars Heinrich and Martin Zurek
What is the best Lévy model for stock indices? A comparative study with a view to time consistency pp. 277-344 Downloads
Till Massing
Handbook on Corporate Governance in Financial Institutions pp. 345-348 Downloads
Solène Collot

Volume 33, issue 2, 2019

Bitcoin fluctuations and the frequency of price overreactions pp. 109-131 Downloads
Guglielmo Maria Caporale, Alex Plastun and Viktor Oliinyk
Thematic portfolio optimization: challenging the core satellite approach pp. 133-154 Downloads
Florian Methling and Rüdiger Nitzsch
Price dynamics in corn cash and futures markets: cointegration, causality, and forecasting through a rolling window approach pp. 155-181 Downloads
Xiaojie Xu
High-frequency trading: a literature review pp. 183-208 Downloads
Gianluca Piero Maria Virgilio
Scott E. Page: The model thinker—what you need to know to make data work for you pp. 209-211 Downloads
Alexander Cochardt

Volume 33, issue 1, 2019

Extreme spillovers of VIX fear index to international equity markets pp. 1-38 Downloads
Massaporn Cheuathonghua, Chaiyuth Padungsaksawasdi, Pattana Boonchoo and Jittima Tongurai
What drives stock returns in Japan? pp. 39-69 Downloads
Samuel Xin Liang
Does the market model provide a good counterfactual for event studies in finance? pp. 71-91 Downloads
Carlos Castro-Iragorri
Machine learning in empirical asset pricing pp. 93-104 Downloads
Alois Weigand
Alan Greenspan and Adrian Wooldridge: Capitalism in America: A history pp. 105-107 Downloads
Felix Meyerinck

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 Desiree Simo-Kengne, Kofi A. Ababio, Jules Clement 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
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