Financial Markets and Portfolio Management

2004 - 2025

Current editor(s): Manuel Ammann

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Springer
Swiss Society for Financial Market Research
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Volume 36, issue 4, 2022

Interest rate shocks, competition and bank liquidity creation pp. 409-441

Thomas Kick

How online discussion board activity affects stock trading: the case of GameStop pp. 443-472

André Betzer and Jan Philipp Harries

Beyond mean–variance: assessing hedge fund performance in a non-parametric world pp. 473-488

Afrae Hassouni and Hugues Pirotte Speder

Response of ETF flows and long-run returns to investor sentiment pp. 489-531

Padma Kadiyala

J. C. De Swaan: Seeking virtue in finance—contributing to society in a conflicted industry pp. 533-535

Manuel P. Mezger

Volume 36, issue 3, 2022

German banks’ behavior in the low interest rate environment pp. 267-296

Ramona Busch, Helge C. N. Littke, Christoph Memmel and Simon Niederauer

Exploring the diversification benefits of US international equity closed-end funds pp. 297-320

Jonathan Fletcher

Can the FSCORE add value to anomaly-based portfolios? A reality check in the German stock market pp. 321-367

Eero Pätäri, Timo H. Leivo and Sheraz Ahmed

From innovation to obfuscation: continuous time finance fifty years later pp. 369-401

Stylianos Perrakis

Book Review: Decentralized finance after Bitcoin & Ethereum pp. 403-405

Luca J. Liebi

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

Paulo Pereira Silva and Isabel Vieira

China’s anti-corruption campaign and stock returns of luxury goods firms pp. 159-177

Thomas Nitschka

Corporate bond yields and returns: a survey pp. 179-201

Stephanie Heck

Empirical analysis of the illiquidity premia of German real estate securities pp. 203-260

Thomas Paul, Thomas Walther and André Küster-Simic

Gregory Scopino: Algo Bots and the Law pp. 261-263

Donglin He

Volume 36, issue 1, 2022

State-dependent stock selection in index tracking: a machine learning approach pp. 1-28

Reza Bradrania, Davood Pirayesh Neghab and Mojtaba Shafizadeh

Star rating, fund flows and performance predictability: evidence from Norway pp. 29-56

Linn K. Aasheim, António F. Miguel and Sofia Ramos

Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach pp. 57-85

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

Muhammad Niaz Khan, Suzanne G. M. Fifield, Nongnuch Tantisantiwong and David M. Power

“Empirical Asset Pricing” by Wayne Ferson pp. 119-121

Fabian Hollstein

Report of the Editor 2021 pp. 123-124

Markus Schmid

Volume 35, issue 4, 2021

Analyst herding and firm-level investor sentiment pp. 461-494

John Garcia

COVID-19’s impact on real estate markets: review and outlook pp. 495-513

Nadia Balemi, Roland Füss and Alois Weigand

Covid-19 and smart beta pp. 515-532

Milot Hasaj and Bernd Scherer

Have trend-following signals in commodity futures markets become less reliable in recent years? pp. 533-553

Benjamin R. Auer

Matthew F. Dixon, Igor Halperin, and Paul Bilokon: Machine learning in finance from theory to practice pp. 555-557

Antoniya Shivarova

Volume 35, issue 3, 2021

The better turbulence index? Forecasting adverse financial markets regimes with persistent homology pp. 277-308

Eduard Baitinger and Samuel Flegel

Cross-validated covariance estimators for high-dimensional minimum-variance portfolios pp. 309-352

Sven Husmann, Antoniya Shivarova and Rick Steinert

Gold and oil prices: abnormal returns, momentum and contrarian effects pp. 353-368

Guglielmo Maria Caporale and Alex Plastun

Designing volatility indices for Austria, Finland and Spain pp. 369-455

Giovanni Campisi and Silvia Muzzioli

Onno de Beaufort Wijnholds: the money masters—the progress and power of central banks pp. 457-459

Donglin He

Volume 35, issue 2, 2021

Seasonalities in the German stock market pp. 151-192

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

Nikolaj Moretti and Johannes Bartels

The US financial crisis, market volatility, credit risk and stock returns in the Americas pp. 225-254

Juan Andres Rodriguez-Nieto and Andre V. Mollick

Product market competition and intermediate-term momentum pp. 255-267

Scott Li

Matthias Thiemann: The Growth of Shadow Banking: A Comparative Institutional Analysis pp. 269-272

Pēteris Kloks

Volume 35, issue 1, 2021

ICO investors pp. 1-59

Ruediger Fahlenbrach and Marc Frattaroli

Testing for structural breaks in return-based style regression models pp. 61-76

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

Solène Collot and Tobias Hemauer

A comprehensive investigation into style momentum strategies in China pp. 101-144

Chen Su

Antony Lewis: The basics of bitcoins and blockchains pp. 145-147

Luca J. Liebi

Report of the Editor 2020 pp. 149-150

Markus Schmid

Volume 34, issue 4, 2020

Behavioral portfolio insurance strategies pp. 353-399

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

Yu Yang, Yonghong Wu and Benchawan Wiwatanapataphee

Flight-to-quality in the stock–bond return relation: a regime-switching copula approach pp. 429-470

Minoru Tachibana

Dominance of hybrid contratum strategies over momentum and contrarian strategies: half a century of evidence pp. 471-505

Kobana Abukari and Isaac Otchere

Marcos M. López de Prado: Machine learning for asset managers pp. 507-509

Florian Hinz

Volume 34, issue 3, 2020

Factor exposures and diversification: Are sustainably screened portfolios any different? pp. 221-249

Arnaud Gougler and Sebastian Utz

Momentum effects in the cryptocurrency market after one-day abnormal returns pp. 251-266

Guglielmo Maria Caporale and Alex Plastun

Diversification and portfolio theory: a review pp. 267-312

Nettey Boevi Gilles Koumou

A new unbiased additive robust volatility estimation using extreme values of asset prices pp. 313-347

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

Matthias Weber

Volume 34, issue 2, 2020

Portfolio creation using artificial neural networks and classification probabilities: a Canadian study pp. 133-163

Tania Morris and Jules Comeau

The effect of ETFs on financial markets: a literature review pp. 165-178

Luca J. Liebi

Are intraday reversal and momentum trading strategies feasible? An analysis for German blue chip stocks pp. 179-197

Tim A. Herberger, Matthias Horn and Andreas Oehler

A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization pp. 199-214

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

Maria Oliveira

FMPM Best Paper Award 2019 pp. 219-220

Markus Schmid

Volume 34, issue 1, 2020

Aggregate insider trading and the prediction of corporate credit spread changes pp. 1-31

Patrick Hable and Patrick Launhardt

Which firms benefit from market making? pp. 33-63

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

Ariel Viale, Antoine Giannetti and Luis Garcia-Feijoo

Collateral affects return risk: evidence from the euro bond market pp. 99-128

Stig Helberg and Snorre Lindset

Lasse Heje Pedersen: Efficiently inefficient: how smart money invests and market prices are determined pp. 129-131

Vitaly Orlov