Financial Markets and Portfolio Management

2004 - 2024

Current editor(s): Manuel Ammann

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Springer
Swiss Society for Financial Market Research
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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

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

Husaini Said and Evangelos Giouvris

Incorporating financial market volatility to improve forecasts of directional changes in Australian share market returns pp. 417-445

Riza Erdugan, Nada Kulendran and Riccardo Natoli

Risk estimation for short-term financial data through pooling of stable fits pp. 447-470

Marzia De Donno, Riccardo Donati, Gino Favero and Paola Modesti

Buffett’s alpha: further explanations from a behavioral value investing perspective pp. 471-490

Eben Otuteye and Mohammad Siddiquee

Marcos López de Prado: Advances in financial machine learning pp. 491-493

Mathis Mörke

Volume 33, issue 3, 2019

Common risk factors in international stock markets pp. 213-241

Peter S. Schmidt, Urs von Arx, Andreas Schrimpf, Alexander Wagner and Andreas Ziegler

Alpha forecasting in factor investing: discriminating between the informational content of firm characteristics pp. 243-275

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

Till Massing

Handbook on Corporate Governance in Financial Institutions pp. 345-348

Solène Collot

Volume 33, issue 2, 2019

Bitcoin fluctuations and the frequency of price overreactions pp. 109-131

Guglielmo Maria Caporale, Alex Plastun and Viktor Oliinyk

Thematic portfolio optimization: challenging the core satellite approach pp. 133-154

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

Xiaojie Xu

High-frequency trading: a literature review pp. 183-208

Gianluca Piero Maria Virgilio

Scott E. Page: The model thinker—what you need to know to make data work for you pp. 209-211

Alexander Cochardt

Volume 33, issue 1, 2019

Extreme spillovers of VIX fear index to international equity markets pp. 1-38

Massaporn Cheuathonghua, Chaiyuth Padungsaksawasdi, Pattana Boonchoo and Jittima Tongurai

What drives stock returns in Japan? pp. 39-69

Samuel Xin Liang

Does the market model provide a good counterfactual for event studies in finance? pp. 71-91

Carlos Castro-Iragorri

Machine learning in empirical asset pricing pp. 93-104

Alois Weigand

Alan Greenspan and Adrian Wooldridge: Capitalism in America: A history pp. 105-107

Felix Meyerinck