Financial Markets and Portfolio Management

2004 - 2022

Current editor(s): Manuel Ammann

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Springer
Swiss Society for Financial Market Research
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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

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 F. 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

Volume 32, issue 4, 2018

Financial crises, price discovery, and information transmission: a high-frequency perspective pp. 333-365

Roland Füss, Ferdinand Mager, Michael Stein and Lu Zhao

Are financial constraints of corporate activist investors perceived negatively? pp. 367-398

Leopold Ingenohl and Nicolas Kube

A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization pp. 399-418

Jules Clement Mba, Edson Pindza and Ur Koumba

Mean–variance and mean–semivariance portfolio selection: a multivariate nonparametric approach pp. 419-436

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

Mathis Mörke

Volume 32, issue 3, 2018

Changes in sentiment on REIT industry excess returns and volatility pp. 239-274

Daniel Huerta-Sanchez and Diego Escobari

Oil prices implied volatility or direction: Which matters more to financial markets? pp. 275-295

Brice V. Dupoyet and Corey A. Shank

Risk measurement distortion: an improved model of return smoothing pp. 297-310

Jiaqi Chen, Michael L. Tindall and Wenbo Wu

Behavioral portfolio selection and optimization: an application to international stocks pp. 311-328

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

Nicolas Kube

Volume 32, issue 2, 2018

Hedge fund incentives, management commitment and survivorship pp. 115-142

Judy Qiu, Leilei Tang and Ingo Walter

Determinants of municipal loan spreads: empirical evidence from Switzerland pp. 143-166

Fabio Sigrist, Patrick Köchli and Christoph Lengwiler

Portfolio diversification: the influence of herding, status-quo bias, and the gambler’s fallacy pp. 167-205

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

Saiful Izzuan Hussain and Steven Li

Michelle Baddeley: Behavioral economics: a very short introduction pp. 235-237

Jonas Romer

Volume 32, issue 1, 2018

Long-term negative fund alpha: Is it caused by bad skill or bad luck? pp. 1-16

Qiang Bu

International asset allocation using the market implied cost of capital pp. 17-51

Patrick Bielstein

Institutional spending policies: implications for future asset values and spending pp. 53-76

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

Clarence C. Y. Kwan

Radu S. Tunaru: Real-Estate Derivatives: From Econometrics to Financial Engineering pp. 111-113

Daniel Ruf

Volume 31, issue 4, 2017

Fueling the buyout machine: fundraising in private equity pp. 397-443

Robert Loos and Bernhard Schwetzler

Valuation of certain CMS spreads pp. 445-467

Ping Wu and Robert J. Elliott

The optimal trade-off between interest rate risk and annual return of bond ladders pp. 469-489

Jan Henrik Wosnitza

The rolling causal structure between the Chinese stock index and futures pp. 491-509

Xiaojie Xu

William N. Goetzmann: Money changes everything—how finance made civilization possible pp. 511-514

Neha Gupta

Erratum to: Searching for a listed infrastructure asset class using mean–variance spanning pp. 515-515

Frédéric Blanc-Brude, Timothy Whittaker and Simon Wilde

Volume 31, issue 3, 2017

Predictive models for disaggregate stock market volatility pp. 261-288

Terence Tai Leung Chong and Shiyu Lin

Risks and rewards for momentum and reversal portfolios pp. 289-315

Yuming Li

Tukey’s transformational ladder for portfolio management pp. 317-355

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

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

Felix Meyerinck

Volume 31, issue 2, 2017

Hedge funds as international liquidity providers: evidence from convertible bond arbitrage in Canada pp. 117-136

Evan Gatev and Mingxin Li

Searching for a listed infrastructure asset class using mean–variance spanning pp. 137-179

Frédéric Blanc-Brude, Timothy Whittaker and Simon Wilde

A note on the valuation of asset management firms pp. 181-199

Juha Joenväärä and Bernd Scherer

Trading strategies based on past returns: evidence from Germany pp. 201-256

Martin H. Schmidt

Davis W. Edwards: Risk Management in Trading: Techniques to Drive Profitability of Hedge Funds and Trading Desks pp. 257-259

Sebastian Fischer

Volume 31, issue 1, 2017

A good pair: alternative pairs-trading strategies pp. 1-26

Richard Smith and Xun Xu

How does the underlying affect the risk-return profiles of structured products? pp. 27-47

Ji Cao

Algorithmic portfolio choice: lessons from panel survey data pp. 49-67

Bernd Scherer

Can investors benefit from the performance of alternative UCITS funds? pp. 69-111

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

Florian Weigert