Financial Markets and Portfolio Management

2004 - 2025

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 ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

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