Financial Markets and Portfolio Management

2004 - 2026

Current editor(s): Manuel Ammann

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Springer
Swiss Society for Financial Market Research
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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

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