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 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

Volume 30, issue 4, 2016

Quantifying the components of the banks’ net interest margin pp. 371-396

Ramona Busch and Christoph Memmel

Assessing financial distress dependencies in OTC markets: a new approach using trade repositories data pp. 397-426

Michele Bonollo, Irene Crimaldi, Andrea Flori, Laura Gianfagna and Fabio Pammolli

Changing organizational form in the stock exchange industry and risk-taking pp. 427-451

Isaac Otchere and Sana Mohsni

How safe are the safe haven assets? pp. 453-482

Kateryna Anatoliyevna Kopyl and John Byong-Tek Lee

John F. Bovenzi: Inside the FDIC: Thirty Years of Bank Failures, Bailouts, and Regulatory Battles pp. 483-485

Thomas Spycher

Volume 30, issue 3, 2016

Is there Swissness in investment decision behavior and investment competence? pp. 233-275

Kremena Bachmann and Thorsten Hens

The characteristics of infrastructure as an investment class pp. 277-297

Wouter Thierie and Lieven Moor

The impact of mobile payment on payment choice pp. 299-336

Tobias Trütsch

Capturing short-term and long-term alpha of global bond portfolios: evidence from EUR-investors’ perspective pp. 337-365

Gueorgui Konstantinov

Claus Munk: Financial Asset Pricing Theory pp. 367-369

Igor Pozdeev

Volume 30, issue 2, 2016

Does female management influence firm performance? Evidence from Luxembourg banks pp. 113-136

Regina M. Reinert, Florian Weigert and Christoph H. Winnefeld

Price distortion induced by a flawed stock market index pp. 137-160

Kotaro Miwa and Kazuhiro Ueda

Beating the DAX, MDAX, and SDAX: investment strategies in Germany pp. 161-204

Friedrich-Carl Franz and Tobias Regele

A plausible model of yield curve dynamics pp. 205-228

Gideon Magnus

David F. Larcker and Brian Tayan: A Real Look at Real World Corporate Governance pp. 229-231

Nicolas Kube

Volume 30, issue 1, 2016

Reputational risks and large international banks pp. 1-17

Ingo Walter

Reputational risks and large international banks pp. 1-17

Ingo Walter

Which stocks drive the size, value, and momentum anomalies and for how long? Evidence from a statistical leverage analysis pp. 19-61

Kevin Aretz and Marc Aretz

Which stocks drive the size, value, and momentum anomalies and for how long? Evidence from a statistical leverage analysis pp. 19-61

Kevin Aretz and Marc Aretz

(Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets pp. 63-94

Nicholas Apergis, Alexandros Gabrielsen and Lee Smales

(Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets pp. 63-94

Nicholas Apergis, Alexandros Gabrielsen and Lee Smales

Further examination of the demographic and social factors affecting risk aversion pp. 95-110

Tchai Tavor and Sharon Garyn-Tal

Further examination of the demographic and social factors affecting risk aversion pp. 95-110

Tchai Tavor and Sharon Garyn-Tal

Karamjeet Paul: Managing extreme financial risk: strategies and tactics for going concerns pp. 111-112

Simon Strauman

Karamjeet Paul: Managing extreme financial risk: strategies and tactics for going concerns pp. 111-112

Simon Strauman