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 29, issue 4, 2015

The win–loss ratio as an ability signal of mutual fund managers: a measure that is less influenced by luck pp. 301-335

Y. Chung and Thomas Kim

Shareholder voting and merger returns pp. 337-363

Laura Henning

Liquidity-driven approach to dynamic asset allocation: evidence from the German stock market pp. 365-379

Eduard Baitinger, Christian Fieberg, Thorsten Poddig and Armin Varmaz

The information content of the open interest of credit default swaps pp. 381-427

Paulo Silva

Andrew Ang: Asset management: a systematic approach to factor investing pp. 429-430

Jan-Philip Schade

Volume 29, issue 3, 2015

Market efficiency under ad hoc information: evidence from Germany pp. 173-206

Matthias Bank and Ralf Baumann

Drivers of demand and supply in the Euro interbank market: the role of “Key Players” during the recent turmoil pp. 207-250

Caterina Liberati, Massimiliano Marzo, Paolo Zagaglia and Paola Zappa

Do not put all your eggs in one (time) basket pp. 251-269

Zvika Afik

Are economically significant bond returns explained by corporate news? An examination of the German corporate bond market pp. 271-298

Steve Janner and Daniel Schmidt

De Spiegeleer, J., Schoutens, W., & Van Hulle, C.: The Handbook of Hybrid Securities: Convertible Bonds, CoCo Bonds, and Bail-In pp. 299-300

Christian Ehmann

Volume 29, issue 2, 2015

Profitable momentum trading strategies for individual investors pp. 85-113

Bryan Foltice and Thomas Langer

A symmetric Super Bowl stock market predictor model pp. 115-124

Jeffery Born and Yousra Acherqui

Handling risk-on/risk-off dynamics with correlation regimes and correlation networks pp. 125-147

Jochen Papenbrock and Peter Schwendner

The impact of ECB crisis measures on euro-area CDS spreads pp. 149-168

Petra Gerlach-Kristen

Marc Goergen: International Corporate Governance pp. 169-171

Philipp Horsch

Volume 29, issue 1, 2015

Fund performance and subsequent risk: a study of mutual fund tournaments using holdings-based measures pp. 1-20

Aymen Karoui and Iwan Meier

A note on sorting bias correction in regression-based mutual fund tournament tests pp. 21-29

Aymen Karoui and Iwan Meier

Covariance averaging for improved estimation and portfolio allocation pp. 31-59

Fotis Papailias and Dimitrios Thomakos

Calls of convertible debt securities: no bad news at all pp. 61-79

Tobias Nigbur

Anat R. Admati and Martin Hellwig: The Bankers’ New Clothes—What’s Wrong with Banking and What to Do About It pp. 81-84

Laura Henning

Volume 28, issue 4, 2014

Why not use SDF rather than beta models in performance measurement? pp. 307-336

Jonas Gusset and Heinz Zimmermann

Stress testing German banks against a global credit crunch pp. 337-361

Klaus Düllmann and Thomas Kick

Corporate sustainability in asset pricing models and mutual funds performance measurement pp. 363-407

Thomas Walker, Kerstin Lopatta and Thomas Kaspereit

The impact of Financial Times Deutschland news on stock prices: post-announcement drifts and inattention of investors pp. 409-436

Alexander Kerl, Carolin Schürg and Andreas Walter

Kevin R. Mirabile: Hedge Fund Investing pp. 437-439

Florian Weigert

Volume 28, issue 3, 2014

Where is the value added of rebalancing? A systematic comparison of alternative rebalancing strategies pp. 209-231

Hubert Dichtl, Wolfgang Drobetz and Martin Wambach

Reciprocal social influence on investment decisions: behavioral evidence from a group of mutual fund managers pp. 233-262

Frederik König

An empirical investigation of asset pricing models under divergent lending and borrowing rates pp. 263-279

Yacine Hammami

Abnormal investor response to the index effect for daily and intraday data pp. 281-303

Tchai Tavor

Pojarliev, M. and R. M. Levich (2012): A New Look at Currency Investing, CFA Institute pp. 305-306

Rico Wyss

Volume 28, issue 2, 2014

(Un)skilled leveraged trading of retail investors pp. 111-138

Stephan Meyer, Sebastian Schroff and Christof Weinhardt

Forecasting market turbulence using regime-switching models pp. 139-164

Johannes Hauptmann, Anja Hoppenkamps, Aleksey Min, Franz Ramsauer and Rudi Zagst

An international analysis of REITs and stock portfolio management based on dynamic conditional correlation models pp. 165-180

Yen-Hsien Lee

On the distribution of government bond returns: evidence from the EMU pp. 181-203

Christian Gabriel and Christian Lau

Alan S. Blinder: After the Music Stopped: The Financial Crisis, the Response, and the Work Ahead pp. 205-207

Felix Meyerinck

Volume 28, issue 1, 2014

Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds pp. 1-28

Juliane Proelss and Denis Schweizer

The systematic risk of corporate bonds: default risk, term risk, and index choice pp. 29-61

Christian Klein and Christoph Stellner

Active currency management of international bond portfolios pp. 63-94

Gueorgui Konstantinov

Evaluating absolute return managers pp. 95-103

Momtchil Pojarliev and Richard Levich

Ronald Chan: The Value Investors: Lessons from the World’s Top Fund Managers pp. 105-109

Sina Marquardt

Volume 27, issue 4, 2013

Momentum and macroeconomic state variables pp. 335-363

Stephan Kessler and Bernd Scherer

Loan growth and bank risk: new evidence pp. 365-379

Juan Amador Torres, Jose Gomez-Gonzalez and Andrés Pabón

Constant-collateral pyramiding trading strategies in futures markets pp. 381-396

Stanley Miles

The conditional performance of US mutual funds over different market regimes: do different types of ethical screens matter? pp. 397-429

Nelson Areal, Maria Cortez and Florinda Silva

Book review of Fault Lines by Raghuram G. Rajan pp. 431-433

Emilia Garcia-Appendini

Volume 27, issue 3, 2013

The effect of personal portfolio reporting on private investors pp. 257-273

Ralf Gerhardt and Steffen Meyer

Bank management of the net interest margin: new measures pp. 275-297

Christoph Memmel and Andrea Schertler

The low return distortion of the Sharpe ratio pp. 299-306

Benjamin Auer

Momentum strategies of German mutual funds pp. 307-332

Alexander Franck, Andreas Walter and Johannes Witt

Anthony Saunders: Financial Institutions, In and Out of Crisis: Reflections by Anthony Saunders pp. 333-334

Benjamin Guin

Volume 27, issue 2, 2013

Can exchange traded funds be used to exploit industry and country momentum? pp. 127-148

Laura Andreu, Laurens Swinkels and Liam Tjong-A-Tjoe

Do individual investors’ stock recommendations in online communities contain investment value? pp. 149-186

Philipp Stephan and Rüdiger Nitzsch

Corporate diversification and firm value: a survey of recent literature pp. 187-215

Stefan Erdorf, Thomas Hartmann-Wendels, Nicolas Heinrichs and Michael Matz

The Black–Litterman model: a consistent estimation of the parameter tau pp. 217-251

Erindi Allaj

Darrell Duffie: How big banks fail and what to do about it pp. 253-256

Jan Wrampelmeyer

Volume 27, issue 1, 2013

The reaction of international stock markets to Federal Reserve policy pp. 1-30

Jing Wang and Xiaoneng Zhu

Pricing contingent convertibles: a general framework for application in practice pp. 31-63

Markus Buergi

Portfolio allocation using multivariate variance gamma models pp. 65-99

Asmerilda Hitaj and Lorenzo Mercuri

Non-fully invested derivative-free bond index replication pp. 101-124

Iliya Markov, Rodrigue Oeuvray and Nils Tuchschmid

V. V. Acharya, S. van Nieuwerburgh, M. Richardson, and L. J. White (2011): Guaranteed to Fail: Fannie Mae, Freddie Mac and the Debacle of Mortgage Finance, Princeton University Press. 176 pages, USD 24.95 pp. 125-126

Rico Wyss