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Financial Markets and Portfolio Management

2004 - 2022

Current editor(s): Manuel Ammann

Swiss Society for Financial Market Research
Contact information at EDIRC.

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Volume 27, issue 4, 2013

Momentum and macroeconomic state variables pp. 335-363 Downloads
Stephan Kessler and Bernd Scherer
Loan growth and bank risk: new evidence pp. 365-379 Downloads
Juan Amador Torres, Jose Gomez-Gonzalez and Andrés Pabón
Constant-collateral pyramiding trading strategies in futures markets pp. 381-396 Downloads
Stanley Miles
The conditional performance of US mutual funds over different market regimes: do different types of ethical screens matter? pp. 397-429 Downloads
Nelson Areal, Maria Cortez and Florinda Silva
Book review of Fault Lines by Raghuram G. Rajan pp. 431-433 Downloads
Emilia Garcia-Appendini

Volume 27, issue 3, 2013

The effect of personal portfolio reporting on private investors pp. 257-273 Downloads
Ralf Gerhardt and Steffen Meyer
Bank management of the net interest margin: new measures pp. 275-297 Downloads
Christoph Memmel and Andrea Schertler
The low return distortion of the Sharpe ratio pp. 299-306 Downloads
Benjamin Auer
Momentum strategies of German mutual funds pp. 307-332 Downloads
Alexander Franck, Andreas Walter and Johannes Witt
Anthony Saunders: Financial Institutions, In and Out of Crisis: Reflections by Anthony Saunders pp. 333-334 Downloads
Benjamin Guin

Volume 27, issue 2, 2013

Can exchange traded funds be used to exploit industry and country momentum? pp. 127-148 Downloads
Laura Andreu, Laurens Swinkels and Liam Tjong-A-Tjoe
Do individual investors’ stock recommendations in online communities contain investment value? pp. 149-186 Downloads
Philipp Stephan and Rüdiger Nitzsch
Corporate diversification and firm value: a survey of recent literature pp. 187-215 Downloads
Stefan Erdorf, Thomas Hartmann-Wendels, Nicolas Heinrichs and Michael Matz
The Black–Litterman model: a consistent estimation of the parameter tau pp. 217-251 Downloads
Erindi Allaj
Darrell Duffie: How big banks fail and what to do about it pp. 253-256 Downloads
Jan Wrampelmeyer

Volume 27, issue 1, 2013

The reaction of international stock markets to Federal Reserve policy pp. 1-30 Downloads
Jing Wang and Xiaoneng Zhu
Pricing contingent convertibles: a general framework for application in practice pp. 31-63 Downloads
Markus Buergi
Portfolio allocation using multivariate variance gamma models pp. 65-99 Downloads
Asmerilda Hitaj and Lorenzo Mercuri
Non-fully invested derivative-free bond index replication pp. 101-124 Downloads
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 Downloads
Rico Wyss

Volume 26, issue 4, 2012

To buy or not to buy? The value of contradictory analyst signals pp. 405-428 Downloads
Stefan Kanne, Jan Klobucnik, Daniel Kreutzmann and Soenke Sievers
International equities listed on the New York stock exchange: does type of issue or date of issue matter? pp. 429-447 Downloads
Mark Schaub
Firm ratings, momentum strategies, and crises: evidence from the US and Taiwanese stock markets pp. 449-468 Downloads
Nicholas Rueilin Lee
Portfolio risk management in a data-rich environment pp. 469-494 Downloads
Mohammed Bouaddi and Abderrahim Taamouti
Simon Lack: The hedge fund mirage—the illusion of big money and why it’s too good to be true pp. 495-497 Downloads
Nic Schaub

Volume 26, issue 3, 2012

Editorial pp. 297-298 Downloads
Markus Schmid
Any regulation of risk increases risk pp. 299-313 Downloads
Philip Maymin and Zakhar Maymin
VIX changes and derivative returns on FOMC meeting days pp. 315-331 Downloads
Kevin Krieger, Nathan Mauck and Denghui Chen
Financial frictions and real implications of macroprudential policies pp. 333-368 Downloads
Alexis Derviz
On the robustness of risk-based asset allocations pp. 369-401 Downloads
Thorsten Poddig and Albina Unger
David Larcker and Brian Tayan: Corporate governance matters—a closer look at organizational choices and their consequences pp. 403-404 Downloads
Tanja Artiga Gonzalez

Volume 26, issue 2, 2012

Editorial pp. 177-178 Downloads
Manuel Ammann
Public information in fragmented markets pp. 179-215 Downloads
Andreas Storkenmaier, Martin Wagener and Christof Weinhardt
Tagging the triggers: an empirical analysis of information events prompting sell-side analyst reports pp. 217-246 Downloads
Alexander Kerl, Oscar Stolper and Andreas Walter
The pricing of idiosyncratic risk: evidence from the implied volatility distribution pp. 247-267 Downloads
Stephan Süss
Spread ladder swaps—an analysis of controversial interest rate derivatives pp. 269-289 Downloads
Matthias Muck
Darrell Duffie: Dark markets, asset pricing and information transmission in over-the-counter markets pp. 291-294 Downloads
Sina Marquardt
Massimo Morini: Understanding and managing model risk: a practical guide for quants, traders and validators pp. 295-296 Downloads
Michael Verhofen

Volume 26, issue 1, 2012

Editorial pp. 1-2 Downloads
Manuel Ammann
Empirical cross-sectional asset pricing: a survey pp. 3-38 Downloads
Amit Goyal
Financial architecture, systemic risk, and universal banking pp. 39-59 Downloads
Anthony Saunders and Ingo Walter
Hostages, free lunches and institutional gaps: the case of the European Currency Union pp. 61-85 Downloads
Günter Franke
Funds of hedge funds: performance, risk and capital formation 2005 to 2010 pp. 87-108 Downloads
Daniel Edelman, William Fung, David Hsieh and Narayan Naik
Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests pp. 109-141 Downloads
Wolfgang Bessler, Julian Holler and Philipp Kurmann
Swiss banking secrecy: the stock market evidence pp. 143-176 Downloads
François-Xavier Delaloye, Michel Habib and Alexandre Ziegler

Volume 25, issue 4, 2011

Editorial pp. 343-344 Downloads
Manuel Ammann
The 52-week high strategy and information uncertainty pp. 345-378 Downloads
Hans-Peter Burghof and Felix Prothmann
Unraveling a puzzle: the case of value line timeliness rank upgrades pp. 379-409 Downloads
Nandkumar Nayar, Ajai Singh and Wen Yu
Co-movement of revenue: structural changes in the business cycle pp. 411-433 Downloads
Stefan Erdorf and Nicolas Heinrichs
Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland pp. 435-453 Downloads
Mario Meichle, Angelo Ranaldo and Attilio Zanetti
Investing in the turn-of-the-year effect pp. 455-472 Downloads
William Ziemba
Franklin Allen, Elena Carletti, Jan Pieter Krahnen, and Marcel Tyrell: Liquidity and Crises pp. 473-475 Downloads
Alexander Kohler
Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi: Financial models with Lévy processes and volatility clustering pp. 477-478 Downloads
Tobias Nigbur

Volume 25, issue 3, 2011

Editorial pp. 237-238 Downloads
Manuel Ammann
Google search volume and its influence on liquidity and returns of German stocks pp. 239-264 Downloads
Matthias Bank, Martin Larch and Georg Peter
Do option open-interest changes foreshadow future equity returns? pp. 265-280 Downloads
Andy Fodor, Kevin Krieger and James Doran
The influence of sponsor, servicer, and underwriter characteristics on RMBS performance pp. 281-311 Downloads
Andre Guettler, Ulrich Hommel and Julia Reichert
Beyond payoff diagrams: how to present risk and return characteristics of structured products pp. 313-338 Downloads
Martin Wallmeier
Euan Sinclair: Option Trading—Pricing and Volatility Strategies and Techniques pp. 339-340 Downloads
Stephan Süss
Viral V. Acharya, Thomas F. Cooley, Matthew P. Richardson, and Ingo Walter: Regulating Wall Street—The Dodd-Frank Act and the New Architecture of Global Finance pp. 341-342 Downloads
Dustin Schütte

Volume 25, issue 2, 2011

Editorial pp. 109-110 Downloads
Manuel Ammann
Are directors’ dealings informative? Evidence from European stock markets pp. 111-148 Downloads
Kaspar Dardas and Andre Güttler
Competition in securities markets: the impact on liquidity pp. 149-172 Downloads
Michael Chlistalla and Marco Lutat
Service quality in the private banking business pp. 173-195 Downloads
Carsten Horn and Markus Rudolf
What drives portfolio investments of German banks in emerging capital markets? pp. 197-231 Downloads
Christian Wildmann
Leif B. G. Andersen and Vladimir V. Piterbarg: Interest Rate Modeling pp. 233-236 Downloads
Rico von Wyss

Volume 25, issue 1, 2011

Editorial pp. 1-2 Downloads
Manuel Ammann
On the risk situation of financial conglomerates: does diversification matter? pp. 3-26 Downloads
Nadine Gatzert and Hato Schmeiser
IPO underpricing, signaling, and property returns pp. 27-51 Downloads
Fabian Brämisch, Nico Rottke and Dirk Schiereck
Underpricing and long-run performance of Chinese IPOs: the role of underwriter reputation pp. 53-74 Downloads
Chen Su and Kenbata Bangassa
Efficiency in private banking: evidence from Switzerland and Liechtenstein pp. 75-93 Downloads
Johann Burgstaller and Teodoro Cocca
The search for relative value in bonds pp. 95-106 Downloads
Robin Grieves and Steven Mann
Yuri Kabanov and Mher Safarin: Markets with transaction costs pp. 107-108 Downloads
Evert Wipplinger
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