Financial Markets and Portfolio Management

2004 - 2022

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.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

Volume 26, issue 4, 2012

To buy or not to buy? The value of contradictory analyst signals pp. 405-428

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

Mark Schaub

Firm ratings, momentum strategies, and crises: evidence from the US and Taiwanese stock markets pp. 449-468

Nicholas Rueilin Lee

Portfolio risk management in a data-rich environment pp. 469-494

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

Nic Schaub

Volume 26, issue 3, 2012

Editorial pp. 297-298

Markus Schmid

Any regulation of risk increases risk pp. 299-313

Philip Maymin and Zakhar Maymin

VIX changes and derivative returns on FOMC meeting days pp. 315-331

Kevin Krieger, Nathan Mauck and Denghui Chen

Financial frictions and real implications of macroprudential policies pp. 333-368

Alexis Derviz

On the robustness of risk-based asset allocations pp. 369-401

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

Tanja Artiga Gonzalez

Volume 26, issue 2, 2012

Editorial pp. 177-178

Manuel Ammann

Public information in fragmented markets pp. 179-215

Andreas Storkenmaier, Martin Wagener and Christof Weinhardt

Tagging the triggers: an empirical analysis of information events prompting sell-side analyst reports pp. 217-246

Alexander Kerl, Oscar Stolper and Andreas Walter

The pricing of idiosyncratic risk: evidence from the implied volatility distribution pp. 247-267

Stephan Süss

Spread ladder swaps—an analysis of controversial interest rate derivatives pp. 269-289

Matthias Muck

Darrell Duffie: Dark markets, asset pricing and information transmission in over-the-counter markets pp. 291-294

Sina Marquardt

Massimo Morini: Understanding and managing model risk: a practical guide for quants, traders and validators pp. 295-296

Michael Verhofen

Volume 26, issue 1, 2012

Editorial pp. 1-2

Manuel Ammann

Empirical cross-sectional asset pricing: a survey pp. 3-38

Amit Goyal

Financial architecture, systemic risk, and universal banking pp. 39-59

Anthony Saunders and Ingo Walter

Hostages, free lunches and institutional gaps: the case of the European Currency Union pp. 61-85

Günter Franke

Funds of hedge funds: performance, risk and capital formation 2005 to 2010 pp. 87-108

Daniel Edelman, William Fung, David Hsieh and Narayan Naik

Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests pp. 109-141

Wolfgang Bessler, Julian Holler and Philipp Kurmann

Swiss banking secrecy: the stock market evidence pp. 143-176

François-Xavier Delaloye, Michel Habib and Alexandre Ziegler

Volume 25, issue 4, 2011

Editorial pp. 343-344

Manuel Ammann

The 52-week high strategy and information uncertainty pp. 345-378

Hans-Peter Burghof and Felix Prothmann

Unraveling a puzzle: the case of value line timeliness rank upgrades pp. 379-409

Nandkumar Nayar, Ajai Singh and Wen Yu

Co-movement of revenue: structural changes in the business cycle pp. 411-433

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

Mario Meichle, Angelo Ranaldo and Attilio Zanetti

Investing in the turn-of-the-year effect pp. 455-472

William Ziemba

Franklin Allen, Elena Carletti, Jan Pieter Krahnen, and Marcel Tyrell: Liquidity and Crises pp. 473-475

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

Tobias Nigbur

Volume 25, issue 3, 2011

Editorial pp. 237-238

Manuel Ammann

Google search volume and its influence on liquidity and returns of German stocks pp. 239-264

Matthias Bank, Martin Larch and Georg Peter

Do option open-interest changes foreshadow future equity returns? pp. 265-280

Andy Fodor, Kevin Krieger and James Doran

The influence of sponsor, servicer, and underwriter characteristics on RMBS performance pp. 281-311

Andre Guettler, Ulrich Hommel and Julia Reichert

Beyond payoff diagrams: how to present risk and return characteristics of structured products pp. 313-338

Martin Wallmeier

Euan Sinclair: Option Trading—Pricing and Volatility Strategies and Techniques pp. 339-340

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

Dustin Schütte

Volume 25, issue 2, 2011

Editorial pp. 109-110

Manuel Ammann

Are directors’ dealings informative? Evidence from European stock markets pp. 111-148

Kaspar Dardas and Andre Güttler

Competition in securities markets: the impact on liquidity pp. 149-172

Michael Chlistalla and Marco Lutat

Service quality in the private banking business pp. 173-195

Carsten Horn and Markus Rudolf

What drives portfolio investments of German banks in emerging capital markets? pp. 197-231

Christian Wildmann

Leif B. G. Andersen and Vladimir V. Piterbarg: Interest Rate Modeling pp. 233-236

Rico von Wyss

Volume 25, issue 1, 2011

Editorial pp. 1-2

Manuel Ammann

On the risk situation of financial conglomerates: does diversification matter? pp. 3-26

Nadine Gatzert and Hato Schmeiser

IPO underpricing, signaling, and property returns pp. 27-51

Fabian Brämisch, Nico Rottke and Dirk Schiereck

Underpricing and long-run performance of Chinese IPOs: the role of underwriter reputation pp. 53-74

Chen Su and Kenbata Bangassa

Efficiency in private banking: evidence from Switzerland and Liechtenstein pp. 75-93

Johann Burgstaller and Teodoro Cocca

The search for relative value in bonds pp. 95-106

Robin Grieves and Steven Mann

Yuri Kabanov and Mher Safarin: Markets with transaction costs pp. 107-108

Evert Wipplinger