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 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

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