Financial Markets and Portfolio Management

2004 - 2025

Current editor(s): Manuel Ammann

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Springer
Swiss Society for Financial Market Research
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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