Printed from https://ideas.repec.org/s/kap/fmktpm2.html
Content
August 2014, Volume 28, Issue 3
- 209-231 Where is the value added of rebalancing? A systematic comparison of alternative rebalancing strategies
by Hubert Dichtl & Wolfgang Drobetz & Martin Wambach - 233-262 Reciprocal social influence on investment decisions: behavioral evidence from a group of mutual fund managers
by Frederik König - 263-279 An empirical investigation of asset pricing models under divergent lending and borrowing rates
by Yacine Hammami - 281-303 Abnormal investor response to the index effect for daily and intraday data
by Tchai Tavor - 305-306 Pojarliev, M. and R. M. Levich (2012): A New Look at Currency Investing, CFA Institute
by Rico Wyss
May 2014, Volume 28, Issue 2
- 111-138 (Un)skilled leveraged trading of retail investors
by Stephan Meyer & Sebastian Schroff & Christof Weinhardt - 139-164 Forecasting market turbulence using regime-switching models
by Johannes Hauptmann & Anja Hoppenkamps & Aleksey Min & Franz Ramsauer & Rudi Zagst - 165-180 An international analysis of REITs and stock portfolio management based on dynamic conditional correlation models
by Yen-Hsien Lee - 181-203 On the distribution of government bond returns: evidence from the EMU
by Christian Gabriel & Christian Lau - 205-207 Alan S. Blinder: After the Music Stopped: The Financial Crisis, the Response, and the Work Ahead
by Felix Meyerinck
February 2014, Volume 28, Issue 1
- 1-28 Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds
by Juliane Proelss & Denis Schweizer - 29-61 The systematic risk of corporate bonds: default risk, term risk, and index choice
by Christian Klein & Christoph Stellner - 63-94 Active currency management of international bond portfolios
by Gueorgui Konstantinov - 95-103 Evaluating absolute return managers
by Momtchil Pojarliev & Richard Levich - 105-109 Ronald Chan: The Value Investors: Lessons from the World’s Top Fund Managers
by Sina Marquardt
December 2013, Volume 27, Issue 4
- 335-363 Momentum and macroeconomic state variables
by Stephan Kessler & Bernd Scherer - 365-379 Loan growth and bank risk: new evidence
by Juan Amador & José Gómez-González & Andrés Pabón - 381-396 Constant-collateral pyramiding trading strategies in futures markets
by Stan Miles - 397-429 The conditional performance of US mutual funds over different market regimes: do different types of ethical screens matter?
by Nelson Areal & Maria Cortez & Florinda Silva - 431-433 Book review of Fault Lines by Raghuram G. Rajan
by Emilia Garcia-Appendini
September 2013, Volume 27, Issue 3
- 257-273 The effect of personal portfolio reporting on private investors
by Ralf Gerhardt & Steffen Meyer - 275-297 Bank management of the net interest margin: new measures
by Christoph Memmel & Andrea Schertler - 299-306 The low return distortion of the Sharpe ratio
by Benjamin Auer - 307-332 Momentum strategies of German mutual funds
by Alexander Franck & Andreas Walter & Johannes Witt - 333-334 Anthony Saunders: Financial Institutions, In and Out of Crisis: Reflections by Anthony Saunders
by Benjamin Guin
June 2013, Volume 27, Issue 2
- 127-148 Can exchange traded funds be used to exploit industry and country momentum?
by Laura Andreu & Laurens Swinkels & Liam Tjong-A-Tjoe - 149-186 Do individual investors’ stock recommendations in online communities contain investment value?
by Philipp Stephan & Rüdiger Nitzsch - 187-215 Corporate diversification and firm value: a survey of recent literature
by Stefan Erdorf & Thomas Hartmann-Wendels & Nicolas Heinrichs & Michael Matz - 217-251 The Black–Litterman model: a consistent estimation of the parameter tau
by Erindi Allaj - 253-256 Darrell Duffie: How big banks fail and what to do about it
by Jan Wrampelmeyer
March 2013, Volume 27, Issue 1
- 1-30 The reaction of international stock markets to Federal Reserve policy
by Jing Wang & Xiaoneng Zhu - 31-63 Pricing contingent convertibles: a general framework for application in practice
by Markus Buergi - 65-99 Portfolio allocation using multivariate variance gamma models
by Asmerilda Hitaj & Lorenzo Mercuri - 101-124 Non-fully invested derivative-free bond index replication
by Iliya Markov & Rodrigue Oeuvray & Nils Tuchschmid - 125-126 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
by Rico Wyss
December 2012, Volume 26, Issue 4
- 405-428 To buy or not to buy? The value of contradictory analyst signals
by Stefan Kanne & Jan Klobucnik & Daniel Kreutzmann & Soenke Sievers - 429-447 International equities listed on the New York stock exchange: does type of issue or date of issue matter?
by Mark Schaub - 449-468 Firm ratings, momentum strategies, and crises: evidence from the US and Taiwanese stock markets
by Nicholas Rueilin Lee - 469-494 Portfolio risk management in a data-rich environment
by Mohammed Bouaddi & Abderrahim Taamouti - 495-497 Simon Lack: The hedge fund mirage—the illusion of big money and why it’s too good to be true
by Nic Schaub
September 2012, Volume 26, Issue 3
- 297-298 Editorial
by Markus Schmid - 299-313 Any regulation of risk increases risk
by Philip Maymin & Zakhar Maymin - 315-331 VIX changes and derivative returns on FOMC meeting days
by Kevin Krieger & Nathan Mauck & Denghui Chen - 333-368 Financial frictions and real implications of macroprudential policies
by Alexis Derviz - 369-401 On the robustness of risk-based asset allocations
by Thorsten Poddig & Albina Unger - 403-404 David Larcker and Brian Tayan: Corporate governance matters—a closer look at organizational choices and their consequences
by Tanja Artiga González
June 2012, Volume 26, Issue 2
- 177-178 Editorial
by Manuel Ammann - 179-215 Public information in fragmented markets
by Andreas Storkenmaier & Martin Wagener & Christof Weinhardt - 217-246 Tagging the triggers: an empirical analysis of information events prompting sell-side analyst reports
by Alexander Kerl & Oscar Stolper & Andreas Walter - 247-267 The pricing of idiosyncratic risk: evidence from the implied volatility distribution
by Stephan Süss - 269-289 Spread ladder swaps—an analysis of controversial interest rate derivatives
by Matthias Muck - 291-294 Darrell Duffie: Dark markets, asset pricing and information transmission in over-the-counter markets
by Sina Marquardt - 295-296 Massimo Morini: Understanding and managing model risk: a practical guide for quants, traders and validators
by Michael Verhofen
March 2012, Volume 26, Issue 1
- 1-2 Editorial
by Manuel Ammann - 3-38 Empirical cross-sectional asset pricing: a survey
by Amit Goyal - 39-59 Financial architecture, systemic risk, and universal banking
by Anthony Saunders & Ingo Walter - 61-85 Hostages, free lunches and institutional gaps: the case of the European Currency Union
by Günter Franke - 87-108 Funds of hedge funds: performance, risk and capital formation 2005 to 2010
by Daniel Edelman & William Fung & David Hsieh & Narayan Naik - 109-141 Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests
by Wolfgang Bessler & Julian Holler & Philipp Kurmann - 143-176 Swiss banking secrecy: the stock market evidence
by François-Xavier Delaloye & Michel Habib & Alexandre Ziegler
December 2011, Volume 25, Issue 4
- 343-344 Editorial
by Manuel Ammann - 345-378 The 52-week high strategy and information uncertainty
by Hans-Peter Burghof & Felix Prothmann - 379-409 Unraveling a puzzle: the case of value line timeliness rank upgrades
by Nandkumar Nayar & Ajai Singh & Wen Yu - 411-433 Co-movement of revenue: structural changes in the business cycle
by Stefan Erdorf & Nicolas Heinrichs - 435-453 Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland
by Mario Meichle & Angelo Ranaldo & Attilio Zanetti - 455-472 Investing in the turn-of-the-year effect
by William Ziemba - 473-475 Franklin Allen, Elena Carletti, Jan Pieter Krahnen, and Marcel Tyrell: Liquidity and Crises
by Alexander Kohler - 477-478 Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi: Financial models with Lévy processes and volatility clustering
by Tobias Nigbur
September 2011, Volume 25, Issue 3
- 237-238 Editorial
by Manuel Ammann - 239-264 Google search volume and its influence on liquidity and returns of German stocks
by Matthias Bank & Martin Larch & Georg Peter - 265-280 Do option open-interest changes foreshadow future equity returns?
by Andy Fodor & Kevin Krieger & James Doran - 281-311 The influence of sponsor, servicer, and underwriter characteristics on RMBS performance
by Andre Guettler & Ulrich Hommel & Julia Reichert - 313-338 Beyond payoff diagrams: how to present risk and return characteristics of structured products
by Martin Wallmeier - 339-340 Euan Sinclair: Option Trading—Pricing and Volatility Strategies and Techniques
by Stephan Süss - 341-342 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
by Dustin Schütte
June 2011, Volume 25, Issue 2
- 109-110 Editorial
by Manuel Ammann - 111-148 Are directors’ dealings informative? Evidence from European stock markets
by Kaspar Dardas & Andre Güttler - 149-172 Competition in securities markets: the impact on liquidity
by Michael Chlistalla & Marco Lutat - 173-195 Service quality in the private banking business
by Carsten Horn & Markus Rudolf - 197-231 What drives portfolio investments of German banks in emerging capital markets?
by Christian Wildmann - 233-236 Leif B. G. Andersen and Vladimir V. Piterbarg: Interest Rate Modeling
by Rico Wyss
March 2011, Volume 25, Issue 1
- 1-2 Editorial
by Manuel Ammann - 3-26 On the risk situation of financial conglomerates: does diversification matter?
by Nadine Gatzert & Hato Schmeiser - 27-51 IPO underpricing, signaling, and property returns
by Fabian Brämisch & Nico Rottke & Dirk Schiereck - 53-74 Underpricing and long-run performance of Chinese IPOs: the role of underwriter reputation
by Chen Su & Kenbata Bangassa - 75-93 Efficiency in private banking: evidence from Switzerland and Liechtenstein
by Johann Burgstaller & Teodoro Cocca - 95-106 The search for relative value in bonds
by Robin Grieves & Steven Mann - 107-108 Yuri Kabanov and Mher Safarin: Markets with transaction costs
by Evert Wipplinger
December 2010, Volume 24, Issue 4
- 325-326 Editorial
by Manuel Ammann - 327-351 The cross-section of equity returns and assets’ fundamental cash-flow risk
by Victoria Galsband - 353-393 Portfolio choice under local industry and country factors
by Carlos Castro - 395-418 Delistings of secondary listings: price and volume effects
by Matthias Pfister & Rico Wyss - 419-440 Financing structure and insolvency risk exposure of Islamic banks
by Aisyah Rahman - 441-451 Managerial skill and closed-end fund discounts
by Michael Bleaney & R. Smith - 453-454 Francis X. Diebold, Neil A. Doherty, and Richard J. Herring: The known, the unknown, and the unknowable in financial risk management
by Tobias Nigbur
September 2010, Volume 24, Issue 3
- 217-218 Editorial
by Manuel Ammann - 219-243 Do fundamental indexes produce higher risk-adjusted returns than market cap indexes? Evidence for European stock markets
by Olaf Stotz & Gabrielle Wanzenried & Karsten Döhnert - 245-269 Association between environmental factors and equity market performance: evidence from a nonparametric frontier method
by Don Galagedera - 271-287 Determinants of heterogeneity in European credit ratings
by Kurt Hornik & Rainer Jankowitsch & Manuel Lingo & Stefan Pichler & Gerhard Winkler - 289-308 Modeling the evolution of implied CDO correlations
by Marius Hofert & Matthias Scherer & Rudi Zagst - 309-320 A note on asset management and market risk
by Bernd Scherer - 321-323 Rüdiger Kiesel, Matthias Scherer, and Rudi Zagst (eds.): Alternative investments and strategies
by Roman Frey
June 2010, Volume 24, Issue 2
- 105-106 Editorial
by Manuel Ammann - 107-135 Return dispersion and expected returns
by Xiaoquan Jiang - 137-158 Do local analysts have an informational advantage in forecasting stock returns? Evidence from the German DAX30
by T. Hendricks & B. Kempa & C. Pierdzioch - 159-170 Do financial advisors exhibit myopic loss aversion?
by Kristoffer Eriksen & Ola Kvaløy - 171-192 Can small investors exploit the momentum effect?
by Antonios Siganos - 193-213 Pair-copulas modeling in finance
by Beatriz Mendes & Mariângela Semeraro & Ricardo Leal - 215-216 Piet Sercu: International Finance
by Evert Wipplinger
March 2010, Volume 24, Issue 1
- 1-2 Editorial
by Manuel Ammann - 3-29 Common (stock) sense about risk-shifting and bank bailouts
by Linus Wilson & Yan Wu - 31-48 Regulation of systemic liquidity risk
by Jin Cao & Gerhard Illing - 49-65 Idiosyncratic consumption risk and predictability of the carry trade premium: Euro-Area evidence
by Thomas Nitschka - 67-85 Economic capital for nonperforming loans
by Rafael Weißbach & Carsten Lieres und Wilkau - 87-102 Trends in corporate diversification
by Nilanjan Basu - 103-104 William Forbes: Behavioural Finance
by Evert Wipplinger
December 2009, Volume 23, Issue 4
- 333-334 Editorial
by Angelo Ranaldo & Paul Söderlind - 335-348 Liquidity risk, credit risk, and the federal reserve’s responses to the crisis
by Asani Sarkar - 349-359 The implementation of SNB monetary policy
by Thomas Jordan & Angelo Ranaldo & Paul Söderlind - 361-381 The financial crisis in Norway: effects on financial markets and measures taken
by Tom Bernhardsen & Arne Kloster & Elisabeth Smith & Olav Syrstad - 383-399 Intraday volatility responses to monetary policy events
by Asger Lunde & Allan Zebedee - 401-410 Monetary policy shocks and stock returns: evidence from the British market
by A. Gregoriou & A. Kontonikas & R. MacDonald & A. Montagnoli
September 2009, Volume 23, Issue 3
- 207-208 Editorial
by Manuel Ammann - 209-242 Commonalities in the order book
by Héléna Beltran-Lopez & Pierre Giot & Joachim Grammig - 243-269 Pricing volatility of stock returns with volatile and persistent components
by Jie Zhu - 271-283 Heterogeneous time varying transaction costs and asset pricing in international equity markets
by Andros Gregoriou & Christos Ioannidis & Sugata Ghosh - 285-313 An evaluation of conditional multi-factor models in active asset allocation strategies: an empirical study for the German stock market
by M. Deetz & T. Poddig & I. Sidorovitch & A. Varmaz - 315-327 A note on portfolio choice for sovereign wealth funds
by Bernd Scherer - 329-330 C. Skiadas: Asset Pricing Theory
by Evert Wipplinger - 331-332 C. Alexander: Market Risk Analysis (four-volume set)
by David Oesch
June 2009, Volume 23, Issue 2
- 109-110 Editorial
by Manuel Ammann - 111-135 The impact of monetary policy surprises on asset return volatility: the case of Germany
by Ernst Konrad - 137-155 Predicting premiums for the market, size, value, and momentum factors
by Michael Steiner - 157-186 Liquidating large security positions strategically: a pragmatic and empirical approach
by Burkart Mönch - 187-203 Selecting credit rating models: a cross-validation-based comparison of discriminatory power
by Marc Ryser & Stefan Denzler - 205-206 Thorsten Hens and Kremena Bachmann: Behavioural Finance for Private Banking
by David Oesch
March 2009, Volume 23, Issue 1
- 1-2 Editorial
by Manuel Ammann - 3-29 Do German security analysts herd?
by Marcel Naujoks & Kevin Aretz & Alexander Kerl & Andreas Walter - 31-57 Lemmings in the bond market? An empirical analysis of the term structure of credit spreads
by Nikolas Rokkanen - 59-91 The ex-dividend day stock price anomaly: evidence from the Greek stock market
by Apostolos Dasilas - 93-103 Competition between financial markets in Europe: what can be expected from MiFID?
by Hans Degryse - 105-107 Jean-Charles Rochet: Why Are there so Many Banking Crises?
by Bernd Brommundt
September 2008, Volume 22, Issue 3
- 193-194 Editorial
by Manuel Ammann - 195-217 Venture capital investment practices in Europe and the United States
by Armin Schwienbacher - 219-240 Securitization of mezzanine capital in Germany
by Günter Franke & Julia Hein - 241-258 Enterprise risk management in financial groups: analysis of risk concentration and default risk
by Nadine Gatzert & Hato Schmeiser & Stefan Schuckmann - 259-279 Alternative beta applied—an introduction to hedge fund replication
by Roman Tancar & Jan Viebig - 281-283 Robert D. Arnott, Jason C. Hsu, John M. West: The Fundamental Index—A Better Way to Invest
by Rachel Berchtold - 285-286 George Pennacchi: Theory of Asset Pricing
by David Oesch
June 2008, Volume 22, Issue 2
- 95-99 Editorial
by Wolfgang Bessler & Wolfgang Drobetz - 101-126 The nature of listed real estate companies: property or equity market?
by Jaroslaw Morawski & Heinz Rehkugler & Roland Füss - 127-146 How do commodity futures respond to macroeconomic news?
by Dieter Hess & He Huang & Alexandra Niessen - 147-167 Optimal investments in volatility
by Reinhold Hafner & Martin Wallmeier - 169-192 Sports betting as a new asset class—current market organization and options for development
by Peter Gomber & Peter Rohr & Uwe Schweickert
March 2008, Volume 22, Issue 1
- 1-2 Editorial
by Manuel Ammann - 3-20 The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements
by Allan Zebedee & Eric Bentzen & Peter Hansen & Asger Lunde - 21-45 Return enhancement trading strategies for size based portfolios
by Glen Larsen & Bruce Resnick - 47-66 Implied measures of relative fund performance
by Steve Hogan & Mitch Warachka - 67-90 Continuous-time delegated portfolio management with homogeneous expectations: can an agency conflict be avoided?
by Holger Kraft & Ralf Korn - 91-92 Eric Jondeau, Ser-Huang Poon, Michael Rockinger (eds.): Financial modeling under non-Gaussian distributions
by Stephan Suess - 93-94 Jim Gatheral: The volatility surface, a practitioner’s guide
by Evert Wipplinger
December 2007, Volume 21, Issue 4
- 401-402 Editorial
by Manuel Ammann - 403-424 Shareholder wealth gains through better corporate governance—The case of European LBO-transactions
by Christian Andres & André Betzer & Charlie Weir - 425-444 The tactical and strategic value of hedge fund strategies: a cointegration approach
by Roland Füss & Dieter Kaiser - 445-470 Heterogeneous multiple bank financing: does it reduce inefficient credit-renegotiation incidences?
by Christina Bannier - 471-485 Distribution of the shareholder base of Swiss cantonal banks
by Stefan Neher - 487-489 Jonathan Berk, Peter DeMarzo. Corporate Finance
by Rachel Berchtold - 491-492 Pompian, M. (2006): Behavioral Finance and Wealth Management – How to Build Optimal Portfolios That Account for Investor Biases
by Alexander Ising
September 2007, Volume 21, Issue 3
- 267-268 Editorial
by Manuel Ammann - 269-292 Credit default swap prices as risk indicators of listed German banks
by Klaus Düllmann & Agnieszka Sosinska - 293-324 Corporate cash holdings: Evidence from Switzerland
by Wolfgang Drobetz & Matthias Grüninger - 325-352 Feasible momentum strategies: Evidence from the Swiss stock market
by David Rey & Markus Schmid - 353-379 Price–volume relations of DAX companies
by Henryk Gurgul & Paweł Majdosz & Roland Mestel - 381-396 Is the January effect still alive in the futures markets?
by Juan Rendon & William Ziemba - 397-398 Philippe Jorion: Value at Risk – The New Benchmark for Managing Financial Risk
by Evert Wipplinger - 399-400 Joel Hasbrouck: Empirical Market Microstructure
by Rico Wyss
June 2007, Volume 21, Issue 2
- 145-146 Editorial
by Manuel Ammann - 147-166 An application of the Black–Litterman model with EGARCH-M-derived views for international portfolio management
by Steven Beach & Alexei Orlov - 167-201 Strategic asset allocation for a country: the Norwegian case
by Trond Døskeland - 203-220 The outperformance of family firms: the role of variance in earnings per share and analyst forecast dispersion on the Swiss market
by Thomas Zellweger & Roger Meister & Urs Fueglistaller - 221-240 Three aspects of the Swiss term structure: an empirical survey
by Petra Gerlach-Kristen - 241-261 The characteristics and development of the Swiss franc repurchase agreement market
by Sébastien Kraenzlin - 263-264 Kenneth J. Singleton: Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment
by Anna Cieslak - 265-266 Dariusz Gatarek, Przemyslaw Bachert und Robert Maksymiuk (2006): The LIBOR Market Model in Practice
by Rico Wyss
March 2007, Volume 21, Issue 1
- 1-2 Editorial
by Manuel Ammann - 3-43 Advice and monitoring in venture finance
by Douglas Cumming & Sofia Johan - 45-67 Performance differentiation: cutting losses and maximizing profits of private equity and venture capital investments
by Rainer Lauterbach & Isabell Welpe & Jan Fertig - 69-94 Do venture capitalists imitate portfolio size?
by André Gygax & Anna Griffiths - 95-120 Country and currency diversification of bond investments: do they really make sense for Swiss investors?
by Nicola Carcano - 121-134 Return decomposition of absolute-performance multi-asset class portfolios
by Stefan Illmer & Wolfgang Marty - 135-137 Damiano Brigo and Fabio Mercurio: Interest Rate Models – Theory and Practice
by David Skovmand & Michael Verhofen - 139-142 Wolfgang Bessler (ed.): Exchanges, Banks, and Capital Markets - (in German: Börsen, Banken und Kapitalmärkte)
by Karl Keiber - 143-144 Call for Papers
by Wolfgang Bessler & Wolfgang Drobetz
December 2006, Volume 20, Issue 4
- 367-368 Editorial
by Wolfgang Bessler - 369-398 Provincial preferences in private equity
by Douglas Cumming & Sofia Johan - 399-418 How do investment patterns of independent and captive private equity funds differ? Evidence from Germany
by Tereza Tykvová - 419-441 Relative importance of hedge fund characteristics
by Cécile Moigne & Patrick Savaria - 442-471 Performance measurement of hedge funds using data envelopment analysis
by Martin Eling