Wissenschaftliche Publikationen

Im Folgenden finden Sie eine Auswahl unserer wissenschaftlichen Publikationen:

  • 2012-2016
    • Consequences of index-linked investing

      Bolla, L., Kohler, A., Wittig, H., Index-Linked Investing - A Curse for the Stability of Financial Markets around the Globe?, Journal of Portfolio Managment, 42(3), 2016, pp. 26-43.

    • Asset Liability Management of Pension Funds

      Bolla, L., Kohler, A., Wittig, H., The Liability Market Value as Benchmark in Pension Fund Performance Measurement, Journal of Pension Economics & Finance, 15(1), 2016, pp. 90-111.

    • Risk Contribution Rebalancing

      Kohler, A., Wittig, H., Rethinking Portfolio Rebalancing: Introducing Risk Contribution rebalancing as an Alternative Approach to Traditional Value-Based Rebalancing Strategies, Journal of Portfolio Management, 40(3), 2014, pp. 34-46.

    • Hedge Fund Performance

      Ammann, M., Huber, O., Schmid, M., Hedge Fund Characteristics and Performance Persistence, European Financial Management, 19(2), 2013, pp. 209-250.

  • 2010-2011
    • Momentum Strategies

      Ammann, M., Moellenbeck, M., Schmid, M., Feasible Momentum Strategies in the US Stock Market, Journal of Asset Management, 11(6), 2011, pp. 362-374.

    • Hedge Fund Alpha

      Ammann, M., Huber, O., Schmid, M., Has Hedge Fund Alpha Disappeared?, Journal of Investment Management, 9(1), 2011, pp. 50-71.

    • Performance of Convertible-Bond Funds

      Ammann, M., Kind, A.H., Seiz, R., What Drives the Performance of Convertible-Bond Funds?, Journal of Banking and Finance, 34, 2010, pp. 2600-2613.

    • Swiss Pension Funds

      Ammann, M., Zingg, A., Performance and Governance of Swiss Pension Funds, Journal of Pension Economics and Finance, 9(1), 2010, pp. 95-128.

  • 2008-2009
    • Implied Volatilities and Stock Returns

      Ammann, M., Süss, S., Verhofen, M., Do Implied Volatilities Predict Stock Returns? Journal of Asset Management, 10(4), 2009, pp. 222-234.

    • Active vs. Passive Management

      Ammann, M., Steiner, M., The Performance of Actively and Passively Managed Swiss Equity Funds, Swiss Journal of Economics and Statistics, 1(1), 2009, pp. 1-36.

    • Stock Price Crashes

      Ammann, M., Kessler, S., Intra-Day Characteristics of Stock Price Crashes, Applied Financial Economics, 19(15), 2009, pp. 1239-1255.

    • Mutual Fund Managers

      Ammann, M., Verhofen, M., The Impact of Prior Performance on the Risk-Taking of Mutual Fund Managers, Annals of Finance, 5(1), 2009, pp. 69-90.

    • Hedge Fund Performance

      Ammann, M., Moerth, P., Impact of Fund Size and Fund Flows on Hedge Fund Performance, Journal of Alternative Investments, 11(1), 2008, pp. 78-96.

    • Funds of Hedge Funds Performance

      Ammann, M., Moerth, P., Performance of Funds of Hedge Funds, Journal of Wealth Management, 11(1), Summer, 2008, pp. 46-63.

    • Swiss Pension Funds and Investment Foundations

      Ammann, M., Zingg, A., Investment Performance of Swiss Pension Funds and Investment Foundations, Swiss Journal of Economics and Statistics, 144(2), 2008, pp. 153-195.

    • Swiss Stock Market

      Ammann, M., Steiner, M., Risk Factors for the Swiss Stock Market, Swiss Journal of Economics and Statistics, 144(1), 2008, pp. 1-35.

    • Convertible Bonds

      Ammann, M., Kind, A., Wilde, C., Simulation-Based Pricing of Convertible Bonds, Journal of Empirical Finance, 15(2), 2008, pp. 310-331.

  • 2006-2007
    • Mutual Fund Managers

      Ammann, M., Verhofen, M., Prior Performance and Risk-Taking of Mutual Fund Managers: A Dynamic Bayesian Network Approach, Journal of Behavioral Finance, 8(1), 2007, pp. 20-34.

    • Active Investment Strategies

      Ammann, M., Kessler, S., Tobler, J., Analyzing Active Investment Strategies, Journal of Portfolio Management, 33(1), 2006, pp. 56-67.

    • Style Allocation

      Ammann, M., Verhofen, M., The Effect of Market Regimes on Style Allocation, Financial Markets and Portfolio Management, 20(3), 2006, pp. 309-337.

    • Convertible Bonds

      Ammann, M., Seiz, R., Pricing and Hedging Mandatory Convertible Bonds, Journal of Derivatives, 13(3), 2006, pp. 30-46.

    • Convertible and Exchangeable Bonds

      Ammann, M., Fehr, M., Seiz, R., New Evidence on the Announcement Effect of Convertible and Exchangeable Bonds, Journal of Multinational Financial Management, 16(1), 2006, pp. 43-63.

  • 2005 und früher
    • Valuation of Employee Stock Options

      Ammann, M., Seiz, R., An IFRS 2 and FASB 123 (R) Compatible Model for the Valuation of Employee Stock Options, Financial Markets and Portfolio Management, 19(4), 2005, pp. 381-396.

    • Hedge Fund Performance

      Ammann, M., Moerth, P., Impact of Fund Size on Hedge Fund Performance, Journal of Asset Management, 6(3), 2005, pp. 219-238.

    • Employee Stock Options

      Ammann, M., Seiz, R., Valuing Employee Stock Options: Does the Model Matter?, Financial Analysts Journal, 60(5), September/October, 2004, pp. 21-37.

    • Convertible Bonds

      Ammann, M., Kind, A.H., Wilde, C., Are Convertible Bonds Underpriced? An Analysis of the French Market, Journal of Banking and Finance, 27(4), 2003, pp. 635-653.

    • Anlagestiftungen Schweiz

      Ammann, M., Häller, C., von Wyss, R., Performance Schweizerischer Anlagestiftungen, Financial Markets and Portfolio Management, 16(4), 2002, pp. 446-466.

    • Tactical Asset Allocation

      Ammann, M., Zimmermann, H., Tracking Error and Tactical Asset Allocation, Financial Analysts Journal, 57(2), March/April, 2001, pp. 32-43.