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University of St.Gallen School of Finance Research Paper Series

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Viewing: 1 - 50 of 284 papers

1.

Relative Implied Volatility Arbitrage with Index Options

University of St. Gallen, Department of Economics Working Paper No. 2001-06, Financial Analysts Journal, Vol. 58, No. 6, November/December 2002
Number of pages: 36 Posted: 20 Jun 2003
Working Paper Series
University of St. Gallen - School of Finance and Universität St. Gallen
Downloads 3,098
2.

An Integrated Framework of Corporate Governance and Firm Valuation - Evidence from Switzerland

ECGI - Finance Working Paper No. 34/2004
Number of pages: 59 Posted: 27 Jan 2004
Working Paper Series
University of Basel, University of Hamburg, University of St. Gallen - Swiss Institute of Banking and Finance and University of Basel - Center for Economic Science (WWZ) - Department of Finance
Downloads 3,032
3.

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

Journal of Finance, 2013, Vol. 68, No. 5, pp. 1805-1841
Number of pages: 69 Posted: 14 Aug 2009 Last Revised: 13 Oct 2013
Accepted Paper Series
Ecole Polytechnique Fédérale de Lausanne, University of St. Gallen and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 1,908
4.

The Solvency II Process: Overview and Critical Analysis

Risk Management and Insurance Review, Vol. 10, No. 1, pp. 69-85
Number of pages: 24 Posted: 13 Jan 2006 Last Revised: 10 Jun 2013
Accepted Paper Series
University of St. Gallen - Institute of Insurance Economics, University of Muenster - Faculty of Economics and University of Wisconsin - Madison - Department of Actuarial Science, Risk Management and Insurance

Multiple version iconThere are 2 versions of this paper

Downloads 1,864
5.

Feasible Momentum Strategies in the US Stock Market

Number of pages: 23 Posted: 21 Oct 2010 Last Revised: 29 May 2013
Working Paper Series
University of St. Gallen - School of Finance, University of St. Gallen - Swiss Institute of Banking and Finance and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 1,802
6.

Multiples and Their Valuation Accuracy in European Equity Markets

Number of pages: 34 Posted: 18 Jan 2007
Working Paper Series
Deutsche Bank AG and University of St. Gallen
Downloads 1,793
7.

Risk Management, Corporate Governance, and Bank Performance in the Financial Crisis

Number of pages: 45 Posted: 13 Oct 2011
Working Paper Series
University of St. Gallen - Swiss Institute of Banking and Finance, Risk Management and University of St. Gallen
Downloads 1,610
8.

Corporate Governance and Firm Value: International Evidence

Number of pages: 51 Posted: 15 Oct 2010 Last Revised: 29 May 2013
Working Paper Series
University of St. Gallen - School of Finance, University of Zurich and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 1,592
9.

Shareholder Votes and Proxy Advisors: Evidence from Say on Pay

Journal of Accounting Research, Forthcoming
Number of pages: 68 Posted: 11 Mar 2012 Last Revised: 16 Nov 2013
Working Paper Series
University of Colorado at Boulder - Department of Accounting, Columbia Business School - Accounting, Business Law & Taxation and University of Zurich

Multiple version iconThere are 2 versions of this paper

Downloads 1,509
10.

Are Convertible Bonds Underpriced?: An Analysis of the French Market

St. Gallen Economics Discussion Paper No. 2001-02, Journal of Banking and Finance, 2003
Number of pages: 28 Posted: 17 May 2001
Working Paper Series
University of St. Gallen - School of Finance, University of Basel and Goethe University Frankfurt - Department of Finance
Downloads 1,326
11.

The Effect of Market Regimes on Style Allocation

Number of pages: 45 Posted: 23 Jan 2009
Working Paper Series
University of St. Gallen - School of Finance and University of St. Gallen - Swiss Institute of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,266
12.

Do Financial Conglomerates Create or Destroy Economic Value?

EFA 2007 Ljubljana Meetings Paper
Number of pages: 46 Posted: 10 Sep 2006 Last Revised: 15 Jun 2013
Working Paper Series
University of St. Gallen - Swiss Institute of Banking and Finance and New York University - Leonard N. Stern School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,235
13.

What Drives the Performance of Convertible-Bond Funds?

Number of pages: 68 Posted: 04 Mar 2007
Working Paper Series
University of St. Gallen - School of Finance, University of Basel and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 1,203
14.

The Time-Varying Systematic Risk of Carry Trade Strategies

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 26 Posted: 23 Apr 2009 Last Revised: 11 Jun 2013
Working Paper Series
Aarhus University - CREATES, University of St. Gallen and University of St. Gallen

Multiple version iconThere are 3 versions of this paper

Downloads 1,197
15.

Convertible Bonds: Characteristics of an Asset Class

UBS Research Paper
Number of pages: 28 Posted: 03 Jun 2004
Working Paper Series
University of St. Gallen and UBS AG - Zurich Office
Downloads 1,134
16.

Crash Sensitivity and the Cross-Section of Expected Stock Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, University of St.Gallen, School of Finance Research Paper No. 2013/24
Number of pages: 94 Posted: 27 Feb 2012 Last Revised: 12 Jun 2017
Accepted Paper Series
University of Massachusetts Amherst - Isenberg School of Management, University of Mannheim - Department of International Finance and University of St. Gallen - School of Finance
Downloads 1,130
17.

Segmentation and Time-of-Day Patterns in Foreign Exchange Markets

EFA 2007 Ljubljana Meetings Paper
Number of pages: 36 Posted: 08 Feb 2007
Working Paper Series
University of St. Gallen
Downloads 1,123
18.

Implied and Realized Volatility in the Cross-Section of Equity Options

International Journal of Theoretical and Applied Finance, Vol. 12, No. 6, pp. 745-765, 2009
Number of pages: 30 Posted: 08 Jan 2009
Working Paper Series
University of St. Gallen - School of Finance, University of Aarhus - School of Business and Social Sciences and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 1,017
19.

Should Chairman and CEO Be Separated? Leadership Structure and Firm Performance in Switzerland

Number of pages: 24 Posted: 07 Apr 2005 Last Revised: 15 Jun 2013
Working Paper Series
University of St. Gallen - Swiss Institute of Banking and Finance and University of Basel - Center for Economic Science (WWZ) - Department of Finance
Downloads 1,008
20.

Decomposing Performance

EFA 2007 Ljubljana Meetings Paper
Number of pages: 60 Posted: 16 Feb 2007 Last Revised: 02 Nov 2016
Working Paper Series
University of Basel - Department of Finance, University of St. Gallen - Swiss Institute of Banking and Finance and University of Basel - Center for Economic Science (WWZ) - Department of Finance
Downloads 1,004
21.

Smokescreen: How Managers Behave When They Have Something to Hide

NYU Working Paper No. FIN-13-002, University of St.Gallen, School of Finance Research Paper No. 2013/9
Number of pages: 62 Posted: 10 Mar 2013 Last Revised: 10 Nov 2015
Working Paper Series
VU University Amsterdam, University of St. Gallen - Swiss Institute of Banking and Finance and New York University (NYU) - Stern School of Business
Downloads 984
22.

Estimating Conservative Loss Given Default

Number of pages: 26 Posted: 26 May 2008 Last Revised: 15 Jun 2013
Working Paper Series
Risk Management and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 975
23.

Feasible Momentum Strategies - Evidence from the Swiss Stock Market

University of Basel Finance Working Paper No. 10/04
Number of pages: 50 Posted: 13 Nov 2004
Working Paper Series
University of Basel and University of St. Gallen - Swiss Institute of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 959
24.

The Euro Interbank Repo Market

Swiss Finance Institute Research Paper No. 13-71, University of St. Gallen, School of Finance Research Paper No. 2013/16
Number of pages: 42 Posted: 28 Sep 2013 Last Revised: 29 Mar 2016
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, University of St. Gallen and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 952
25.

Risk Factors for the Swiss Stock Market

Number of pages: 33 Posted: 31 Jan 2008 Last Revised: 22 Apr 2016
Working Paper Series
University of St. Gallen - School of Finance and Wegelin & Co., Private Bankers
Downloads 900
26.

Wolf in Sheep's Clothing: The Active Investment Strategies Behind Index Performance

EFMA 2004 BASEL MEETINGS
Number of pages: 26 Posted: 07 May 2004
Working Paper Series
University of St. Gallen and UBS Investment Bank

Multiple version iconThere are 2 versions of this paper

Downloads 875
27.

Autocorrelation, Bias, and Fat Tails - Are Hedge Funds Really Attractive Investments?

Derivatives Use, Trading & Regulation, Vol. 12, No. 1, pp. 28-47, 2006
Number of pages: 27 Posted: 14 Dec 2005
Accepted Paper Series
University of St. Gallen - Institute of Insurance Economics
Downloads 812
28.

Hedge Fund Characteristics and Performance Persistence

Number of pages: 49 Posted: 30 Jul 2010 Last Revised: 29 May 2013
Working Paper Series
University of St. Gallen - School of Finance, Credit Suisse and University of St. Gallen - Swiss Institute of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 811
29.

Agency Conflicts, Corporate Governance, and Corporate Diversification - Evidence from Switzerland

Number of pages: 57 Posted: 14 Feb 2005
Working Paper Series
University of Basel and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 808
30.

Understanding FX Liquidity

Forthcoming in The Review of Financial Studies, University of St.Gallen, School of Finance Research Paper No. 2013/15
Number of pages: 49 Posted: 24 Sep 2013 Last Revised: 09 Jun 2015
Accepted Paper Series
University of Saint Gallen, SoF: School of Finance, University of St. Gallen and University of St. Gallen
Downloads 791
31.

Benchmarking Hedge Funds: The Choice of the Factor Model

Number of pages: 23 Posted: 07 Sep 2010 Last Revised: 29 May 2013
Working Paper Series
University of St. Gallen - School of Finance, Credit Suisse and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 786
32.

Ownership Structure and the Separation of Voting and Cash Flow Rights - Evidence from Switzerland

Number of pages: 52 Posted: 03 May 2005 Last Revised: 15 Jun 2013
Working Paper Series
University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 774
33.

Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds?

Journal of Banking and Finance, Forthcoming
Number of pages: 20 Posted: 10 Nov 2006
Accepted Paper Series
University of St. Gallen - Institute of Insurance Economics and University of Applied Sciences and Technology Aachen (RWTH Aachen)
Downloads 753
34.

The Performance Persistence of Equity Long/Short Hedge Funds

Number of pages: 26 Posted: 22 Jul 2008 Last Revised: 15 Jun 2013
Working Paper Series
Swiss Institute of Banking and Finance and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 718
35.

Performance Measurement of Hedge Funds Using Data Envelopment Analysis

Financial Markets and Portfolio Management, Vol. 20, No. 4, 2006
Number of pages: 29 Posted: 10 Nov 2006
Accepted Paper Series
University of St. Gallen - Institute of Insurance Economics
Downloads 709
36.

Do Implied Volatilities Predict Stock Returns?

Number of pages: 28 Posted: 04 Sep 2010
Working Paper Series
University of St. Gallen - School of Finance, Independent and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 706
37.

An Integrated Framework of Corporate Governance and Firm Valuation

Number of pages: 44 Posted: 01 Aug 2005
Working Paper Series
University of Basel, University of St. Gallen - Swiss Institute of Banking and Finance, University of Hamburg and University of Basel - Center for Economic Science (WWZ) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 695
38.

Does Hedge Fund Performance Persist? Overview and New Empirical Evidence

European Financial Management, Forthcoming, U. of St. Gallen Law & Economics Working Paper No. 37
Number of pages: 40 Posted: 25 Mar 2007 Last Revised: 10 Jun 2013
Working Paper Series
University of St. Gallen - Institute of Insurance Economics

Multiple version iconThere are 2 versions of this paper

Downloads 686
39.

Does the Director Election System Matter? Evidence from Majority Voting

Number of pages: 60 Posted: 08 Jul 2011 Last Revised: 31 May 2013
Working Paper Series
University of Colorado at Boulder - Department of Accounting, Columbia Business School - Accounting, Business Law & Taxation and University of Zurich
Downloads 677
40.

Order Aggressiveness

EFMA 2001 Lugano Meetings
Number of pages: 67 Posted: 11 Jan 2001
Working Paper Series
University of St. Gallen
Downloads 656
41.

Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk (SDSVaR) Approach

Journal of Financial and Quantitative Analysis (JFQA), Vol. 49, No. 3, 2014
Number of pages: 42 Posted: 11 Nov 2010 Last Revised: 08 Jun 2015
Accepted Paper Series
University of St. Gallen, University of St. Gallen - School of Finance and Halle Institute for Economic Research
Downloads 634
42.

Is There Really No Conglomerate Discount?

Number of pages: 39 Posted: 28 Feb 2008 Last Revised: 29 May 2013
Working Paper Series
University of St. Gallen - School of Finance, University of Basel - Department of Finance and University of St. Gallen - Swiss Institute of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 620
43.

Simulation-Based Pricing of Convertible Bonds

Journal of Empirical Finance, 2007
Number of pages: 42 Posted: 01 Aug 2005
Working Paper Series
University of St. Gallen - School of Finance, University of Basel and Goethe University Frankfurt - Department of Finance
Downloads 617
44.

Risk of Private Equity Fund-of-Fund Investments - A Detailed Cash Flow-Based Approach

Number of pages: 32 Posted: 26 Mar 2009
Working Paper Series
Technische Universität München - Center for Entrepreneurial and Financial Studies, Technische Universität München (TUM) - TUM School of Management, Risk Solution Network AG and Technische Universität München - Center for Entrepreneurial and Financial Studies
Downloads 614
45.

Product Market Competition, Managerial Incentives, and Firm Valuation

Number of pages: 53 Posted: 03 Feb 2005 Last Revised: 15 Jun 2013
Working Paper Series
University of Basel, University of St. Gallen - Swiss Institute of Banking and Finance and Institut für Finanzdienstleistungen Zug (IFZ)

Multiple version iconThere are 2 versions of this paper

Downloads 607
46.

Extreme Downside Liquidity Risk

26th Australasian Finance and Banking Conference 2013, University of St.Gallen, School of Finance Research Paper No. 2013/26
Number of pages: 81 Posted: 01 Apr 2013 Last Revised: 04 Jun 2017
Working Paper Series
University of Mannheim - Department of International Finance, Aalto University School of Business and University of St. Gallen - School of Finance
Downloads 591
47.

Safe Haven Currencies

Review of Finance, Vol. 10, pp. 385-407, 2010 , University of St. Gallen Economics Discussion Paper No. 2007-22
Number of pages: 28 Posted: 16 Jul 2007 Last Revised: 15 Jun 2013
Working Paper Series
University of St. Gallen and University of St. Gallen

Multiple version iconThere are 2 versions of this paper

Downloads 584
48.

Frontier Efficiency Methodologies to Measure Performance in the Insurance Industry: Overview and New Empirical Evidence

University of St. Gallen Working Papers on Risk Management and Insurance Paper No. 56
Number of pages: 48 Posted: 20 Aug 2008
Working Paper Series
University of St. Gallen - Institute of Insurance Economics and University of St. Gallen - SoM: School of Management
Downloads 581
49.

Investment Performance of Swiss Pension Funds and Investment Foundations

Number of pages: 37 Posted: 08 Feb 2008
Working Paper Series
University of St. Gallen - School of Finance and UBS Global Asset Management
Downloads 581
50.

Intraday Patterns in FX Returns and Order Flow

Queen Mary, University of London, School of Economics and Finance WP 694
Number of pages: 19 Posted: 04 Jul 2012
Working Paper Series
University of London, Queen Mary - School of Economics and Finance and University of St. Gallen
Downloads 574