SSRN University of St.Gallen School of Finance Research Paper Series

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

Manuel Ammann and Silvan Herriger

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

Stefan Beiner, Wolfgang Drobetz, Markus M. Schmid and Heinz Zimmermann

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

Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer

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

Martin Eling, Hato Schmeiser and Joan T. Schmit

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

There 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

Manuel Ammann, Marcel Moellenbeck and Markus M. Schmid

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

Andreas Schreiner and Klaus Spremann

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

Markus M. Schmid, Gabriele Sabato and Vincent Aebi

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

Manuel Ammann, David Oesch and Markus M. Schmid

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

Yonca Ertimur, Fabrizio Ferri and David Oesch

University of Colorado at Boulder - Department of Accounting, Columbia Business School - Accounting, Business Law & Taxation and University of Zurich

There 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

Manuel Ammann, Axel H. Kind and Christian Wilde

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

Manuel Ammann and Michael Verhofen

University of St. Gallen - School of Finance and University of St. Gallen - Swiss Institute of Banking and Finance

There 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

Markus M. Schmid and Ingo Walter

University of St. Gallen - Swiss Institute of Banking and Finance and New York University - Leonard N. Stern School of Business

There 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

Manuel Ammann, Axel H. Kind and Ralf Seiz

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

Charlotte Christiansen, Angelo Ranaldo and Paul Söderlind

Aarhus University - CREATES, University of St. Gallen and University of St. Gallen

There 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

Angelo Ranaldo and Alain Eckmann

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

Fousseni Chabi-Yo, Stefan Ruenzi and Florian Weigert

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

Angelo Ranaldo

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

Manuel Ammann, David Skovmand and Michael Verhofen

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

Markus M. Schmid and Heinz Zimmermann

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

Daniel Hoechle, Markus M. Schmid and Heinz Zimmermann

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

Tanja Artiga González, Markus M. Schmid and David Yermack

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

Gabriele Sabato and Markus M. Schmid

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

David M. Rey and Markus M. Schmid

University of Basel and University of St. Gallen - Swiss Institute of Banking and Finance

There 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

Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer

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

Manuel Ammann and Michael Steiner

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

Angelo Ranaldo and Rainer Haeberle

University of St. Gallen and UBS Investment Bank

There 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

Martin Eling

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

Manuel Ammann, Otto R. Huber and Markus M. Schmid

University of St. Gallen - School of Finance, Credit Suisse and University of St. Gallen - Swiss Institute of Banking and Finance

There 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

Stefan Beiner and Markus M. Schmid

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

Nina Karnaukh, Angelo Ranaldo and Paul Söderlind

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

Manuel Ammann, Otto R. Huber and Markus M. Schmid

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

Markus M. Schmid

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

Martin Eling and Frank Schuhmacher

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

Samuel Manser and Markus M. Schmid

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

Martin Eling

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

Manuel Ammann, Stephan Süss and Michael Verhofen

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

Stefan Beiner, Markus M. Schmid, Wolfgang Drobetz and Heinz Zimmermann

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

There 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

Martin Eling

University of St. Gallen - Institute of Insurance Economics

There 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

Yonca Ertimur, Fabrizio Ferri and David Oesch

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

Angelo Ranaldo

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

Zeno Adams, Roland Füss and Reint Gropp

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

Manuel Ammann, Daniel Hoechle and Markus M. Schmid

University of St. Gallen - School of Finance, University of Basel - Department of Finance and University of St. Gallen - Swiss Institute of Banking and Finance

There 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

Manuel Ammann, Axel H. Kind and Christian Wilde

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

Ann‐Kristin Achleitner, Reiner Braun, Matthias Schaller and Florian Tappeiner

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

Stefan Beiner, Markus M. Schmid and Gabrielle Wanzenried

University of Basel, University of St. Gallen - Swiss Institute of Banking and Finance and Institut für Finanzdienstleistungen Zug (IFZ)

There 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

Stefan Ruenzi, Michael Ungeheuer and Florian Weigert

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

Angelo Ranaldo and Paul Söderlind

University of St. Gallen and University of St. Gallen

There 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

Martin Eling and Michael Luhnen

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

Manuel Ammann and Andreas Zingg

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

Francis Breedon and Angelo Ranaldo

University of London, Queen Mary - School of Economics and Finance and University of St. Gallen

Downloads 574

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