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University of St.Gallen School of Finance Research Paper Series

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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 3,222
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, Hamburg University, University of St. Gallen - Swiss Institute of Banking and Finance and University of Basel - Center for Economic Science (WWZ) - Department of Finance
Downloads 3,057
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
University of Lugano - Institute of Finance, University of St. Gallen and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 2,011
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 1,921
5.

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 1,897
6.

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 1,863
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, affiliation not provided to SSRN and University of St. Gallen
Downloads 1,745
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 1,730
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 1,605
10.

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 1,371
11.

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 Konstanz and Goethe University Frankfurt - Department of Finance
Downloads 1,347
12.

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 1,312
13.

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 1,249
14.

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 Konstanz and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 1,237
15.

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

Multiple version iconThere are 3 versions of this paper

Downloads 1,232
16.

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 1,170
17.

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 1,152
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 1,043
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 1,041
20.

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
University of Lugano - Institute of Finance, University of St. Gallen and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 1,011
21.

Does Price Fixing Benefit Corporate Managers?

NYU Working Paper No. FIN-13-002, University of St.Gallen, School of Finance Research Paper No. 2013/9
Number of pages: 56 Posted: 10 Mar 2013 Last Revised: 28 Oct 2017
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 1,009
22.

Estimating Conservative Loss Given Default

Number of pages: 26 Posted: 26 May 2008 Last Revised: 15 Jun 2013
Working Paper Series
affiliation not provided to SSRN and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 1,002
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 974
24.

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 961
25.

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 883
26.

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 846
27.

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 829
28.

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 828
29.

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 828
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 826
31.

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 783
32.

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 768
33.

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 722
34.

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 721
35.

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 719
36.

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, Hamburg University and University of Basel - Center for Economic Science (WWZ) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 705
37.

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 702
38.

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 701
39.

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 671
40.

Order Aggressiveness

EFMA 2001 Lugano Meetings
Number of pages: 67 Posted: 11 Jan 2001
Working Paper Series
University of St. Gallen
Downloads 664
41.

Non-Core Banking, Performance, and Risk

University of St.Gallen, School of Finance Research Paper No. 2014/17
Number of pages: 59 Posted: 03 Oct 2014 Last Revised: 09 Jan 2018
Working Paper Series
New York University - Leonard N. Stern School of Business, University of St. Gallen - Swiss Institute of Banking and Finance and New York University - Leonard N. Stern School of Business
Downloads 647
42.

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 647
43.

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 644
44.

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: 78 Posted: 01 Apr 2013 Last Revised: 12 Mar 2018
Working Paper Series
University of Mannheim - Department of International Finance, Aalto University School of Business and University of St. Gallen - School of Finance
Downloads 643
45.

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 632
46.

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 Konstanz and Goethe University Frankfurt - Department of Finance
Downloads 626
47.

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 612
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 609
49.

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 605
50.

How Much of the Diversification Discount Can be Explained by Poor Corporate Governance?

Number of pages: 52 Posted: 11 Feb 2009 Last Revised: 15 Jun 2013
Working Paper Series
University of Basel - Department of Finance, University of St. Gallen - Swiss Institute of Banking and Finance, New York University - Leonard N. Stern School of Business and New York University (NYU) - Stern School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 599