Martin Wallmeier

University of Fribourg - Faculty of Economics and Social Science

Professor

Fribourg, CH 1700

Switzerland

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 17,541

SSRN RANKINGS

Top 17,541

in Total Papers Downloads

5,488

SSRN CITATIONS
Rank 22,293

SSRN RANKINGS

Top 22,293

in Total Papers Citations

27

CROSSREF CITATIONS

32

Scholarly Papers (18)

1.

The Dynamics of DAX Implied Volatilities

University of Augsburg Working Paper
Number of pages: 37 Posted: 11 Sep 2000
Martin Wallmeier and Reinhold Hafner
University of Fribourg - Faculty of Economics and Social Science and risklab germany GmbH
Downloads 1,039 (41,651)
Citation 22

Abstract:

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Implied volatility, DAX options, Smile, Option valuation

2.

Volatility as an Asset Class: European Evidence

Number of pages: 32 Posted: 17 May 2006
Martin Wallmeier and Reinhold Hafner
University of Fribourg - Faculty of Economics and Social Science and risklab germany GmbH
Downloads 950 (47,204)
Citation 7

Abstract:

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Implied Volatility, Smile, Variance Swap, Volatility Risk Premium

3.

How to Invest Over the Life Cycle: A Review

Number of pages: 33 Posted: 12 Dec 2006
Martin Wallmeier and Florian Zainhofer
University of Fribourg - Faculty of Economics and Social Science and University of Fribourg (Switzerland) - Chair for Financial Management
Downloads 673 (74,901)

Abstract:

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Personal finance, financial planning, life cycle model, portfolio choice

4.
Downloads 596 (87,270)

Optimal Investments in Volatility

Number of pages: 22 Posted: 20 Jul 2007 Last Revised: 17 Jul 2008
Reinhold Hafner and Martin Wallmeier
risklab germany GmbH and University of Fribourg - Faculty of Economics and Social Science
Downloads 596 (86,171)
Citation 2

Abstract:

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Variance Swap, Volatility Risk Premium, Portfolio Analysis, Higher Moments, Polynomial Goal Programming, Hedge Funds

Optimal Investments in Volatility

Financial Markets and Portfolio Management, Vol. 22, No. 2, pp. 147-167, 2008
Posted: 16 Jun 2008
Reinhold Hafner and Martin Wallmeier
risklab germany GmbH and University of Fribourg - Faculty of Economics and Social Science

Abstract:

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Variance swap, Volatility risk premium, Portfolio analysis, Higher moments, Polynomial goal programming, Hedge funds

Beyond Payoff Diagrams: How to Present Risk and Return Characteristics of Structured Products

Number of pages: 32 Posted: 20 Oct 2010
Martin Wallmeier
University of Fribourg - Faculty of Economics and Social Science
Downloads 523 (101,585)
Citation 3

Abstract:

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Structured products, retail derivatives, risk measurement, risk return tradeoff, investment decisions, information tools

Beyond Payoff Diagrams: How to Present Risk and Return Characteristics of Structured Products

Financial Markets and Portfolio Management, Vol. 25, No. 3, pp. 313-338, 2011
Posted: 29 Aug 2011
Martin Wallmeier
University of Fribourg - Faculty of Economics and Social Science

Abstract:

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structured products, retail derivatives, risk measurement, risk-return tradeoff, investment decisions, information tools

6.

Smile in Motion: An Intraday Analysis of Asymmetric Implied Volatility

Algorithmic Finance (2015), 4:1-2, 89-104
Number of pages: 17 Posted: 15 Mar 2012 Last Revised: 28 Jul 2015
Martin Wallmeier
University of Fribourg - Faculty of Economics and Social Science
Downloads 502 (108,627)
Citation 4

Abstract:

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Volatility smile, implied volatility, leverage effect, index options, high-frequency data

7.

Quality Issues of Implied Volatilities of Index and Stock Options in the OptionMetrics IvyDB Database

Number of pages: 47 Posted: 22 Mar 2022 Last Revised: 03 Apr 2024
Martin Wallmeier
University of Fribourg - Faculty of Economics and Social Science
Downloads 374 (152,141)
Citation 1

Abstract:

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OptionMetrics, Index options, Implied volatilities, Put-call parity

8.

Portfolio Overlapping Bias in Tests of the Fama and French Three-Factor Model

Number of pages: 38 Posted: 01 Nov 2012 Last Revised: 29 Jan 2014
Martin Wallmeier and Kathrin Tauscher
University of Fribourg - Faculty of Economics and Social Science and University of Fribourg - Faculty of Economics and Social Science
Downloads 232 (249,409)
Citation 2

Abstract:

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Asset pricing, three-factor model, portfolio overlapping, size effect, value premium

9.

Multivariate Downside Risk: Normal Versus Variance Gamma

Number of pages: 20 Posted: 22 Apr 2010
Martin Wallmeier and Martin Diethelm
University of Fribourg - Faculty of Economics and Social Science and University of Fribourg (Switzerland) - Chair of Finance
Downloads 208 (276,413)
Citation 4

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Structured Financial Products, Lévy Process, Variance Gamma Process, Multi-Asset Options, Barrier Options, Reverse Convertibles

10.

Home Bias and Expected Returns: A Structural Approach

Journal of International Money and Finance, Vol. 124, No. 102634, 2022
Number of pages: 43 Posted: 25 Feb 2021 Last Revised: 03 Apr 2024
Martin Wallmeier and Christoph Iseli
University of Fribourg - Faculty of Economics and Social Science and affiliation not provided to SSRN
Downloads 105 (483,252)

Abstract:

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Home bias, Asset pricing, International diversification, Implied expected return, Core-satellite approach, Home preferences, Equilibrium model

11.

Estimating discretionary accruals in the cross-section of firms: a reinterpretation of the Jones model and its variants

Number of pages: 42 Posted: 12 Jul 2021 Last Revised: 27 Jun 2024
Peter Fiechter and Martin Wallmeier
University of Neuchatel - Institute of Financial Analysis and University of Fribourg - Faculty of Economics and Social Science
Downloads 102 (493,144)

Abstract:

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Earnings management, Jones model, Discretionary accruals, Normal accruals, Bayesian analysis, Total accruals. JEL: M41, G17

12.

The Disappearance of the Zero-Earnings Discontinuity: SOX, Dotcom Boom or Gradual Decline?

Finance Research Letters, 2022
Number of pages: 15 Posted: 12 Jul 2021 Last Revised: 20 Jun 2022
Patrick Chardonnens, Peter Fiechter and Martin Wallmeier
University of Fribourg - University of Fribourg - Faculty of Economics and Social Science, University of Neuchatel - Institute of Financial Analysis and University of Fribourg - Faculty of Economics and Social Science
Downloads 75 (596,358)
Citation 2

Abstract:

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Earnings management, Zero-earnings discontinuity, SOX, Dotcom boom, Earnings distribution, Small loss avoidance

13.

Kinked Accounting? Loss Avoidance in Europe and (Not) the US

Number of pages: 37 Posted: 12 Jul 2021 Last Revised: 03 Apr 2024
Patrick Chardonnens and Martin Wallmeier
University of Fribourg - University of Fribourg - Faculty of Economics and Social Science and University of Fribourg - Faculty of Economics and Social Science
Downloads 65 (643,919)

Abstract:

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Earnings management, Zero earnings discontinuity, SOX, Loss avoidance

14.

A High-Frequency Investigation of the Interaction between Volatility and DAX Returns

European Financial Management, Vol. 16, No. 3, 2010, 327–344
Number of pages: 21 Posted: 16 Feb 2023
Philippe Masset and Martin Wallmeier
University of Fribourg - Faculty of Economics and Social Science and University of Fribourg - Faculty of Economics and Social Science
Downloads 44 (768,205)

Abstract:

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implied volatility; Granger causality; leverage e¤ect; feed-back effect; asymmetric volatility

15.

Market Pricing of Exotic Structured Products: The Case of Multi-Asset Barrier Reverse Convertibles in Switzerland

Posted: 20 Feb 2008 Last Revised: 21 May 2019
Martin Wallmeier and Martin Diethelm
University of Fribourg - Faculty of Economics and Social Science and University of Fribourg (Switzerland) - Chair of Finance

Abstract:

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Structured products, reverse convertibles, multi-asset options, barrier options, fair pricing, financial engineering

16.

Analysts' Earnings Forecasts for Dax100 Firms During the Stock Market Boom Of the 1990s

Financial Markets and Portfolio Management, Vol. 19, No. 2, pp. 130-150, 2005
Posted: 09 Sep 2005
Martin Wallmeier
University of Fribourg - Faculty of Economics and Social Science

Abstract:

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17.

Pricing Discrete Knock-Out Options with Tree Methods

Posted: 31 Mar 1999
Manfred Steiner, Martin Wallmeier and Reinhold Hafner
University of Augsburg, University of Fribourg - Faculty of Economics and Social Science and risklab germany GmbH

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18.

Forecasting the Correlation Structure of German Stock Returns: A Test of Firm-Specific Factor Models

Posted: 22 Oct 1998
Martin Wallmeier and Manfred Steiner
University of Fribourg - Faculty of Economics and Social Science and University of Augsburg

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