Manuel Ammann

University of St. Gallen - School of Finance

Professor

Unterer Graben 21

St.Gallen, CH-9000

Switzerland

  • University of St. Gallen - School of Finance

SCHOLARLY PAPERS

54

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109

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49

Scholarly Papers (54)

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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
Manuel Ammann and Silvan Herriger
University of St. Gallen - School of Finance and Universität St. Gallen
Downloads 3,692 (4,829)
Citation 2

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Statistical arbitrage, index options, relative implied volatility, market efficiency

2.

Corporate Governance and Firm Value: International Evidence

Number of pages: 51 Posted: 15 Oct 2010 Last Revised: 29 May 2013
Manuel Ammann, David Oesch and Markus Schmid
University of St. Gallen - School of Finance, University of Zurich and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 2,151 (11,585)
Citation 10

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Corporate Governance, Firm Valuation, Minimum Standards, Principal Component Analysis, Corporate Social Responsibility

3.

Feasible Momentum Strategies in the US Stock Market

Number of pages: 23 Posted: 21 Oct 2010 Last Revised: 29 May 2013
Manuel Ammann, Marcel Moellenbeck and Markus 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 2,138 (11,701)
Citation 4

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Momentum strategies, Large-cap stocks, Stock market predictability

4.

The Effect of Market Regimes on Style Allocation

Downloads 1,515 (19,947)
Citation 1

The Effect of Market Regimes on Style Allocation

Number of pages: 45 Posted: 23 Jan 2009
Manuel Ammann and Michael Verhofen
University of St. Gallen - School of Finance and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 1,515 (19,594)
Citation 1

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Regime Switching, Style Investing, Markov Chain Monte Carlo, Tactical Asset Allocation

The Effect of Market Regimes on Style Allocation

Financial Markets and Portfolio Management, Vol. 20, No. 3, pp. 309-337, 2006
Posted: 17 Sep 2006
Manuel Ammann and Michael Verhofen
University of St. Gallen - School of Finance and University of St. Gallen - Swiss Institute of Banking and Finance

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Regime switching, Style investing, Markov Chain Monte Carlo, Tactical asset allocation

5.

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
Manuel Ammann, Axel H. Kind and Christian Wilde
University of St. Gallen - School of Finance, University of Konstanz and Goethe University Frankfurt - Department of Finance
Downloads 1,502 (20,250)
Citation 8

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Convertible bonds, pricing, French market, binomial tree, derivatives

6.

What Drives the Performance of Convertible-Bond Funds?

Number of pages: 68 Posted: 04 Mar 2007
Manuel Ammann, Axel H. Kind and Ralf Seiz
University of St. Gallen - School of Finance, University of Konstanz and University of St.Gallen
Downloads 1,330 (24,307)
Citation 7

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Mutual Funds, Performance, Hybrid Securities, Convertible Bonds

7.

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
Manuel Ammann, David Skovmand and Michael Verhofen
University of St. Gallen - School of Finance, Aarhus University - School of Business and Social Sciences and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 1,288 (25,525)
Citation 1

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Implied Volatility, Realized Volatility

8.

Benchmarking Hedge Funds: The Choice of the Factor Model

Number of pages: 23 Posted: 07 Sep 2010 Last Revised: 29 May 2013
Manuel Ammann, Otto R. Huber and Markus Schmid
University of St. Gallen - School of Finance, Credit Suisse and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 1,269 (26,068)
Citation 2

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Hedge Funds, Performance Measurement, Alpha, Factor Models, Crisis

9.

Risk Factors for the Swiss Stock Market

Number of pages: 33 Posted: 31 Jan 2008 Last Revised: 22 Apr 2016
Manuel Ammann and Michael Steiner
University of St. Gallen - School of Finance and Wegelin & Co., Private Bankers
Downloads 1,068 (33,498)
Citation 3

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Fama, French, Carhart, Risk factors, Value, Size, Momentum, Switzerland

10.

Hedge Fund Characteristics and Performance Persistence

Number of pages: 49 Posted: 30 Jul 2010 Last Revised: 29 May 2013
Manuel Ammann, Otto R. Huber and Markus Schmid
University of St. Gallen - School of Finance, Credit Suisse and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 935 (40,376)

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Hedge Funds, Performance, Alpha, Factor Models, Performance Persistence

11.

Is There Really No Conglomerate Discount?

Number of pages: 39 Posted: 28 Feb 2008 Last Revised: 29 May 2013
Manuel Ammann, Daniel Hoechle and Markus Schmid
University of St. Gallen - School of Finance, FHNW School of Business - Institute for Finance and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 810 (49,163)

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Organizational structure, Diversification, Market value of debt, Endogeneity, Fixed effects

12.

Do Implied Volatilities Predict Stock Returns?

Number of pages: 28 Posted: 04 Sep 2010
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 808 (49,312)
Citation 1

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Implied Volatility, Expected Returns

13.

Simulation-Based Pricing of Convertible Bonds

Journal of Empirical Finance, 2007
Number of pages: 42 Posted: 01 Aug 2005
Manuel Ammann, Axel H. Kind and Christian Wilde
University of St. Gallen - School of Finance, University of Konstanz and Goethe University Frankfurt - Department of Finance
Downloads 771 (52,557)
Citation 6

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Convertible bonds, pricing, american options, Monte Carlo simulation

14.

The Impact of the Morningstar Sustainability Rating on Mutual Fund Flows

University of St.Gallen, School of Finance Research Paper No. 2017/18
Number of pages: 53 Posted: 16 Nov 2017 Last Revised: 09 May 2018
Manuel Ammann, Christopher Bauer, Sebastian Fischer and Philipp Müller
University of St. Gallen - School of Finance, University of St. Gallen, Students, University of St. Gallen - School of Finance and University of St. Gallen, Students
Downloads 698 (59,986)
Citation 11

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Mutual Fund, Sustainability, Investment Decisions, Information

15.

Factor Exposure Variation and Mutual Fund Performance

Financial Analyst Journal, Forthcoming, University of St.Gallen, School of Finance Research Paper No. 2018/17
Number of pages: 38 Posted: 30 Aug 2018 Last Revised: 01 Dec 2020
Manuel Ammann, Sebastian Fischer and Florian Weigert
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 635 (67,825)

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Mutual Fund, Market Timing, Factor Timing, Kalman Filter

16.

Investment Performance of Swiss Pension Funds and Investment Foundations

Number of pages: 37 Posted: 08 Feb 2008
Manuel Ammann and Andreas Zingg
University of St. Gallen - School of Finance and UBS Global Asset Management
Downloads 631 (68,360)
Citation 1

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Investments, Performance, Pension funds, Switzerland

17.

Do Newspaper Articles Predict Aggregate Stock Returns?

University of St.Gallen, School of Finance Research Paper No. 2012/4, Journal of Behavioral Finance, 15(3), 2014, pp. 195-213.
Number of pages: 40 Posted: 16 Nov 2011 Last Revised: 25 Jan 2016
Manuel Ammann, Roman Frey and Michael Verhofen
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 612 (71,123)
Citation 2

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Wordcount, Text Mining, Market Efficiency, Tactical Asset Allocation

18.

The Conglomerate Discount: A New Explanation Based on Credit Risk

Number of pages: 13 Posted: 09 Jan 2005 Last Revised: 26 Mar 2014
Manuel Ammann and Michael Verhofen
University of St. Gallen - School of Finance and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 572 (77,317)

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Diversification discount, credit risk

19.

Product Market Competition, Corporate Governance, and Firm Value: Evidence from the EU-Area

European Financial Management, 19 (3), 2013, pp. 452-469
Number of pages: 29 Posted: 28 Feb 2011 Last Revised: 19 Jan 2016
Manuel Ammann, Markus Schmid and David Oesch
University of St. Gallen - School of Finance, University of St. Gallen - Swiss Institute of Banking and Finance and University of Zurich
Downloads 547 (81,776)

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Product Market Competition, Corporate Governance, Firm Valuation

20.

Credit Variance Risk Premiums

European Financial Management, Forthcoming, University of St.Gallen, School of Finance Research Paper No. 2019/08
Number of pages: 50 Posted: 24 Jun 2019 Last Revised: 12 Sep 2022
Manuel Ammann and Mathis Moerke
University of St. Gallen - School of Finance and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 544 (82,316)

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Variance risk premium, CDS implied volatility, CDS variance swap

21.

The Performance of Actively and Passively Managed Swiss Equity Funds

Number of pages: 37 Posted: 09 Jan 2009
Manuel Ammann and Michael Steiner
University of St. Gallen - School of Finance and Wegelin & Co., Private Bankers
Downloads 530 (85,042)
Citation 1

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Mutual Funds, Index Funds, Performance, Switzerland

22.

A Testable Ebit-Based Credit Risk Model

Number of pages: 42 Posted: 28 May 2004
Manuel Ammann and Michael Genser
University of St. Gallen - School of Finance and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 453 (102,762)
Citation 3

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firm and security valuation, business and investor taxation, optimal bankruptcy, credit risk, capital structure

23.

Does the Model Matter? A Valuation Analysis of Employee Stock Options

Number of pages: 31 Posted: 13 May 2004
Manuel Ammann and Ralf Seiz
University of St. Gallen - School of Finance and University of St.Gallen
Downloads 449 (103,885)

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Employee stock options, option pricing, option exercise

24.

New Evidence on the Announcement Effect of Convertible and Exchangeable Bonds

EFMA 2004 Basel Meetings Paper, Journal of Multinational Financial Management, Vol. 16, No. 1, pp. 43-63, 2006
Number of pages: 30 Posted: 13 May 2004
Manuel Ammann, Martin Fehr and Ralf Seiz
University of St. Gallen - School of Finance, University of St. Gallen - Swiss Institute of Banking and Finance and University of St.Gallen
Downloads 449 (103,885)
Citation 6

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Convertible bonds, exchangeable debt, event study, announcement effects

25.

Has Hedge Fund Alpha Disappeared?

Journal of Investment Management (JOIM), First Quarter 2011
Number of pages: 34 Posted: 08 Jan 2010 Last Revised: 21 Dec 2016
Manuel Ammann, Otto R. Huber and Markus Schmid
University of St. Gallen - School of Finance, Credit Suisse and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 445 (104,984)
Citation 2

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Hedge Funds, Performance, Alpha, Factor Models, Capacity Constraints

26.

Performance and Governance of Swiss Pension Funds

Number of pages: 39 Posted: 11 Aug 2009
Manuel Ammann and Andreas Zingg
University of St. Gallen - School of Finance and UBS Global Asset Management
Downloads 404 (117,536)
Citation 4

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Performance, Governance, Pension Funds

27.

Pricing, Demand, and Product Design of Innovative Securities: The Role of Investor Information

University of St.Gallen, School of Finance Research Paper No. 2017/04, Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 63 Posted: 15 Mar 2017 Last Revised: 18 Feb 2022
Manuel Ammann, Marc Arnold and Simon Straumann
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance and WHU - Otto Beisheim School of Management
Downloads 371 (129,474)
Citation 1

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structured products, investor information, financial innovation

28.

Commodity Tail Risks

Journal of Futures Markets, Forthcoming
Number of pages: 45 Posted: 23 Sep 2022
Manuel Ammann, Mathis Moerke, Marcel Prokopczuk and Christoph Wuersig
University of St. Gallen - School of Finance, University of St. Gallen - Swiss Institute of Banking and Finance, University of Reading - ICMA Centre and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 368 (130,705)

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Commodities, Tail Risks, Dependencies

29.

Asymmetric Dependence Patterns in Financial Time Series

European Journal of Finance, 2008
Number of pages: 31 Posted: 03 Dec 2008
Manuel Ammann and Stephan Süss
University of St. Gallen - School of Finance and Independent
Downloads 359 (134,330)
Citation 2

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Copulae, Asymmetric Dependence Concepts

30.

Disposition Effect and Mutual Fund Performance

Number of pages: 39 Posted: 08 Jun 2011
Manuel Ammann, Alexander Ising and Stephan Kessler
University of St. Gallen - School of Finance, University of St. Gallen and Universität St. Gallen - Swiss Institute of Banking and Finance
Downloads 344 (140,708)

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disposition effect, mutual fund performance, behavioral finance

31.

Variance Risk Premiums in Foreign Exchange Markets

Journal of Empirical Finance, 23, 2013, pp. 16-32, University of St.Gallen, School of Finance Research Paper No. 2013/4
Number of pages: 32 Posted: 08 Jul 2013 Last Revised: 18 Jan 2016
Manuel Ammann and Ralf Buesser
University of St. Gallen - School of Finance and Independent
Downloads 326 (149,024)
Citation 3

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Foreign exchange, Variance risk premium, Variance swap, Intraday data, Risk-neutral expectation, Jump risk

32.

Intra-Day Characteristics of Stock Price Crashes

Number of pages: 33 Posted: 09 Jan 2009
Manuel Ammann and Stephan Kessler
University of St. Gallen - School of Finance and Universität St. Gallen - Swiss Institute of Banking and Finance
Downloads 323 (150,489)

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Idiosyncratic crash, market microstructure, intra-day analysis, liquidity, risk

33.

Announcement Effects of Contingent Convertible Securities: Evidence from the Global Banking Industry

European Financial Management, Forthcoming, University of St.Gallen, School of Finance Research Paper No. 2015/25
Number of pages: 39 Posted: 12 Dec 2015 Last Revised: 03 Mar 2016
Manuel Ammann, Christian Ehmann and Kristian Blickle
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 292 (167,361)

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Contingent Convertible Securities, CoCo Bonds, Announcement Effects, Event Study

34.

Tactical Industry Allocation and Model Uncertainty

Number of pages: 36 Posted: 02 Oct 2007
Manuel Ammann and Michael Verhofen
University of St. Gallen - School of Finance and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 276 (177,466)

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Bayesian Model Averaging, Tactical Asset Allocation

35.

Is Governance Related to Investment Performance and Asset Allocation? Empirical Evidence from Swiss Pension Funds

University of St. Gallen, School of Finance Research Paper No. 2016/23
Number of pages: 68 Posted: 21 Feb 2017 Last Revised: 03 Mar 2017
Manuel Ammann and Christian Ehmann
University of St. Gallen - School of Finance and University of St. Gallen - School of Finance
Downloads 229 (213,349)
Citation 3

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pension fund governance, investment performance, Swiss occupational pension plans

36.

Characteristics-Based Portfolio Choice with Leverage Constraints

Journal of Banking and Finance, Forthcoming, University of St. Gallen, School of Finance Research Paper No. 2016/06
Number of pages: 46 Posted: 23 Feb 2016 Last Revised: 20 Oct 2020
Manuel Ammann, Guillaume Coqueret and Jan-Philip Schade
University of St. Gallen - School of Finance, EMLYON Business School and University of St. Gallen - School of Finance
Downloads 222 (219,775)
Citation 8

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Portfolio choice, leverage constraint, characteristics-based investing

37.

Enhancing the Fama-French five-factor model with informative factors

Number of pages: 58 Posted: 25 Jan 2023 Last Revised: 13 Apr 2023
Manuel Ammann, Tobias Hemauer and Simon Straumann
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance and WHU - Otto Beisheim School of Management
Downloads 221 (220,706)

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Fama-French five-factor model, value factor, profitability factor, investment factor, cash flow shocks

38.

Demographic Change and Pharmaceuticals' Stock Returns

Number of pages: 28 Posted: 06 Jul 2009
Manuel Ammann, Rachel Berchtold and Ralf Seiz
University of St. Gallen - School of Finance, University of St. Gallen - Swiss Institute of Banking and Finance and University of St.Gallen
Downloads 217 (224,591)

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Demographic Change, Demand Growth, Abnormal Stock Returns, Pharmaceutical Companies

39.

An Alternative Three-Factor Model for International Markets: Evidence from the European Monetary Union

Journal of Banking and Finance, Vol. 36, No. 7, 2012
Number of pages: 32 Posted: 29 Oct 2013
Manuel Ammann, Sandro Odoni and David Oesch
University of St. Gallen - School of Finance, University of St. Gallen - Swiss Institute of Banking and Finance and University of Zurich
Downloads 195 (247,601)
Citation 3

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Multi-factor models, Cross-section of stock returns, Fama and French three-factor

40.

Back to the Roots: Ancestral Origin and Mutual Fund Manager Portfolio Choice

Number of pages: 60 Posted: 08 Jul 2021
Manuel Ammann, Alexander Cochardt, Simon Straumann and Florian Weigert
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance, WHU - Otto Beisheim School of Management and University of Neuchatel - Institute of Financial Analysis
Downloads 154 (303,575)

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Culture, Home Bias, Mutual Funds, Portfolio Choice, Fund Managers

41.

Robust Estimation of Risk-Neutral Moments

Forthcoming, The Journal of Futures Markets , University of St.Gallen, School of Finance Research Paper No. 2019/02
Number of pages: 54 Posted: 26 Mar 2019
Manuel Ammann and Alexander Feser
University of St. Gallen - School of Finance and University of St. Gallen - School of Finance
Downloads 154 (303,575)
Citation 5

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risk-neutral moments, risk-neutral distribution

42.

Resurrecting the Value Factor from its Redundancy

Number of pages: 61 Posted: 09 Feb 2022 Last Revised: 23 Dec 2022
Manuel Ammann, Tobias Hemauer and Simon Straumann
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance and WHU - Otto Beisheim School of Management
Downloads 144 (320,761)

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Fama-French five-factor model, value factor, investment factor, cash flow shocks, discount rate shocks

43.

Information Processing on the Swiss Stock Market

Financial Markets and Portfolio Management, Vol. 18, No. 3, pp. 256-284, 2004
Number of pages: 48 Posted: 27 Jan 2004
Manuel Ammann and Stephan Kessler
University of St. Gallen - School of Finance and Universität St. Gallen - Swiss Institute of Banking and Finance
Downloads 128 (351,258)

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44.

Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach

Downloads 92 (442,621)

Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach

Number of pages: 41 Posted: 02 Mar 2005 Last Revised: 26 Mar 2014
Manuel Ammann and Michael Verhofen
University of St. Gallen - School of Finance and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 92 (446,265)

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Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach

European Financial Management, Vol. 13, 2007
Posted: 19 Jul 2007 Last Revised: 29 May 2013
Manuel Ammann and Michael Verhofen
University of St. Gallen - School of Finance and University of St. Gallen - Swiss Institute of Banking and Finance

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Conditional asset pricing models, tests, Bayesian, Markov Chain Monte Carlo

45.

Survivorship and Delisting Bias in Cryptocurrency Markets

Number of pages: 48 Posted: 07 Dec 2022
Manuel Ammann, Tom Burdorf, Luca Liebi and Sebastian Stöckl
University of St. Gallen - School of Finance, University of St.Gallen, University of St. Gallen - Swiss Institute of Banking and Finance and University of Liechtenstein
Downloads 83 (471,644)

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Cryptocurrency, Survivorship bias, Delisting bias, Size premium, Momentum, Downside risk, Market β

46.

Competing with Superstars

Management Science, 62(10), 2016, 2842-2858
Posted: 04 Jun 2015 Last Revised: 10 Nov 2016
Manuel Ammann, Philipp Horsch and David Oesch
University of St. Gallen - School of Finance, University of St. Gallen and University of Zurich

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Competition, Firm performance, Risk-taking, Innovation, Awards, CEO

47.

Conglomerate Discount: A New Explanation Based on Credit Risk

International Journal of Theoretical and Applied Finance, Vol. 9, No. 8, pp. 1201-1214, 2006
Posted: 19 Jul 2007
Manuel Ammann and Michael Verhofen
University of St. Gallen - School of Finance and University of St. Gallen - Swiss Institute of Banking and Finance

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Conglomerate, diversification, discount, credit risk, limited liability

48.

Analyzing Active Investment Strategies

Journal of Portfolio Management, Vol. 33, No. 1, pp. 56-67, 2006
Posted: 19 Jul 2007
Manuel Ammann, Stephan Kessler and Jürg Tobler
University of St. Gallen - School of Finance, Universität St. Gallen - Swiss Institute of Banking and Finance and affiliation not provided to SSRN

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tracking error, tracking error variance, decomposition, active investment strategies

49.

Impact of Fund Size on Hedge Fund Performance

Journal of Asset Management, Vol. 6, No. 3, pp. 219-238, 2005
Posted: 13 Jul 2007
Manuel Ammann and Patrick Moerth
University of St. Gallen - School of Finance and affiliation not provided to SSRN

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Hedge funds, performance, size, assets, flows

50.

Pricing and Hedging Mandatory Convertible Bonds

Journal of Derivatives, Vol. 13, No. 3, pp. 30-46, Spring 2006
Posted: 19 May 2006
Manuel Ammann and Ralf Seiz
University of St. Gallen - School of Finance and University of St.Gallen

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mandatory convertibles, hybrid securities, convertible bonds

51.

An IFRS 2 and Fasb 123 (R) Compatible Model for the Valuation of Employee Stock Options

Financial Markets and Portfolio Management, Vol. 19, No. 4, pp. 381-396, 2005
Posted: 30 Jan 2006
Manuel Ammann and Ralf Seiz
University of St. Gallen - School of Finance and University of St.Gallen

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52.

VAR for Nonlinear Instruments - Linear Approximation or Full Monte Carlo?

Financial Markets and Portfolio Management, Vol. 15, No. 3, pp. 363-378, 2001
Posted: 02 Sep 2005
Manuel Ammann and Christian Reich
University of St. Gallen - School of Finance and University of Basel

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53.

Valuing Employee Stock Options: Does the Model Matter?

Posted: 05 Nov 2004
Manuel Ammann and Ralf Seiz
University of St. Gallen - School of Finance and University of St.Gallen

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Equity Investments: Fundamental Analysis and Valuation Models, Financial Statement Analysis: Financial Accounting Standards and Proposals, Derivatives Instruments: Equity Derivatives

54.

Tracking Error and Tactical Asset Allocation

Posted: 29 Jun 2001
Manuel Ammann and Heinz Zimmermann
University of St. Gallen - School of Finance and University of Basel - Faculty of Business and Economics

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