Manuel Ammann

University of St. Gallen - School of Finance

Professor

Unterer Graben 21

St.Gallen, CH-9000

Switzerland

SCHOLARLY PAPERS

49

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CITATIONS
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113

Scholarly Papers (49)

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 2,765 (2,644)

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

2.

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 1,558 (6,747)
Citation 2

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Momentum strategies, Large-cap stocks, Stock market predictability

3.

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 Basel and Goethe University Frankfurt - Department of Finance
Downloads 1,334 (11,432)
Citation 27

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

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 1,286 (11,927)
Citation 2

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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.

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 1,244 (8,163)
Citation 8

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

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 Basel and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 1,220 (13,198)
Citation 4

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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, University of Aarhus - School of Business and Social Sciences and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 1,032 (17,070)
Citation 1

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Implied Volatility, Realized Volatility

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 833 (23,133)
Citation 2

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

Hedge Fund Characteristics and Performance Persistence

European Financial Management, Vol. 19, Issue 2, pp. 209-250, 2013
Number of pages: 42 Posted: 08 Mar 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 (590,610)
Citation 2
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hedge funds, performance, alpha, factor models, performance persistence

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 700 (20,285)
Citation 8

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

10.
Downloads 633 ( 34,434)
Citation 8

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, University of Basel - Department of Finance and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 631 (34,081)
Citation 8

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

Is There Really No Conglomerate Discount?

Journal of Business Finance & Accounting, Vol. 39, Issue 1‐2, pp. 264-288, 2012,
Number of pages: 25 Posted: 03 Mar 2012
Manuel Ammann, Daniel Hoechle and Markus 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
Downloads 2 (578,634)
Citation 8
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organizational structure, diversification, market value of debt, endogeneity, fixed effects

11.

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 Basel and Goethe University Frankfurt - Department of Finance
Downloads 618 (35,569)
Citation 5

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Convertible bonds, pricing, american options, Monte Carlo simulation

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 601 (29,491)

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Implied Volatility, Expected Returns

13.

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 578 (24,952)
Citation 1

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

14.

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 541 (38,481)
Citation 6

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Investments, Performance, Pension funds, Switzerland

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 453 (52,433)

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Product Market Competition, Corporate Governance, Firm Valuation

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

European Financial Management, Vol. 19, Issue 3, pp. 452-469, 2013
Number of pages: 18 Posted: 05 Jun 2013
Manuel Ammann, David Oesch and Markus Schmid
University of St. Gallen - School of Finance, New York University (NYU) - Leonard N. Stern School of Business and University of St. Gallen - Swiss Institute of Banking and Finance
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product market competition, corporate governance, firm valuation

16.

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

EFMA 2004 Basel Meetings Paper
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 - Swiss Institute of Banking and Finance
Downloads 404 (59,112)
Citation 5

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Employee stock options, option pricing, option exercise

17.

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 - Swiss Institute of Banking and Finance
Downloads 399 (61,834)
Citation 8

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Convertible bonds, exchangeable debt, event study, announcement effects

18.

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 390 (47,104)
Citation 1

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Wordcount, Text Mining, Market Efficiency, Tactical Asset Allocation

19.

A Testable Ebit-Based Credit Risk Model

EFMA 2004 Basel Meetings Paper
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 382 (61,457)
Citation 1

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

20.

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 381 (56,621)

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Mutual Funds, Index Funds, Performance, Switzerland

21.

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 347 (72,841)
Citation 2

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

22.

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 317 (53,552)
Citation 4

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Diversification discount, credit risk

23.

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 297 (74,838)
Citation 7

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Performance, Governance, Pension Funds

24.

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 285 (79,361)

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Copulae, Asymmetric Dependence Concepts

25.

The Impact of Prior Performance on the Risk-Taking of Mutual Fund Managers

Posted: 21 Nov 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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mutual funds, risk taking

26.

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 256 (93,157)

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

27.
Downloads 254 (102,905)
Citation 2

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 244 (106,813)
Citation 2

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Bayesian Model Averaging, Tactical Asset Allocation

Tactical Industry Allocation and Model Uncertainty

Financial Review, Vol. 43, Issue 2, pp. 273-302, May 2008
Number of pages: 30 Posted: 02 Apr 2008
Manuel Ammann and Michael Verhofen
University of St. Gallen - School of Finance and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 10 (531,670)
Citation 2
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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 University of St. Gallen - School of Finance
Downloads 230 (113,448)

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

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

European Financial Management, Vol. 23, Issue 1, pp. 127-152, 2017
Number of pages: 26 Posted: 10 Jan 2017
Manuel Ammann, Kristian Blickle and Christian Ehmann
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance and University of St. Gallen - School of Finance
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contingent convertible securities, CoCo bonds, announcement effects, event study

29.

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 213 (95,043)

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disposition effect, mutual fund performance, behavioral finance

30.

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 193 (97,238)

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

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 - Swiss Institute of Banking and Finance
Downloads 189 (137,344)

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

Demographic Change and Pharmaceuticals' Stock Returns

European Financial Management, Vol. 17, Issue 4, pp. 726-754, 2011
Number of pages: 29 Posted: 17 Aug 2011
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 - Swiss Institute of Banking and Finance
Downloads 1 (590,610)
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demographic change, demand growth, abnormal stock returns, pharmaceutical companies, panel regression, investor attention, trading strategies

32.

Prior Performance and Risk-Taking of Mutual Fund Managers: A Dynamic Bayesian Network Approach

Number of pages: 39 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 147 (153,685)
Citation 3

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Mutual Funds, Risk Taking, Dynamic Bayesian Network

33.

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 86 (253,391)
Citation 1

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34.

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 74 (180,453)
Citation 1

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

35.

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

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 55 (328,333)
Citation 4

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

European Financial Management, Vol. 14, Issue 3, pp. 391-418, June 2008
Number of pages: 28 Posted: 13 May 2008
Manuel Ammann and Michael Verhofen
University of St. Gallen - School of Finance and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 2 (578,634)
Citation 4
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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

37.

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: 44 Posted: 16 Nov 2017 Last Revised: 05 Dec 2017
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 0 (370,184)

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Mutual Fund, Sustainability, Investment Decisions, Information

38.

Illuminating the Dark Side of Financial Innovation: The Role of Investor Information

University of St.Gallen, School of Finance Research Paper No. 2017/04
Number of pages: 61 Posted: 15 Mar 2017 Last Revised: 08 Nov 2017
Manuel Ammann, Marc Arnold and Simon Straumann
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance and University of St. Gallen - School of Finance
Downloads 0 (222,068)

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Structured products, investor information, financial innovation

39.

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 0 (228,105)

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pension fund governance, investment performance, Swiss occupational pension plans

40.

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: 13 Sep 2016
University of St. Gallen - School of Finance, Montpellier Business School and University of St. Gallen - School of Finance
Downloads 0 (202,703)

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Portfolio choice, leverage constraint, characteristics-based investing

41.

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

42.

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

43.

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

44.

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 - Swiss Institute of Banking and Finance

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mandatory convertibles, hybrid securities, convertible bonds

45.

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 - Swiss Institute of Banking and Finance

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46.

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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47.

Valuing Employee Stock Options: Does the Model Matter?

Financial Analysts Journal, Vol. 60, No. 5, pp. 21-37, September/October 2004
Posted: 05 Nov 2004
Manuel Ammann and Ralf Seiz
University of St. Gallen - School of Finance and University of St. Gallen - Swiss Institute of Banking and Finance

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

48.

Tracking Error and Tactical Asset Allocation

Financial Analysts Journal, Vol. 57, No. 2, March/April 2001
Posted: 29 Jun 2001
Manuel Ammann and Heinz Zimmermann
University of St. Gallen - School of Finance and University of Basel - Center for Economic Science (WWZ) - Department of Finance

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49.

Evaluating the Long-Term Risk of Equity Investments in a Portfolio Insurance Framework

Geneva Papers on Risk and Insurance - Issues and Practice, Vol. 25, Issue 3, July 2000
Posted: 20 Sep 2000
Manuel Ammann
University of St. Gallen - School of Finance

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