Manuel Ammann

University of St. Gallen - School of Finance

Professor

Unterer Graben 21

St.Gallen, CH-9000

Switzerland

SCHOLARLY PAPERS

50

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24,606

CITATIONS
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Top 4,550

in Total Papers Citations

116

Scholarly Papers (50)

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 3,310 (2,836)

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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 1,924 (7,131)
Citation 2

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Momentum strategies, Large-cap stocks, Stock market predictability

3.

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 1,824 (7,827)
Citation 8

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

4.

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 1,360 (12,594)
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 1,349 (12,508)
Citation 3

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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

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 - Swiss Institute of Banking and Finance
Downloads 1,251 (14,323)
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, Aarhus University - School of Business and Social Sciences and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 1,059 (18,446)
Citation 1

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Implied Volatility, Realized Volatility

8.

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 981 (20,724)
Citation 8

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

9.

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 881 (24,276)
Citation 1

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

10.
Downloads 863 ( 24,969)
Citation 2

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 862 (24,611)
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 (639,328)
Citation 2
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hedge funds, performance, alpha, factor models, performance persistence

11.

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 731 (31,511)

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Implied Volatility, Expected Returns

12.
Downloads 680 ( 34,796)
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, FHNW School of Business - Institute for Finance and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 678 (34,412)
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, FHNW School of Business - Institute for Finance and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 2 (625,990)
Citation 8
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organizational structure, diversification, market value of debt, endogeneity, fixed effects

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 633 (38,260)
Citation 6

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Convertible bonds, pricing, american options, Monte Carlo simulation

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 593 (41,691)
Citation 6

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Investments, Performance, Pension funds, Switzerland

15.

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 520 (49,377)
Citation 1

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Wordcount, Text Mining, Market Efficiency, Tactical Asset Allocation

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 477 (54,394)

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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

17.

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 459 (57,720)
Citation 5

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Diversification discount, credit risk

18.

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 451 (58,989)

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Mutual Funds, Index Funds, Performance, Switzerland

19.

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 415 (65,240)
Citation 5

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Employee stock options, option pricing, option exercise

20.

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 408 (66,614)
Citation 1

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

21.

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 402 (67,861)
Citation 8

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Convertible bonds, exchangeable debt, event study, announcement effects

22.

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 364 (76,205)
Citation 2

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

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 351 (79,421)
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 330 (85,265)

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Copulae, Asymmetric Dependence Concepts

25.

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
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 323 (87,321)

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Mutual Fund, Sustainability, Investment Decisions, Information

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 288 (99,092)

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

27.

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 285 (100,252)

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disposition effect, mutual fund performance, behavioral finance

28.

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 281 (101,783)

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

29.
Downloads 257 (111,707)
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 247 (115,946)
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 (571,663)
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 Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 253 (113,571)

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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, Federal Reserve Banks - Federal Reserve Bank of New York and University of St. Gallen - School of Finance
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contingent convertible securities, CoCo bonds, announcement effects, event study

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 192 (148,411)

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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 (639,328)
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demographic change, demand growth, abnormal stock returns, pharmaceutical companies, panel regression, investor attention, trading strategies

32.

Illuminating the Dark Side of Financial Innovation: 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: 59 Posted: 15 Mar 2017 Last Revised: 16 Oct 2018
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 182 (155,929)

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Structured products, investor information, financial innovation

33.

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 173 (163,970)
Citation 3

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Mutual Funds, Risk Taking, Dynamic Bayesian Network

34.

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 167 (168,247)

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pension fund governance, investment performance, Swiss occupational pension plans

35.

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 154 (180,237)
Citation 1

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

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: 13 Sep 2016
University of St. Gallen - School of Finance, EMLYON Business School and University of St. Gallen - School of Finance
Downloads 146 (188,378)

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Portfolio choice, leverage constraint, characteristics-based investing

37.

Risk Factor Exposure Variation and Mutual Fund Performance

University of St.Gallen, School of Finance Research Paper No. 2018/17
Number of pages: 58 Posted: 30 Aug 2018 Last Revised: 12 Nov 2018
Manuel Ammann, Sebastian Fischer and Florian Weigert
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance and University of St. Gallen - School of Finance
Downloads 136 (199,465)

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Mutual Fund, Market Timing, Factor Timing, Kalman Filter

38.

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 91 (266,190)
Citation 1

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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 59 (344,424)
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 (625,990)
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

40.

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

41.

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

42.

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

43.

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

44.

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

45.

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

46.

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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47.

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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48.

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

49.

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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50.

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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