Michael Verhofen

University of St. Gallen - Swiss Institute of Banking and Finance

CH-9000

Switzerland

  • University of St. Gallen - Swiss Institute of Banking and Finance

SCHOLARLY PAPERS

10

DOWNLOADS

5,547

SSRN CITATIONS

5

CROSSREF CITATIONS

3

Scholarly Papers (10)

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1.

The Effect of Market Regimes on Style Allocation

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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 1,525 (20,359)
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

2.

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 1,306 (26,112)
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Implied Volatility, Realized Volatility

3.

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 823 (50,303)
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Implied Volatility, Expected Returns

4.

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 614 (73,799)
Citation 2

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Wordcount, Text Mining, Market Efficiency, Tactical Asset Allocation

5.

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 584 (78,605)

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Diversification discount, credit risk

6.

Are Capital Markets Inefficient on a Macro Level?

Number of pages: 13 Posted: 16 Nov 2011 Last Revised: 04 Dec 2011
Jan Bernhard and Michael Verhofen
Allianz Global Investors and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 321 (157,759)

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parametric portfolio policy, value investing, momentum

7.

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 279 (182,677)

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Bayesian Model Averaging, Tactical Asset Allocation

8.

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

Downloads 95 (451,735)

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 95 (455,180)

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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

9.

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

10.

Markov Chain Monte Carlo Methods in Financial Econometrics

Financial Markets and Portfolio Management, Vol. 19, No. 4, pp. 397-406, 2005
Posted: 24 Jan 2006
Michael Verhofen
University of St. Gallen - Swiss Institute of Banking and Finance

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