Michael Verhofen

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

Lecturer

Unterer Graben 21

St. Gallen, CH-9000

Switzerland

http://www.verhofen.com

Allianz Global Investors

Portfolio Manager

Frankfurt

Germany

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 7,486

SSRN RANKINGS

Top 7,486

in Total Papers Downloads

5,470

CITATIONS
Rank 17,316

SSRN RANKINGS

Top 17,316

in Total Papers Citations

19

Scholarly Papers (14)

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 1,327 (12,378)
Citation 3

Abstract:

Loading...

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

Abstract:

Loading...

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, University of Aarhus - School of Business and Social Sciences and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 1,051 (18,074)
Citation 1

Abstract:

Loading...

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 723 (31,039)

Abstract:

Loading...

Implied Volatility, Expected Returns

4.

Finance

Number of pages: 933 Posted: 27 Mar 2014 Last Revised: 15 Apr 2014
Michael Verhofen
University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 644 (36,251)

Abstract:

Loading...

5.

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 515 (48,343)
Citation 1

Abstract:

Loading...

Wordcount, Text Mining, Market Efficiency, Tactical Asset Allocation

6.

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 455 (56,577)
Citation 5

Abstract:

Loading...

Diversification discount, credit risk

7.

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 270 (103,399)

Abstract:

Loading...

parametric portfolio policy, value investing, momentum

8.
Downloads 255 (109,443)
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 245 (113,440)
Citation 2

Abstract:

Loading...

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 (559,137)
Citation 2
  • Add to Cart

Abstract:

Loading...

9.

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 171 (160,244)
Citation 3

Abstract:

Loading...

Mutual Funds, Risk Taking, Dynamic Bayesian Network

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 57 (341,753)
Citation 4

Abstract:

Loading...

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 (610,606)
Citation 4
  • Add to Cart

Abstract:

Loading...

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

Abstract:

Loading...

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

11.

Bayesian Inference in Empirical Finance

Posted: 01 May 2010 Last Revised: 23 Feb 2011
Michael Verhofen
University of St. Gallen - Swiss Institute of Banking and Finance

Abstract:

Loading...

12.

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

Abstract:

Loading...

mutual funds, risk taking

13.

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

Abstract:

Loading...

Conglomerate, diversification, discount, credit risk, limited liability

14.

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

Abstract:

Loading...