Michael Verhofen

Allianz Global Investors

Portfolio Manager

Frankfurt

Germany

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

Lecturer

Rosenbergstrasse 52

St. Gallen, CH-9000

Switzerland

http://www.verhofen.com

SCHOLARLY PAPERS

14

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5,429

CITATIONS
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SSRN RANKINGS

Top 17,450

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 1,253 (11,630)
Citation 2

Abstract:

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:

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 1,007 (16,625)
Citation 1

Abstract:

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 601 (28,179)

Abstract:

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 390 (47,476)
Citation 1

Abstract:

Wordcount, Text Mining, Market Efficiency, Tactical Asset Allocation

5.

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 343 (39,755)

Abstract:

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 317 (51,619)
Citation 4

Abstract:

Diversification discount, credit risk

7.

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

Number of pages: 29 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
Downloads 270 (88,907)
Citation 2

Abstract:

mutual funds, risk taking

8.
Downloads 253 ( 97,991)
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 243 (101,775)
Citation 2

Abstract:

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 (510,848)
Citation 2

Abstract:

9.

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 231 (93,706)

Abstract:

parametric portfolio policy, value investing, momentum

10.

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 (153,361)
Citation 3

Abstract:

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 54 (315,899)
Citation 4

Abstract:

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 (554,425)
Citation 4

Abstract:

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:

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

12.

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:

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:

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: