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

14

DOWNLOADS

7,144

TOTAL CITATIONS

8

Scholarly Papers (14)

Actions:
Email selected abstracts
1.

The Effect of Market Regimes on Style Allocation

Downloads 1,571 (24,023)
Citation 1

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 1,571 (23,598)
Citation 1

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, Aarhus University - School of Business and Social Sciences and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 1,541 (24,711)
Citation 1

Abstract:

Loading...

Implied Volatility, Realized Volatility

3.

Finance

Number of pages: 933 Posted: 27 Mar 2014 Last Revised: 08 Nov 2024
Michael Verhofen
University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 903 (53,378)

Abstract:

Loading...

4.

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 885 (55,087)
Citation 1

Abstract:

Loading...

Implied Volatility, Expected Returns

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 648 (82,682)
Citation 2

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 638 (84,294)

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 336 (180,429)

Abstract:

Loading...

parametric portfolio policy, value investing, momentum

8.

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 291 (210,168)

Abstract:

Loading...

Bayesian Model Averaging, Tactical Asset Allocation

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 223 (273,734)
Citation 3

Abstract:

Loading...

Mutual Funds, Risk Taking, Dynamic Bayesian Network

10.

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

Downloads 108 (505,837)

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 108 (509,465)

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: 08 Nov 2024
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...