Stephan Kessler

Universität St. Gallen - Swiss Institute of Banking and Finance

Rosenbergstr. 52

CH-9000 St.Gallen

Switzerland

SCHOLARLY PAPERS

7

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Scholarly Papers (7)

1.

Predictability in International Financial Markets

Number of pages: 30 Posted: 15 Jan 2008
Stephan Kessler and Bernd Scherer
Universität St. Gallen - Swiss Institute of Banking and Finance and Deutsche Bank AG - Asset Management
Downloads 333 (96,545)

Abstract:

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2.

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 301 (107,945)

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disposition effect, mutual fund performance, behavioral finance

3.

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 295 (110,319)

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

4.

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 96 (290,727)

Abstract:

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5.

The Devil Is in the Detail: How Do Implementation Choices Affect Alternative Risk Premia?

Posted: 19 Jan 2019
Stephan Kessler and Bernd Scherer
Universität St. Gallen - Swiss Institute of Banking and Finance and affiliation not provided to SSRN

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Alternative Risk Premia, Portfolio Construction, Data Snooping, Value

6.

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

Abstract:

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tracking error, tracking error variance, decomposition, active investment strategies

7.

Value by Design?

The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 25-43; DOI: https://doi.org/10.3905/jpm.2019.1.122
Stephan Kessler, Bernd Scherer and Jan Philipp Harries
Universität St. Gallen - Swiss Institute of Banking and Finance, affiliation not provided to SSRN and University of Wuppertal

Abstract:

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Style investing, statistical methods, Asset Pricing, Value Factor, Data Snooping, Risk Premia