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Is governance related to investment performance and asset allocation? : empirical evidence from Swiss pension funds

Ammann, Manuel; Ehmann, Christian - In: Essays on institutional asset management and financial …, (pp. 23-48). 2016

Persistent link: https://www.econbiz.de/10011574850

Do newspaper articles predict aggregate stock returns?

Ammann, Manuel; Frey, Roman; Verhofen, Michael - In: The journal of behavioral finance : a publication of … 15 (2014) 3, pp. 195-213

Persistent link: https://www.econbiz.de/10011303209

Is governance related to investment performance and asset allocation? empirical evidence from Swiss pension funds

Ammann, Manuel; Ehmann, Christian - In: Swiss journal of economics and statistics 153 (2017) 3, pp. 293-339

Persistent link: https://www.econbiz.de/10011756343

Risk factor exposure variation and mutual fund performance

Ammann, Manuel; Fischer, Sebastian; Weigert, Florian - 2018

We investigate the relationship between a mutual fund’s variation in systematic risk factor exposures and its future performance. Using a dynamic state space version of Carhart (1997)’s four factor model to capture risk factor variation, we find that funds with volatile risk factor exposures...

Persistent link: https://www.econbiz.de/10011906504