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Implied and realized volatility in the cross-section of equity options
Ammann, Manuel; Skovmand, David; Verhofen, Michael - 2009
Persistent link: https://www.econbiz.de/10003906281
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Do implied volatilities predict stock returns?
Ammann, Manuel; Verhofen, Michael; Süss, Stephan - 2009
Persistent link: https://www.econbiz.de/10003906382
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Do newspaper articles predict aggregate stock returns?
Ammann, Manuel; Frey, Roman; Verhofen, Michael - 2012 - This version: 3rd December 2011
We analyze whether newspaper content can predict aggregate future stock returns. Our study is based on articles published in the Handelsblatt, a leading German financial newspaper, from July 1989 to March 2011. We summarize newspaper content in a systematic way by constructing word-count indices...
Persistent link: https://www.econbiz.de/10009658674
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The conglomerate discount : a new explanation based on credit risk
Ammann, Manuel (contributor); Verhofen, Michael (contributor) - 2006
Persistent link: https://www.econbiz.de/10003376063
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The effect of market regimes on style allocation
Ammann, Manuel (contributor); Verhofen, Michael (contributor) - 2006
Persistent link: https://www.econbiz.de/10003376067
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Testing conditional asset pricing models using a Markov Chain Monte Carlo approach
Ammann, Manuel (contributor); Verhofen, Michael (contributor) - 2006
Persistent link: https://www.econbiz.de/10003376068
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Tactical industry allocation and model uncertainty
Ammann, Manuel (contributor); Verhofen, Michael (contributor) - 2007
Persistent link: https://www.econbiz.de/10003674166
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The impact of prior performance on the risk-taking of mutual fund managers
Ammann, Manuel (contributor); Verhofen, Michael (contributor) - 2007
Persistent link: https://www.econbiz.de/10003674174
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Essays on asset management and asset liability management
Bolla, Lidia - 2016
Die Dissertation umfasst drei Artikel aus den Bereichen Asset Liability Management und Asset Management. Im ersten Artikel entwerfen wir einen Liability Benchmark, welcher zur Beurteilung der Anlage von Pensionskassen dient. Die relative Rendite der Strategischen Asset Allokation (SAA) im...
Persistent link: https://www.econbiz.de/10011451658
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Credit variance risk premiums
Ammann, Manuel; Mörke, Mathis - 2019 - This version: June 4, 2019
Persistent link: https://www.econbiz.de/10012050931