Die Arbeit untersucht den Ankündigungseffekt und die Outperformance von Schweizer Unternehmen, die zwischen 1992 und 2003 eine Nennwertrückzahlung ausgeschüttet haben und stellt die erste empirische Untersuchung von Nennwertrückzahlungen dar. Es konnte gezeigt werden, dass die...

In this study of tactical asset allocation, we use a genetic algorithm to implement a market timing strategy. The algorithm makes a daily decision whether to invest in the market index or in a riskless asset. The market index is represented by the S&P500 Composite Index, the riskless asset by a...

Using a Switzerland-specific Carhart (1997) model, we study the risk-adjusted performance of actively and passively managed mutual funds investing in Swiss stocks from 1989 to 2007. We also compare the performance of actively managed funds to passively managed funds instead of comparing them to...

This article presents the first detailed analysis of the intraday characteristics of idiosyncratic stock price crashes. The analysis focuses on the impact of large crashes in single stocks on their intraday returns and liquidity in the US market. Furthermore, optimal intradaily behaviour during...