This paper proposes to include corporate governance characteristics in the explanation of underpricing at the time of IPOs. It shows that the investment banks and the issuers take the characteristics of the corporate board into account when valuing the issue, while investors adjust for the...

The aim of this study is the analysis of the performance of so-called socially responsible investments (SRI). The performance of SRI equity investment funds of Germany, Switzerland and the United States as well as equity indices is investigated using Jensen's alpha as performance measure. The...

Additive performance-attribution has become a standard tool for institutional investors, asset consultants, and asset managers, due to the fact that it provides both timely and exact information about the sources of active portfolio returns. The disadvantage of this approach, however, lies in...

Portfolio resampling is a very general and powerful technique to show the dispersion of optimized portfolio weights that arises from estimation error in inputs. Investors should however be aware of potential pitfalls when applying resampling techniques in order to arrive at better portfolios as...

In investment practice, expected returns are assumed to be time-varying. Instrumental variables like dividend yields or term spreads are employed to predict expected returns. However, there is a substantial amount of estimation risk (or, parameter uncertainty) attached to these predictive...

This paper is focused on the cost of raising equity capital in Switzerland. In the spirit of the papers of ALTINKILIC/HANSEN (2000) and BUHNER/KASERER (2002) we analyze the structure of the flotation cost function for listed firms in Switzerland. For a sample of 74 SEOs on the Swiss capital...

The present study examines bond market volatility and stock market volatility in Switzerland. Because of the significant impact that bond market volatility has been shown to have on yield spreads and security values, it is important for investors in the global marketplace to be informed of the...

We use statistical model selection criteria and AVRAMOV's (2002) Bayesian model averaging approach to analyze the sample evidence of stock market predictability in the presence of model uncertainty. The empirical analysis for the Swiss stock market is based on a number of predictive variables...

Expanding the currency investment universe makes a lot of sense from a diversification point of view. Nevertheless, 60% of the total foreign exchange turnover is still only traded in three currency pairs (USD/EUR, USD/JPY and USD/GBP). The share of trading in local currencies in emerging markets...

This paper is concerned with differences in the performance-flow relationship (PFR) between standard and specialist market segments of the mutual fund industry. We expect differences in this relationship because investor characteristics might vary across different segments. Our results show that...