This paper investigates whether implied expected returns based on the approach of CLAUS/THOMAS (2001) can be implemented in active portfolio management. This approach uses analysts' forecasts to derive return expectations by equating the present value of expected cash-flows to the current market...

Since the new Swiss Stock Corporation Law came into effect in 1992, most listed Swiss companies have reduced the number of share classes outstanding by exchanging some classes for an already existing one. Overall, the simplifications have had no significant influence on market capitalisation....

In the last decades, the trend to globalization has been intensifying. The thereby increased interdependence between national economies translates into a higher covariance of traded assets and thus leads to a loss of diversification gains. The methodology of HESTON and ROU-WENHORST is used to...

Based on daily VDAX data we analyse the factors governing the movements of implied volatilities of options on the German stock index DAX. We derive common factors representing shift and slope of the term structure of ATM implied volatilities. Further we present a risk management tool for option...

This paper analyses the rather large yield spreads of the debt of Swiss cantons (defined as the difference between yield of canton and federal bonds) using data for bonds issued between 1990 and 1998. A regression analysis with and without correction for selection bias of 84 non-callable bond...

It is well known that asset allocation policy is the major determinant of fund performance. We apply the technique introduced by Ibbotson and Kaplan (2000) to German and Swiss mutual fund data. Our results show that more than 80 percent of the variability in returns of a typical fund over time...

This paper aims to provide those interested in hedge funds with a series of insights into the specific risks that such investments pose. The aim of the paper is not to discourage investors but rather to assist them with a list of seven questions that need to be addressed in order to invest...

This article discusses the income tax attractiveness of a private investment in zero bonds under the Swiss legislation. The advantageous tax deferral effect of an investment in a zero bond for a private investor is calculated using various static interest structures and it is shown that the tax...

This article describes the neo-liberal economic policies followed by most countries of Latin America in the 1990s and compares these with the policies followed by those countries in the era of economic liberalism in the late 19th and early 20th centuries and in the times of Import Substitution...

A time series of corporate failure rates in Switzerland covering most of the 20th century (1911-2000) was built. The figures are estimations for the yearly rates of bankruptcy procedure openings of firms registered at the office of commerce. They are aggregated for the whole of Switzerland,...