In this paper, we investigate the German stock market with regard to quot;negative stub valuesquot; or quot;parent company puzzles.quot; These are situations where a firm's market value is less than the value of its ownership stake in a publicly traded subsidiary. According to...

In this paper, we develop and implement an intertemporal or dynamic asset allocation model for the Swiss financial market. The investor's time horizon is thus explicitly taken into account and the performance of the model is compared with traditional solutions as the quot;mean-variancequot;...

We illustrate in this paper the use of multivariate time series forecasts for portfolio construction and address the following research questions: First, how can forecasts of time series models be used for portfolio weight selection? Second, what kind of time series information improves...

To enhance transparency of performance measurement and presentation, the Swiss Performance Presentation Standards were installed. Based on a sample of Swiss equity funds, the author shows empirically that the SPPS are not able to achieve their aims. The risk-adjusted performance figures are not...

This paper presents an overview of the theories underlying the major portfolio performance measurement models, with an empirical application to assess the market timing and stock-picking abilities of an exhaustive sample of 60 Swiss-equity investment funds over the 1977-1999 period. Regardless...

This paper estimates reaction functions for the Federal Reserve and the Deutsche Bundesbank in the dollar-deutschmark market for the period 1979 - 1995 for which empirical studies have so far focused on Federal Reserve interventions. Applying a Logit model we examine whether the intervention...

The present paper is an attempt to analyse the future of banking in Europe in light of the following specific question: Will the traditional peculiarities of the continental European banking systems persist in the future or are they more likely to disappear in the wake of the evident and serious...

As a contribution to the discussion on the risks of stocks in the long run the present paper analyses the shortfall risks of stocks using the risk measures shortfall probability, mean excess loss and shortfall expectation for various deterministic as well as a stochastic benchmark. As a main...

In this article, we analyze the return distribution of Hedge Funds strategies and their correlation with the returns of a traditional portfolio. The aim is to identify the characteristics of each Hedge Fund investment strategy in order to be able to construct an optimal Hedge Fund portfolio for...

We measure the loss potential of Hedge Funds by combining three market risk measures: VaR, Draw-Down and Time Under-The-Water. Calculations are carried out considering three different frameworks regarding Hedge Fund returns: i) Normality and time-independence, ii) Non-normality and...