Publications by Manuel Ammann

Publications: Refereed Journal Articles

by Manuel Ammann

Ammann, M., Kessler, S., Intra-Day Characteristics of Stock Price Crashes, Applied Financial Economics, forthcoming.
Ammann, M., Zingg, A., Performance and Governance of Swiss Pension Funds, Journal of Pension Economics and Finance, forthcoming.
Ammann, M., Moerth, P., Impact of Fund Size and Fund Flows on Hedge Fund Performance, Journal of Alternative Investments, 11(1), 2008, pp. 78-96.
Ammann, M., Moerth, P., Performance of Funds of Hedge Funds, Journal of Wealth Management, 11(1), Summer, 2008, pp. 46-63.
Ammann, M., Zingg, A., Investment Performance of Swiss Pension Funds and Investment Foundations, Swiss Journal of Economics and Statistics, 144(2), 2008, pp. 153-195.
Ammann, M., Steiner, M., Risk Factors for the Swiss Stock Market, Swiss Journal of Economics and Statistics, 144(1), 2008, pp. 1-35. (Data download).
Ammann, M., Verhofen, M., The Impact of Prior Performance on the Risk-Taking of Mutual Fund Managers, Annals of Finance, forthcoming.
Ammann, M. Verhofen, M., Tactical Industry Allocation and Model Uncertainty, The Financial Review, 43(2), 2008, pp. 273-302.
Ammann, M., Kind, A., Wilde, C., Simulation-Based Pricing of Convertible Bonds, Journal of Empirical Finance, 15(2), 2008, pp. 310-331.
Ammann, M., Verhofen, M., Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach, European Financial Management, 14(3), 2008, pp. 391-418.
Ammann, M., Verhofen, M., Prior Performance and Risk-Taking of Mutual Fund Managers: A Dynamic Bayesian Network Approach, Journal of Behavioral Finance, 8(1), 2007, pp. 20-34.
Ammann, M., Kessler, S., Tobler, J., Analyzing Active Investment Strategies, Journal of Portfolio Management, 33(1), 2006, pp. 56-67.
Ammann, M., Verhofen, M., The Conglomerate Discount: A New Explanation Based on Credit Risk, International Journal of Theoretical and Applied Finance, 9(8), 2006, pp. 1201-1214.
Ammann, M., Seiz, R., Zulauf M., Nennwertrückzahlungen am Schweizer Aktienmarkt und ihre Auswirkungen auf den Unternehmenswert, Swiss Journal of Economics and Statistics, 142(4), 2006, pp. 447-477.
Ammann, M., Verhofen, M., The Effect of Market Regimes on Style Allocation, Financial Markets and Portfolio Management, 20(3), 2006, pp. 309-337.
Ammann, M., Seiz, R., Pricing and Hedging Mandatory Convertible Bonds, Journal of Derivatives, 13(3), 2006, pp. 30-46.
Ammann, M., Fehr, M., Seiz, R., New Evidence on the Announcement Effect of Convertible and Exchangeable Bonds, Journal of Multinational Financial Management, 16(1), 2006, pp. 43-63.
Ammann, M., Seiz, R., An IFRS 2 and FASB 123 (R) Compatible Model for the Valuation of Employee Stock Options, Financial Markets and Portfolio Management, 19 (4), 2005, pp. 381-396.
Ammann, M., Moerth, P., Impact of Fund Size on Hedge Fund Performance, Journal of Asset Management, 6(3), 2005, pp. 219-238.
Ammann, M. Leuenberger, M., von Wyss, R., Eigenschaften von Verwaltungsräten und Unternehmensperformance, Swiss Journal of Economics and Statistics, 141(1), 2005, pp. 1-22.
Ammann, M., Seiz, R., Valuing Employee Stock Options: Does the Model Matter?, Financial Analysts Journal, 60(5), September/October, 2004, pp. 21-37.
Ammann, M., Kessler, S., Information Processing on the Swiss Stock Market, Financial Markets and Portfolio Management, 18(3), 2004, pp. 256-284.
Ammann, M., Matti, D., von Wyss, R., Performance Schweizerischer Verwaltungsräte anhand der Aktienkursentwicklung, Financial Markets and Portfolio Management, 17(1), 2003, pp. 43-75.
Ammann, M., Kind, A.H., Wilde, C., Are Convertible Bonds Underpriced? An Analysis of the French Market, Journal of Banking and Finance, 27(4), 2003, pp. 635-653.
Ammann, M., Zenkner, C., Tactical Asset Allocation mit genetischen Algorithmen, Swiss Journal of Economics and Statistics, 139(1), 2003, pp. 1-40.
Ammann, M., Häller, C., von Wyss, R., Performance Schweizerischer Anlagestiftungen, Financial Markets and Portfolio Management, 16(4), 2002, 446-466.
Ammann, M., Herriger, S., Relative Implied Volatility Arbitrage with Index Options, Financial Analysts Journal, 58(6), November/December, 2002, pp. 42-55.
Ammann, M., Reich, C., Value-at-Risk for Nonlinear Financial Instruments, Financial Markets and Portfolio Management, 15(3), 2001, 363-378.
Ammann, M., Zimmermann, H., Tracking Error and Tactical Asset Allocation, Financial Analysts Journal, 57(2), March/April, 2001, pp.32-43.
Ammann, M., Zimmermann, H., The Credit Model Risk of Interest-Rate Derivatives and Regulatory Implications, Derivatives Use, Trading, and Regulation, 6(3), 2000, pp. 217-229.
Ammann, M., Zimmermann, H., Evaluating the Long-Term Risk of Equity Investments in a Portfolio Insurance Framework, Geneva Papers on Risk and Insurance, 25(3), 2000, pp. 424-438.
Ammann, M., Zimmermann, H., Portfolioabsicherung mit konstanter Indexpartizipation, Schweizerische Zeitschrift für Volkswirtschaft und Statistik, 134(4.1), 1998, pp. 499-526.
Ammann, M., Zimmermann, H., Bemerkungen zur Zeithorizontdiskussion, Finanzmarkt und Portfolio Management, 11, 1997, pp. 205-210.

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