Journals

• Pricing, Issuance Volume, and Design of Innovative Securities: The Role of Investor Information, Journal of Financial Intermediation 55, 2023, with Marc Arnold and Simon Straumann.
• Commodity Tail Risks, Journal of Futures Markets 43(2), 2023, 168-197, with Mathis Mörke, Marcel Prokopczuk, Christoph Matthias Würsig.
• Credit Variance Risk Premiums, European Financial Management, 29, 2023, 1304-1335, with Mathis Mörke.
• Do Individual Investors Trade on Investment-related Internet Postings?, Management Science, 67(9), 2021, 5679-5702, with Nic Schaub.
• Factor Exposure Variation and Mutual Fund Performance, Financial Analysts Journal, 76(4), 101-118, 2020, with Sebastian Fischer and Florian Weigert.
• Robust Estimation of Risk-Neutral Moments, Journal of Futures Markets, 39 (9), 2019, pp. 1137–1166, with Alexander Feser.
• Option-Implied Value-at-Risk and the Cross-Section of Stock Returns, Review of Derivatives Research, 22 (3), 2019, pp. 449-474 , with Alexander Feser.
• The Impact of the Morningstar Sustainability Rating on Mutual Fund Flows, European Financial Management, 25 (3), 2019, pp. 520-553, with Christopher Bauer, Sebastian Fischer and Philipp Müller.
• Announcement Effects of Contingent Convertible Securities: Evidence from the Global Banking Industry, European Financial Management, 23 (1), 2017, pp. 127-152, with Kristian Blickle and Christian Ehmann.
• Is Governance Related to Investment Performance and Asset Allocation? Empirical Evidence from Swiss Pension Funds, Swiss Journal of Economics and Statistics, 153 (3), 2017, pp. 293-339, with Christian Ehmann.
• Characteristics-based Portfolio Choice with Leverage Constraints, Journal of Banking and Finance, 70 (9), 2016, pp. 23-37, with Guillaume Coqueret and Jan-Philip Schade.
• Competing with Superstars, Management Science, 62 (10), 2016, pp. 2842-2858, with Philipp Horsch and David Oesch.
• Do Newspaper Articles Predict Aggregate Stock Returns?, Journal of Behavioral Finance, 15 (3), 2014, pp. 195-213, with Roman Frey and Michael Verhofen.
• Hedge Fund Characteristics and Performance Persistence, European Financial Management, 19 (2), 2013, pp. 209-250, with Otto Huber and Markus Schmid.
• Product Market Competition, Corporate Governance, and Firm Value: Evidence from the EU-Area, European Financial Management, 19 (3), 2013, pp. 452-469, with Markus Schmid and David Oesch.
• Variance Risk Premiums in Foreign Exchange Markets, Journal of Empirical Finance, 23, 2013, pp. 16-32, with Ralf Buesser.
• Disposition Effect and Mutual Fund Performance, Applied Financial Economics, 22 (1), 2012, pp. 1-19, with Alexander Ising and Stephan Kessler.
• An Alternative Three-factor Model for International Markets: Evidence from the European Monetary Union, Journal of Banking and Finance, 36 (7), 2012, pp. 1857-1864, with Sandro Odoni and David Oesch.
• Is There Really No Conglomerate Discount?, Journal of Business Finance and Accounting, 39 (1-2), 2012, pp. 264-288, with Daniel Hoechle and Markus Schmid.
• Demographic Change and Pharmaceuticals’ Stock Returns, European Financial Management, 17 (4), 2011, pp. 726-754 , with Rachel Berchtold and Ralf Seiz.
• Feasible Momentum Strategies in the US Stock Market, Journal of Asset Management, 11 (6), 2011, pp. 362-374, with Marcel Möllenbeck and Markus Schmid.
• Corporate Governance and Firm Value: International Evidence, Journal of Empirical Finance, 18 (1), 2011, pp. 36-55, with David Oesch and Markus Schmid.
• Has Hedge Fund alpha Disappeared?, Journal of Investment Management, 9 (1), 2011, pp. 50-71, with Otto Huber and Markus Schmid.
• Performance and Governance of Swiss Pension Funds, Journal of Pension Economics and Finance, 9 (1), 2010, pp. 95-128, with Andreas Zingg.
• What Drives the Performance of Convertible-Bond Funds? , Journal of Banking and Finance, 34 (11), 2010, pp. 2600-2613, with Axel H Kind and Ralf Seiz.
• The Impact of Prior Performance on the Risk-Taking of Mutual Fund Managers, Annals of Finance, 5 (1), 2009, pp. 69-90, with Michael Verhofen.
• Intra-Day Characteristics of Stock Price Crashes, Applied Financial Economics, 19 (15), 2009, pp. 1239-1255, with Stephan Kessler.
• Asymmetric Dependence Patterns in Financial Time Series, European Journal of Finance, 15 (7-8), 2009, pp. 703-719, with Stephan Süss.
• Implied and Realized Volatility in the Cross-Section of Equity Options, International Journal of Theoretical and Applied Finance, 12 (6), 2009, pp. 1-21, with David Skovmand and Michael Verhofen.
• Do Implied Volatilities Predict Stock Returns?, Journal of Asset Management, 10 (4), 2009, pp. 222-234, with Stephan Süss and Michael Verhofen.
• The Performance of Actively and Passively Managed Swiss Equity Funds, Swiss Journal of Economics and Statistics, 1 (1), 2009, pp. 1-36, with Michael Steiner.
• Tactical Industry Allocation and Model Uncertainty, Financial Review, 4382), 2008, pp. 273-302, with Michael Verhofen.
• Simulation-Based Pricing of Convertible Bonds, Journal of Empirical Finance, 15 (2), 2008, pp. 310-331, with Axel Kind and Christian Wilde.
• Impact of Fund Size and Fund Flows on Hedge Fund Performance, Journal of Alternative Investments, 11 (1), 2008, pp. 78-96, with Patrick Moerth.
• Performance of Funds of Hedge Funds, Journal of Wealth Management, 11 (1), 2008, pp. 46-63, with Patrick Moerth.
• Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach, European Financial Management, 14 (3), 2008, pp. 391-418, with Michael Verhofen.
• Investment Performance of Swiss Pension Funds and Investment Foundations, Swiss Journal of Economics and Statistics, 144 (2), 2008, pp. 153-195, with Andreas Zingg.
• Risk Factors for the Swiss Stock Market, Swiss Journal of Economics and Statistics, 144 (1), 2008, pp. 1-35, with Michael Steiner.
• Die „Fair Value“-Bewertung von Finanzinstrumenten Waren die Konditionen der UBS-Pflichtwandelanleihe fair?, Zeitschrift für Internationale Rechnungslegung, 8 (1), 2008, pp. 355-357, with Ralf Seiz.
• Prior Performance and Risk-Taking of Mutual Fund Managers: A Dynamic Bayesian Network Approach, Journal of Behavioral Finance, 8 (1), 2007, pp. 20-32, with Michael Verhofen.
• The Effect of Market Regimes on Style Allocation, Financial Markets and Portfolio Management, 20 (3), 2006, pp. 309-337, with Michael Verhofen.
• The Conglomerate Discount: A New Explanation Based on Credit Risk, International Journal of Theoretical and Applied Finance, 9 (8), 2006, pp. 1201-1214, with Michael Verhofen.
• Pricing and Hedging Mandatory Convertible Bonds, Journal of Derivatives, 13 (3), 2006, pp. 30-46, with Ralf Seiz.
• New Evidence on the Announcement Effect of Convertible and Exchangeable Bonds, Journal of Multinational Financial Management, 16 (1), 2006, pp. 43-63, with Martin Fehr and Ralf Seiz.
• Analyzing Active Investment Strategies, Journal of Portfolio Management, 33 (1), 2006, pp. 56-67, with Stephan Kessler and Jürg Tobler.
• Nennwertrückzahlungen am Schweizer Aktienmarkt und ihre Auswirkungen auf den Unternehmenswert, Swiss Journal of Economics and Statistics, 142 (4), 2006, pp. 447-477, with Ralf Seiz.
• 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, with Ralf Seiz.
• Impact of Fund Size on Hedge Fund Performance, Journal of Asset Management, 6 (3), 2005, pp. 219-238, with Patrick Moerth.
• Eigenschaften von Verwaltungsräten und Unternehmensperformance, Swiss Journal of Economics and Statistics, 141 (1), 2005, pp. 1-22, with Markus Leuenberger and Rico von Wyss.
• Valuing Employee Stock Options: Does the Model Matter?, Financial Analysts Journal, 60 (5), 2004, pp. 21-37, with Ralf Seiz.
• Information Processing on the Swiss Stock Market, Financial Markets and Portfolio Management, 18 (3), 2004, pp. 256-284, with Stephan Kessler.
• Performance Schweizerischer Verwaltungsräte anhand der Aktienkursentwicklung, Financial Markets and Portfolio Management, 17 (1), 2003, pp. 43-75, with Daniel Matti and Rico von Wyss.
• Are Convertible Bonds Underpriced? An Analysis of the French Market, Journal of Banking and Finance, 27 (4), 2003, pp. 635-653, with Alexander Kind and Christian Wilde.
• Tactical Asset Allocation mit genetischen Algorithmen, Swiss Journal of Economics and Statistics, 139 (1), 2003, pp. 1-40, with Christian Zenkner.
• Return guarantees and portfolio allocation of pension funds, Financial Markets and Portfolio Management, 17 (3), 2003, pp. 277-283, .
• Relative Implied Volatility Arbitrage with Index Options, Financial Analysts Journal, 58 (6), 2002, pp. 42-55, with Silvan Herriger.
• Performance Schweizerischer Anlagestiftungen, Financial Markets and Portfolio Management, 16 (4), 2002, pp. 446-466, with Corinne Häller and Rico von Wyss.
• Tracking Error and Tactical Asset Allocation, Financial Analysts Journal, 57 (2), 2001, pp. 32-43, with Heinz Zimmermann.
• VaR for Nonlinear Financial Assets: Linear Approximation or Full Monte Carlo?, Financial Markets and Portfolio Management, 15 (3), 2001, pp. 363-378, with Christian Reich.
• The Credit Model Risk of Interest-Rate Derivatives and Regulatory Implications, Derivatives Use Trading, 6 (3), 2000, pp. 217-229, with Heinz Zimmermann.
• 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, with Heinz Zimmermann.
• Portfolioabsicherung mit konstanter Indexpartizipation, Schweizerische Zeitschrift für Volkswirtschaft und Statistik, 134 (4), 1998, pp. 499-526, with Heinz Zimmermann.
• Bemerkungen zum Zeithorizonteffekt, Finanzmarkt und Portfolio Management, 11 (2), 1997, pp. 205-210, with Heinz Zimmermann.