Consortium of Swiss Academic Libraries

Optimal investments in volatility

Hafner, Reinhold ; Wallmeier, Martin

In: Financial Markets and Portfolio Management, 2008, vol. 22, no. 2, p. 147-167

Consortium of Swiss Academic Libraries

Analysts' Earnings Forecasts for DAX100 Firms During the Stock Market Boom of the 1990s

Wallmeier, Martin

In: Financial Markets and Portfolio Management, 2005, vol. 19, no. 2, p. 131-151

Consortium of Swiss Academic Libraries

Beyond payoff diagrams: how to present risk and return characteristics of structured products

Wallmeier, Martin

In: Financial Markets and Portfolio Management, 2011, vol. 25, no. 3, p. 313-338

Consortium of Swiss Academic Libraries

How to invest over the life cycle: Insights from theory

Wallmeier, Martin ; Zainhofer, Florian

In: Journal für Betriebswirtschaft, 2006, vol. 56, no. 4, p. 219-244

Université de Fribourg

A Note on the Impact of Portfolio Overlapping in Tests of the Fama and French Three-Factor Model

Wallmeier, Martin ; Tauscher, Kathrin

(Working Papers SES ; 433)

In the three-factor model of Fama and French (1993), portfolio returns are explained by the factors Small Minus Big (SMB) and High Minus Low (HML) which capture returns related to firm capitalization (size) and the book-to-market ratio (B/M). In the standard approach of the model, both the test portfolios and the factor portfolios SMB and HML are formed on the basis of size and B/M. This gives...

Université de Fribourg

Smile in Motion : An Intraday Analysis of Asymmetric Implied Volatility

Wallmeier, Martin

(Working Papers SES ; 427)

We present a new method to measure the intraday relationship between movements of implied volatility smiles and stock returns. It is based on an enhanced smile regression model which captures patterns in the intraday data which have not yet been reported in the literature. Using transaction data for exchange-traded EuroStoxx 50 options from 2000 to 2011 and DAX options from 1995 to 2011, we show...