In: Journal of Behavioral Finance, 2020, vol. 21, no. 1, p. 78-102
Structured equity-linked products hold a strong position in the asset universe in Europe although they are often considered to be overly complex. Their risk and return profi le is typically presented by simple payoff diagrams and verbal descriptions. We propose to complement the payoff diagrams with information on the payoff's probability distribution and study different presentation formats...
- Wallmeier, M. (2011)....
- Wallmeier, M. and Diethelm, M. (2009)....
- Wallmeier, M. and Diethelm, M. (2012)....
|
In: Financial Markets and Portfolio Management, 2008, vol. 22, no. 2, p. 147-167
- Wallmeier
Fig. 3 Mean variance analysis of DAX and variance swap investments....
- Wallmeier
results shown in the second and third part of Table 2....
- Martin Wallmeier graduated in Economics from the University of Münster....
|
In: Financial Markets and Portfolio Management, 2011, vol. 25, no. 3, p. 237-238
- Financ Mark Portf Manag (2011) 25:237–238
DOI 10.1007/s11408-011-0167-9
Editorial
Manuel Ammann
Published online: 13 July 2011
© Swiss Society for Financial Market Research 2011
The first article of this issue is authored by Matthias Bank, Martin Larch, and Georg
Peter....
- This issue’s Perspectives article, authored by Martin Wallmeier, addresses structured financial products for retail investors....
|
In: Financial Markets and Portfolio Management, 2005, vol. 19, no. 2, p. 131-151
- * 2005 Swiss Society for Financial Market Research ( pp. 131–151)
MARTIN WALLMEIER
ANALYSTS’ EARNINGS FORECASTS FOR
DAX100 FIRMS DURING THE STOCK
MARKET BOOM OF THE 1990S
Prof....
- Martin Wallmeier (martin.wallmeier@unifr.ch)
Department of Finance and Accounting, University of Fribourg, Avenue
de Beauregard 11, CH-1700 Fribourg, Germany
Abstract....
- MARTIN WALLMEIER graduated in Business Administration from the University of
¨
Mu nster....
|
In: Financial Markets and Portfolio Management, 2011, vol. 25, no. 3, p. 313-338
- Wallmeier
risk measure....
- Wallmeier
the market portfolio....
- Deriv. 10(Fall), 55–68
(2003)
Martin Wallmeier graduated in Economics from the University of
Münster....
|
In: Financial Markets and Portfolio Management, 2009, vol. 23, no. 2, p. 109-110
- The
“Swisscanto Award for the Best Professional Paper in FMPM” for the year 2008
goes to Reinhold Hafner and Martin Wallmeier in recognition of their article titled
“Optimal investments in volatility”....
|
In: Journal für Betriebswirtschaft, 2006, vol. 56, no. 4, p. 219-244
- Wallmeier, F....
- Wallmeier, F....
- Wallmeier, F....
|
(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...
- 11.2012 N° 433
WORKING PAPERS SES
A Note on the Impact of Portfolio Overlapping in Tests of the Fama and French Three-Factor Model
Martin Wallmeier and Kathrin Tauscher
F A C U LT É D E S S C I E N C E S E C O N O M I Q U E S E T S O C I A L E S W I R T S C H A F T S - U N D S O Z I A L W I S S E N S C H A F T L I C H E F A K U LT Ä T UNIVERSITÉ
DE
FRIBOURG
|
UNIVERSITÄT FREIBURG
A Note on the Impact of Portfolio Overlapping in Tests of the Fama and French Three-Factor Model
Martin Wallmeier / Kathrin Tauscher∗ First draft, October 2012
Abstract In the three-factor model of Fama and French (1993), portfolio returns are explained by the factors Small Minus Big ( ) and High Minus Low ( ) which capture returns related to firm capitalization () and the book-to-market ratio ( )....
- M., Ji, X. and Martin, J....
- Keywords Asset pricing; three-factor model; portfolio overlapping; size effect; value premium JEL Classification G12, G14 Citation proposal Wallmeier Martin, Tauscher Kathrin. 2012....
|
(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...
- Hafner, R. and Wallmeier, M. (2001)....
- Masset, P. and Wallmeier, M. (2010)....
- Keywords Volatility smile, implied volatility, leverage effect, index options, highfrequency data JEL Classification G11; G14; G24
Citation proposal Wallmeier Martin. 2012....
|
- Hafner, R. and Wallmeier, M. (2007)....
- Hafner, R. and Wallmeier, M. (2008)....
- Wallmeier, M. and Diethelm, M. (2009)....
|