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Financial Markets and Portfolio Management

Financial Markets and Portfolio Management OnlineFirst articles

24.06.2017

Predictive models for disaggregate stock market volatility

This paper incorporates macroeconomic determinants into the forecasting model of industry-level stock return volatility in order to detect whether different macroeconomic factors can forecast the volatility of various industries. To explain …

14.06.2017

Predicting stock returns in the presence of uncertain structural changes and sample noise

The predictive power of the dividend-price ratio has been the subject of intense scrutiny. Most studies on return predictability assume that predictor variables follow stationary processes with constant long-run means. Following recent evidence on …

09.06.2017 | Book Review

Ira M. Millstein: The activist director—lessons from the boardroom and the future of the corporation

Columbia University Press, 2017, 219 pages, ISBN 978-0-231-18134-1, USD 27.95, approx. EUR 25

07.06.2017

Risks and rewards for momentum and reversal portfolios

Rational asset pricing implies a positive relation between the expected risk-adjusted return and the volatility of a factor-mimicking portfolio. The relation for the momentum portfolio is weak after its return is adjusted for the risks associated …

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Über diese Zeitschrift

The official publication of the Swiss Financial Analysts Association, Financial Markets and Portfolio Management (FMPM), addresses all areas of finance, including financial markets, portfolio theory and wealth management, asset pricing, corporate finance, corporate governance, alternative investments, risk management, and regulation. The journal serves as a bridge between innovative research and its practical applications.

FMPM publishes academic and applied research articles, shorter "Perspectives," book reviews, and survey articles dedicated to current topics of interest to the financial community.

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Financ Mark Portf Manag

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