Publications

Books

Yvan Lengwiler

Articles in scholarly journals

  • Yvan Lengwiler and Carlos Lenz, "Intelligible Factors for the Yield Curve," Journal of Econometrics, 157 (2), August 2010, 481-491 [abstract].

  • Yvan Lengwiler and Elmar Wolfstetter, "Auctions and Corruption: An Analysis of Bid Rigging by a Corrupt Auctioneer," Journal of Economic Dynamics and Control, 34 (10), October 2010, 1872-1892. [abstract].

  • Yvan Lengwiler, "Heterogeneous Patience and the Term Structure of Real Interest Rates," American Economic Review 95 (3), June 2005, 890-896 [abstract].

  • Robert Joerin and Yvan Lengwiler, "Learning from Financial Markets: Auctioning Tariff-Rate Quotas in Agricultural Trade," Swiss Journal of Economics and Statistics 140 (4), December 2004, 521-541 [abstract].

  • Aleksander Berentsen and Yvan Lengwiler, "Fraudulent Accounting and Other Doping Games," Journal of Institutional and Theoretical Economics 160 (3), September 2004, 402-415 [abstract].

  • Yvan Lengwiler, "A Monetary Policy Simulation Game for the Classroom," Journal of Economic Education 35 (2), Spring 2004, 175-183 [abstract].

  • Daniel Heller and Yvan Lengwiler, "Payment Obligations, Liquidity Management, and the Demand for Central Bank Balances," Journal of Monetary Economics 50 (2), March 2003, 419-432 [abstract].

  • Yvan Lengwiler and Athanasios Orphanides, "Optimal Discretion," Scandinavian Journal of Economics 104 (2), June 2002, 261-276 [abstract].

  • Daniel Heller and Daniel Heller, "Should the Treasury Price Discriminate? A Procedure for Computing Hypothetical Bid Functions," Journal of Institutional and Theoretical Economics 157 (3), September 2001, 413-429 [abstract].

  • Yvan Lengwiler, "Die Schweizer UMTS-Auktion," Schweizerische Zeitschrift für Volkswirtschaft und Statistik 137 (2), June 2001, 199-208 [abstract].

  • Yvan Lengwiler, "MoPoS — A Monetary Policy Simulation Game," Geld, Währung und Konjunktur, Quarterly Bulletin of the Swiss National Bank, March 2001, 38-53, available in English, French, and German [abstract].

  • Yvan Lengwiler, "The Multiple Unit Auction with Variable Supply," Economic Theory 14 (2), 1999, 373-392 [abstract].

  • Yvan Lengwiler, "Endogenous Endowments and Equilibrium Starvation in a Walrasian Economy," Journal of Mathematical Economics 30 (1), 1998, 37-58 [abstract].

  • Yvan Lengwiler, "A Model of Money Counterfeits," Journal of Economics / Zeitschrift für Nationalökonomie 65 (2), 1997, 123-132 [abstract].

  • Yvan Lengwiler, "Der 'Monetary Conditions Index' für die Schweiz," Geld, Währung und Konjunktur, Quarterly Bulletin of the Swiss National Bank, March 1997, 61-72 [abstract].

Contributions to collective volumes

  • Yvan Lengwiler, "The Origins of Expected Utility Theory," in: Festschrift for the 100th Aniversery of Vinzenz Bronzin's "Theorie der Prämiengeschäfte," (Heinz Zimmermann and Wolfgang Hafner, eds.) Spinger, 2009, 535-546 [abstract].

  • Yvan Lengwiler and Elmar Wolfstetter, "Corruption in Procurement Auctions," in: Handbook of Procurement — Theory and Practice for Managers, (Dimitri, Piga, and Spagnolo, eds.), Cambridge University Press, 2006, 412-429 [abstract].

  • Yvan Lengwiler and Elmar Wolfstetter, "On Some Auction Rules for Amicable Divorce in Equal Share Partnerships," in: Das Ethische in der Ökonomie: Festschrift zum 60. Geburtstag von Hans G. Nutzinger (Thomas Beschorner, Thomas Eger, eds.), Marburg: Metropolis Verlag, 2005, 199-211 [abstract].

Heinz Zimmermann: Selected publications (since 2000)

Articles and Chapters

  • "Style Consistency of Hedge Fund Indices across Providers", forthcoming Applied Financial Economics 20, pp. 355-370, 2010 (with Jacqueline Henn Overbeck and Peter Kugler
  •  "Probabilistic Roots of Financial Modelling: A Historical Perspective", in: Hafner/ Zimmermann Ed. (2009), Chapter 6, pp. 251-291
  • "Heterogeneity in Asset Allocation Decisions - Empirical Evidence from Switzerland", International Review of Financial Analysis 18, 2009, pp. 84-93 (with Wolfgang Drobetz, Peter Kugler, Gabrielle Wanzenried)
  •  "Trust and Success in Venture Capital Financing – an Empirical Analysis with German Survey Data", Kyklos 62, 2009, pp. 15-43 (with Stefan Duffner and Markus Schmid)
  • "Conditional Performance Evaluation for German Mutual Equity Funds", European Journal of Finance 15, 2009, pp. 287-316 (with Wolfgang Bessler and Wolfgang Drobetz)
  • "The first- and second-hand effect of stock recommendations – New evidence on the price pressure and information hypothesis", European Financial Management Journal 14, 2008, pp. 962-988 (with Markus Schmid, Philipp Schlumpf)
  • "Leadership Structure and Corporate Governance in Switzerland", Journal of Applied Corporate Finance 20, 2008, pp. 109-120 (with Markus Schmid)
  • "Should Chairman and CEO Be Separated? Leadership Structure and Firm Performance in Switzerland", Schmalenbach Business Review 60 (Zeitschrift für betriebswirtschaftliche Forschung). 2009, pp. 182-204 (with Markus Schmid)
  • "Credit risk transfer, hedge funds, and the supply of liquidity", in P. Nobel, M. Gets (Eds.): “Law and Economics of Risk in Finance”, Schulthess, 2007, pp. 41-72.
  • "Amazing discovery: Vincenz Bronzin’s Option Pricing Models", Journal of Banking and Finance 31, 2007, pp. 531–546 (with Wolfgang Hafner)
  • "Martingales and portfolio selection: A user’s guide", Financial Markets and Portfolio Management 20, 2006, pp. 75-101.
  • "An integrated Framework of Corporate Governance and Firm Valuation-Evidence form Switzerland", European Financial Management Journal 12, 2006, pp. 249-283 (with Stefan Beiner, Wolfgang Drobetz, Markus Schmid)

  • "A risk-adjusted approach to comparing the return on investment in health care programs", in: International Journal of Health Care, Finance and Economics 4,  2004, pp. 199-210 (with Maiwenn J. Al und Pedram Sendi)

  • "Is Board Size an Independent Corporate Governance Mechanism?", Kyklos 57, 2004, pp. 327-356 (with S. Beiner, W. Drobetz, F. Schmid)

  • "Corporate Governance and Expected Stock Returns: Evidence from Germany", European Financial Management Journal 10, 2004, pp. 267-293 (with Wolfgang Drobetz and Andreas Schillhofer)

  • "Ein Corporate Governance Rating für deutsche Publikumsgesellschaften", Zeitschrift für Betriebswirtschaft (ZfB) 74, 2004, pp. 5-25 (with Wolfgang Drobetz and Andreas Schillhofer)

  • "Conditional Asset Pricing in Emerging Stock Markets", Swiss Journal of Economics and Statistics 138, 2002, pp. 507-526 (with Wolfgang Drobetz and Susanne Stürmer)
  • "Stock options listings: Information versus liquidity effects", Swiss Journal of Economics and Statistics 138, 2002, pp. 83-97 (with Thomas Kraus) 
  • "The relation between tracking error and tactical asset allocation", Financial Analysts Journal 57, March/ April, 2001, pp. 32-43 (with Manuel Ammann).

  • "On Benchmarks and the Performance of DEM Bond Mutual Funds", Journal of Fixed Income 10, No. 3, 2000, pp. 31-45 (with Felix Maag)
  • "The credit model risk of interest rate derivatives and regulatory implications", Journal of Derivatives Trading, Use, and Regulation 6, 2000, pp. 217-229  (with Manuel Ammann)
  •  "Interest rate risk of financial corporations’ equity returns: A European perspective", European Financial Management Journal 6, 2000, pp. 459-478 (with Peter Oertmann und Christel Rendu)
  • "Evaluating the long-term risk of stocks in a portfolio insurance framework", Geneva Papers of Risk and Insurance 25, 2000, pp. 414-428 (with Manuel Ammann)

Book chapters and articles of general interest

  • "Sorgenkind Altersvorsorge", Schweizer Monatshefte 983, 2011, pp. 35-37

  • "Risiko, Markt und Repräsentation", Uni Nova 113, 2009, pp. 10-12

  • "Risiko und Repräsentation: Über Krisen des Finanzsystems", Standards für nachhaltige Finanzmärkte, edited by Brigitte Strebel, Schulthess, 2008, pp. 19-40

  • "Lehren aus der Umsetzung kapitalgedeckter Vorsorgesysteme", DVR-Schriften 80, Deutsche Rentenversicherung
    Bund/Forschungsnetzwerk Alterssicherung FNA, 2008, pp. 94-100

  • "Wertbeitrag und Renditeanforderungen zwischen Markt- und Buchwerten", in: B. Rolfes (Ed.): Herausforderung Bankmanagement – Entwicklungslinien und Steuerungsansätze. Festschrift zum 60. Geburtstag von Henner Schierenbeck, Fritz Knapp, 2006, pp. 633-650

  • "Thesen zu einer nachhaltigen Altersvorsorge", in: „NAVOS – Nachhaltige Altersvorsorge Schweiz. Wissenschaftliche Grundlagen zum Umbau“ (H.-P. Burkhard, Ed.), Center for Corporate Sustainability ccrs, pp. 129-165 (with Gesina Luethje) , 2nd Edition 2006.

  • "Wieviel Spielraum lassen die globalen Finanzmärkte der persönlichen Verantwortung?", in: „Finanzmärkte und Ethik heute“, Ed. Prinz Philipp von und zu Liechtenstein/ Julian Mahari, Orell Füssli, 2003, pp. 65-84

  • "Das Risiko der Vorsorge", Finanzmarkt und Portfolio Management 16, 2002, pp. 155-178 (with Andrea Bubb)

  • "Risikomanagement in chaotischen Zeiten. Die Bedeutung sozialwissenschaftlicher Ansätze", in: Integriertes Risikomanagement – Perspektiven einer chancenorientierten Unternehmensführung (Ed. Marco Allenspach), Band 2 der Festschrift für Matthias Haller, Verlag Institut für Versicherungswirtschaft der Universität St. Gallen, 2001, pp. 41-61


Working papers

2010

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2009

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2008

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2007

2006

2005

  • Feasible Momentum Strategies - Evidence from Switzerland
    D. Rey and M. Schmid | December 2005
  • Performance Analysis of Hedge Funds
    J. Henn-Overbeck and I. Meier
  • Hedge Funds: Die "Königsdisziplin" der Kapitalanlage
    W. Bessler, W. Drobetz and J. Henn-Overbeck
  • Independence and Timing: A Comparative Study between Spin-offs and Carve-outs in Europe and the US
    W. Drobetz, R. Rüdisüli and H. Zimmermann | October 2005
  • A decomposition of option prices
    H. Zimmermann
  • Stocks are not less risky in the long run: A re-examination of recent tests on stock market predictability and asset allocation
    D. Rey and H. Zimmermann | August 2005
  • Managerial Incenctives and Firm Valuation - Evidence from Switzerland
    M. Schmid and H. Zimmermann | August 2005
  • Risk, returns, and biases of listed private equity portfolios
    S. Bilo, H. Christophers, M Degosciu and H. Zimmermann | March 2005
  • Konsistente Interpretation fundamentaler Bewertungsfaktoren
    H. Zimmermann | January 2005

2004

2003

2002

2001

Letzte Änderung: 13.03.2011