Manuel Ammann
Title
Prof. Dr.
Last Name
Ammann
First name
Manuel
Email
manuel.ammann@unisg.ch
Phone
+41 71 224 22 09
Web Site
49 results
Now showing 1 - 10 of 49
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Item type:Publication, Hidden alphaWe provide novel evidence suggestive of insider trading through concealed relationships identified using information from over 100,000 Facebook profiles and their 35 million friends. Focusing on connections between fund managers and firm officers, we demonstrate that hidden ties are linked to substantial abnormal returns averaging 135 basis points per month (exceeding 16% alpha annually, t-stat = 3.54) across the universe of mutual funds and public firms. These hidden ties emerge as the most powerful predictor of future stock returns among documented network characteristics, with predictive power increasing over time through the present day. The premium associated with such connections arises not from endogenous selection or familiarity bias; instead, fund managers exhibit specific timing ability in deciding when to hold (or avoid) stocks of firm officers linked through hidden ties. The value of trading information rises with the degree of concealment and is concentrated around earnings and M&A events. The premium is absent in index funds, where strategic stock selection and timing are infeasible. Our findings on the value of hidden ties remain robust across industries, investment styles, time periods, and firm types.Type:journal articleJournal:Journal of Financial EconomicsVolume:178 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Credit Variance Risk PremiumsThis paper studies variance risk premiums in the credit market. Using a novel data set of swaptions quotes on the CDX North America Investment Grade index, we find that returns of credit variance swaps are negative and economically large. Shorting variance swaps yields an annualized Sharpe ratio of almost six, eclipsing its counterpart in fixed income or equity markets. The returns remain highly statistically significant when accounting for transaction costs, cannot be explained by established risk-factors, and hold for various investment horizons. We also dissect the overall variance risk premium into payer and receiver variance risk premiums. We find that exposure to both parts is priced. However, the returns for payer variance, associated with bad economic states, are roughly twice as high in absolute terms.Type:journal articleJournal:European Financial ManagementVolume:29Issue:4Scopus© Citations 6 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Pricing, issuance volume, and design of innovative securities: The role of investor informationThis study investigates the role of asymmetric information for the pricing, issuance volume, and design of innovative securities. By analyzing the information that structured product issuers provide to the investors of those products, we can identify specific sources of asymmetric information between the issuers and investors in this market. We show that issuers exploit this information friction to offer products to investors that appear more profitable for the issuer. In addition, we find that the friction induces issuers to design products with higher information asymmetry. Our results suggest that product issuers’ behavior increases information frictions in the financial system.Type:journal articleJournal:Journal of Financial IntermediationVolume:55Scopus© Citations 3 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Commodity tail risksIn this study, we investigate the cross‐section of option‐implied tail risks in commodity markets. In contrast to findings from equity markets, left and right tail risks implied by option markets are both large. Commodity‐specific variables exert the largest influence on tail risk, while there is no evidence of systematic commodity factors that are linked to tail risk. Additionally, we find strong links to the equity markets, but also comovements to macroeconomic factors. Left or right tail risks are largely independent of variance risk premiums. Finally, both left and right tail risks are priced in the cross‐section of commodity futures returns.Type:journal articleJournal:Journal of Futures MarketsVolume:43Issue:2Scopus© Citations 8 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Option-Implied Value-at-Risk and the Cross-Section of Stock ReturnsType:journal articleJournal:Review of Derivatives ResearchVolume:22Issue:3Scopus© Citations 4 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Robust Estimation of Risk-Neutral MomentsType:journal articleJournal:Journal of Futures MarketsVolume:39Issue:9Scopus© Citations 7 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Is Governance Related to Investment Performance and Asset Allocation? Empirical Evidence from Swiss Pension FundsType:journal articleJournal:Swiss Journal of Economics and StatisticsVolume:153Issue:3Scopus© Citations 6 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Characteristics-based Portfolio Choice with Leverage ConstraintsType:journal articleJournal:Journal of Banking and FinanceVolume:70Issue:9Scopus© Citations 18 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, The impact of prior performance on the risk-taking of mutual fund managersWe analyze the impact of prior performance on the risk-taking behavior of mutual fund managers. We contribute to the existing literature by using different measures of risks, a larger data set, and an econometric approach capturing non-linear effects and assigning exact probabilities to the mutual fund managers' adjustment of behavior. We find that prior performance in the first half of the year has, in general, a positive impact on the choice of the risk level in the second half of the year. Successful fund managers increase the volatility, the beta, and assign a higher proportion of their portfolio to value stocks, small firms, and momentum stocks in comparison to unsuccessful fund managers. Unsuccessful fund manager increase, on average, only the tracking error. [http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1031463]Type:journal articleJournal:Annals of FinanceVolume:5Issue:1Scopus© Citations 12 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Nennwertrückzahlungen am Schweizer Aktienmarkt und ihre Auswirkungen auf den UnternehmenswertDie Arbeit untersucht den Ankündigungseffekt und die Outperformance von Schweizer Unternehmen, die zwischen 1992 und 2003 eine Nennwertrückzahlung ausgeschüttet haben und stellt die erste empirische Untersuchung von Nennwertrückzahlungen dar. Es konnte gezeigt werden, dass die Aktienkursreaktion in der Zeitperiode [-1,0] auf die Ankündigung von Nennwertrückzahlungen +1.0% beträgt. Eine weitere Analyse weist darauf hin, dass Nennwertrückzahlungen anstelle Dividendenzahlungen höhere Preisreaktionen bei Ankündigung verursachen. Zudem wurde festgestellt, dass eine Ausschüttungserhöhung mittels einer Nennwertrückzahlung zu einer stärkeren Kursreaktion führt als eine Dividendenerhöhung. Dies unterstützt die Hypothese, dass bei einer Nennwertrückzahlung im Vergleich zu einer Dividendenzahlung die steuerliche Behandlung und die stärkere Signalwirkung ausschlaggebender sind. [http://econpapers.repec.org/article/sesarsjes/2006-iv-1.htm]Type:journal articleJournal:Swiss Journal of Economics and StatisticsVolume:142Issue:4