Manuel Ammann
Title
Prof. Dr.
Last Name
Ammann
First name
Manuel
Email
manuel.ammann@unisg.ch
Phone
+41 71 224 22 09
Web Site
150 results
Now showing 1 - 10 of 150
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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 5 - 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, Survivorship and Delisting Bias in Cryptocurrency
Markets(2022-11-28); ; Stöckl, SebastianThis study quantifies performance measure distortions in a cryptocurrency sample truncated by survivorship and delisting bias. Previous research shows that the attrition rate in cryptocurrency markets is high. However, the survivorship and delisting bias in cryptocurrencies lacks empirical research. Using data for 3’904 cryptocurrencies during the 2014-2021 period, we estimate an annualized bias of 0.93% (62.19%) for value-weighted (equal-weighted) portfolios. After controlling for survivorship and delisting bias, we revisit the relationship between average returns, size, past performance, market β, liquidity, and downside risk. Our results confirm the size effect, but the premium is overestimated by 50% in a survival-conditioned sample. In contrast, we find no evidence of a positive relationship between average returns, one-week momentum, market β, and downside risk. Our results suggest that the survivorship and delisting bias are important biases that ought to be omitted.Type:journal article - 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:2 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Do Individual Investors Trade on Investment-related Internet Postings?Many people share investment ideas online. This study investigates whether individual investors trade on investment-related Internet postings. We use unique data from a social trading platform that allow us to observe the shared portfolios of traders, their posted comments, and the replicating transactions of followers. We find robust evidence that followers increasingly replicate shared portfolios of traders after the posting of comments. However, postings do not help followers identify portfolios that deliver superior performance in the future. In a cross-sectional analysis, we show that it is mainly followers who are typically considered to be unsophisticated who trade after comment postings.Type:journal articleJournal:Management ScienceIssue:online firstScopus© Citations 51 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, The Impact of the Morningstar Sustainability Rating on Mutual Fund FlowsWe examine the effect of the introduction of Morningstar’s Sustainability Rating in March 2016 on U.S. mutual equity fund flows. Using panel regressions, propensity score matching, and an event study methodology we find strong and robust evidence that retail investors shift money away from low-rated and into high-rated funds. The effect is driven by the publication of the Morningstar Sustainability Rating and not due to a general attractiveness of sustainable funds. Institutional investors do not react to the publication of the Rating. We estimate that an average high-rated retail fund receives between $ 4.1 million and $ 10.1 million higher inflows and an average low-rated retail fund suffers from $ 1.0 million to $ 5.0 million lower net flows than an average-rated fund during the first year after the Rating was published.Type:journal articleJournal:European Financial ManagementVolume:25Issue:3Scopus© Citations 88 - 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, Announcement Effects of Contingent Convertible Securities: Evidence from the Global Banking IndustryThis paper investigates the announcement effects of CoCo bonds issued by global banks between January 2009 and June 2014. Using a sample of 34 financial institutions, we examine abnormal stock price reactions and CDS spread changes before and after the announcement dates. We find that the announcement of CoCos correlates with positive abnormal stock returns and negative CDS spread changes in the immediate post-announcement period. We explain these effects with a set of theories including the lowered probability of costly bankruptcy proceedings, a signaling framework based on pecking order theory and the cost advantage of CoCos over equity (tax shield).Type:journal articleJournal:European financial managementVolume:23Issue:1Scopus© Citations 19