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Starting with an outline of the way in which Swiss Stock Exchange Law treats «the group», this paper analyzes the announcement effects of major shareholdings in the Swiss stock market as reported by the SIX Swiss Exchange database in the time period from January 1, 2008 to December 31, 2010. This includes a total of 3,617 announcements. By applying specific selection criteria, a sample of 218 announcements was collected for use in the empirical analysis, covering 61 individual investors and 32 groups of investors acting in concert. We test the hypothesis that the disclosure notifications of major shareholders have a significant impact on equity pricing for the validity of its proposition. In particular, we test whether information related to groups acting in concert is priced differently from information related to individual investors. We analyze the (cumulative) abnormal returns occurring around official announcements to investigate these issues. Our empirical results reveal that the announcement effects of group-related disclosures are statistically and economically significant; the significance of the results strongly increases after January 2009, when the SIX Swiss Exchange launched a new electronic publication platform, thereby enabling a more immediate release of information. In the preceding sample period, the price effects are scattered over the days prior to the announcement date, which makes it difficult to identify the effects. With the introduction of the new publication platform, the pre-announcement effects virtually disappear. Also, the difference between the stock price reactions between announcements related to single individuals and to groups is striking in the post-2009 sample. We, furthermore, find rather heterogeneous price patterns within both the «purchase» and the «sale» announcement categories. For example, the price effects of the «sale» sample are largely dominated by the valuation effects caused by the breakup (dissolutions)of controlling groups.

We present a new methodology for decomposing the (risk-adjusted) performance in empirical finance. Our technique offers the same straightforward economic intuition and all the statistical benefits of the portfolio sorts approach, in particular robustness to cross-sectional correlation, and in addition resolves the major drawbacks of portfolio sorts. Most importantly, our regression-based methodology handles multiple dimensions and continuous firm, fund, or investor characteristics. Moreover, the technique allows for relying on standard Wald-tests as an alternative to the popular Gibbons, Ross, and Shanken (1989) test. We illustrate our methodology with an asset pricing application and a long-horizon event study.

Im Unterschied zur Strategischen Asset Allokation, die mittel- bis langfristige Erwartungen als Grundlage hat, konzentriert sich die taktische Asset Allokation auf kürzere Zeiträume. Zielfunktionen und Optimierungsverfahren sind dementsprechend unterschiedlich. Die Voraussetzung für eine erfolgreiche taktische Strategie sind das ausnützen von taktischem Potenzial, die Erstellung eines aktiven Selektionsmodells und eine gute "out-of-sample" Stabilität von diesem.

Hemorrhage and traumatic coagulopathyis are major causes of early death in multiply injured patients. Thrombelastography (TEG) seems to be a fast and accurate coagulation test in trauma care. We suggest that multiply injured trauma patients would benefit the most from an early assessment of coagulation by TEG, mainly RapidTEG, to detect an acute traumatic coagulopathy and especially primary fibrinolysis, which is related with high mortality. This review gives an overview on TEG and its clinical applications.

Introduction Guidelines for the treatment of patients in severe hypothermia and mainly in hypothermic cardiac arrest recommend the rewarming using the extracorporeal circulation (ECC). However, guidelines for the further in-hospital diagnostic and therapeutic approach of these patients, who often suffer from additional injuries—especially in avalanche casualties, are lacking. Lack of such algorithms may relevantly delay treatment and put patients at further risk. Together with a multidisciplinary team, the Emergency Department at the University Hospital in Bern, a level I trauma centre, created an algorithm for the in-hospital treatment of patients with hypothermic cardiac arrest. This algorithm primarily focuses on the decision-making process for the administration of ECC. The Bernese Hypothermia Algorithm The major difference between the traditional approach, where all hypothermic patients are primarily admitted to the emergency centre, and our new algorithm is that hypothermic cardiac arrest patients without obvious signs of severe trauma are taken to the operating theatre without delay. Subsequently, the interdisciplinary team decides whether to rewarm the patient using ECC based on a standard clinical trauma assessment, serum potassium levels, core body temperature, sonographic examinations of the abdomen, pleural space, and pericardium, as well as a pelvic X-ray, if needed. During ECC, sonography is repeated and haemodynamic function as well as haemoglobin levels are regularly monitored. Standard radiological investigations according to the local multiple trauma protocol are performed only after ECC. Transfer to the intensive care unit, where mild therapeutic hypothermia is maintained for another 12 h, should not be delayed by additional X-rays for minor injuries. Discussion The presented algorithm is intended to facilitate in-hospital decision-making and shorten the door-to-reperfusion time for patients with hypothermic cardiac arrest. It was the result of intensive collaboration between different specialties and highlights the importance of high-quality teamwork for rare cases of severe accidental hypothermia. Information derived from the new International Hypothermia Registry will help to answer open questions and further optimize the algorithm.

Das Anlageverhalten von Privatinvestoren unterscheidet sich teilweise markant von Voraussagen, die aufgrund von Modellen der Portfolioselektion getroffen werden können. So sind zum Beispiel Portfolios häufig nicht breit diversifiziert, weder bezüglich der Anzahl Titel noch bezüglich der geographischen Streuung der Anlagen. Gleichzeitig gibt es eine ganze Reihe demographischer Faktoren (zB. Geschlecht, Alter, Nationalität) die das Investorenverhalten möglicherweise beeinflussen, über die die finanzökonomische Literatur jedoch kaum Voraussagen erlaubt. Die verhaltensorientierte Finanzökonomie (behavioral finance) hat in den letzten Jahren versucht, diese Lücke zu schliessen. Nebst theoretischen Arbeiten sind empirische Untersuchungen entstanden, die jedoch häufig auf Umfragen oder Experimenten basieren. Direkte Untersuchungen des Anlageverhaltens aufgrund tatsächlicher Vermögensdaten gab es bisher wenige ...

This study questions the rationality of people investing in HFs. I use a sample of London listed closed-end hedge funds to evaluate two criteria that imply irrational behavior. I find that the rationality of investors can not be rejected for the majority of time. However, the results also imply that investors react irrationally when facing the worsening economic conditions in the second half of 2008.

We present a regression-based generalization of the calendar time portfolio approach which allowsfor the inclusion of continuous and multivariate investor or firm characteristics in the analysis. Ourmethod is simple to apply and it ensures that the statistical results are heteroscedasticity consistentand robust to very general forms of cross-sectional and temporal dependence. Furthermore, ourregression-based technique also remedies several well-known weaknesses of the traditional calendartime portfolio approach. By considering a new, unique dataset on more than 40,000 Europeanprivate investors, we illustrate empirically that erroneously ignoring cross-sectional dependenceinherent in microeconometric panel data can lead to severely biased statistical results. Moreoverwe use our method to validate some of the most popular hypotheses on the performance of privateinvestors.

We investigate the performance of a sample of German mutual equity funds over NEWLINE the period from 1994 to 2003. Our general finding is that mutual funds, on average, NEWLINE hardly produce excess returns relative to their benchmark that are large enough to NEWLINE cover their expenses. This conclusion is drawn from a variety of model specifications NEWLINE and is robust to many different benchmarks. Compared to unconditional NEWLINE measures, fund performance substantially deteriorates when we measure conditional NEWLINE alphas both in single-index and multi-factor models. We also measure fund NEWLINE performance in the Euler-equation framework and test several specifications of the NEWLINE stochastic discount factor using GMM. The result that funds underperform even before NEWLINE costs is even more pronounced. Overall, given the fact that stock returns are to NEWLINE some extent predictable by using publicly available information, conditional analysis NEWLINE raises the hurdle for active managers seeking abnormal positive performance, NEWLINE because it gives them no credit for exploiting readily available information.

This article gives an overview and introduction to the Martingale approach to multi-period (dynamic) portfolio decisions. While Martingale pricing techniques have long been used with considerable success in the pricing of derivatives and financial assets in general, their potential to improve the practice of dynamic portfolio decisions is not sufficiently recognized yet. This article shows that the approach is, in principle, not difficult to implement for readers equipped with standard option replication techniques if markets are sufficiently "complete" in order to provide investors with the relevant information about the pricing of financial risks. The article provides a practical guide to implement the basic features of the approach in a binomial framework.

This is the first empirical paper investigating a comprehensive sample of listed NEWLINE (i.e. publicly traded) private equity companies, covering 287 companies in the NEWLINE time period 1986 to 2003. After imposing liquidity constraints, and after NEWLINE correcting for non-surviving vehicles, we get a sample of 114 instruments. The NEWLINE risk and return characteristics of three portfolio strategies, two partially NEWLINE rebalanced and one fully rebalanced, are compared. We moreover address NEWLINE potential biases resulting from thin trading, the bid-ask spread, and sample NEWLINE selection. We show that the adjusted performance figures differ substantially NEWLINE from standard estimates. But even after correcting for these biases, we find a NEWLINE high risk-adjusted performance of this asset class before 2000, and dramatic NEWLINE different results between the three indices if we extend the time period to 2003.Listed private equity, Private equity, Performance biases

Current discussions about public and private pension plans often state that the stock market is less risky in the long run than in the short run. Pension plans with their rather long planning horizon are therefore asked to increase the allocation to the stock market. Such statements, however, usually lack a consistent clarification of the underlying reasons for the asserted positive horizon effect. Therefore, it is important for pension plans (and individual long-term investors alike) to be precise about any rational reasons to allocate a higher fraction of their wealth to the risky stock market. One reason that has become prominent among financial economists only recently, is the mounting empirical evidence of stock market predictability. However, our empirical analysis demonstrates that return predictability and persistent movements in expected returns should not be interpreted as a reliable driving force for a positive horizon effect and the corresponding market timing strategies, least of all when estimation risk is taken into account. Although there is some (weak) evidence of stock market predictability, neither the Swiss nor the U.S. stock market seem to be less risky in the long run than in the short run. Motivated by return predictability, long-term investors should not hold more stocks and should not time the market more aggressively than myopic short-term investors ...

Untersuchungsgegenstand des Projekts sind die Übertragungsmechanismen (contagion) der Risiken in Finanzsystemen durch Verhaltenssymmetrien (z.B. durch Risikomodelle und ihre regulierte Umsetzung), Intransparenz (z.B. über Beteiligungsgesellschaften etwa im Bereich Private Equity) und Moral Hazard (z.B. IMF-Verträge), Fremdfinanzierung (Hedge Funds). Die bestehenden Erklärungsansätze zum 'contagion'-Phänomen werden kritisch diskutiert, mit Ansätzen zur Modellerweiterung ergänzt und im Zusammenhang mit spezifischen, von uns definierten Fragestellungen empirisch ausgewertet. In einem weiteren Schritt werden die Implikationen und die Praxisrelevanz der gewonnenen theoretischen und empirischen Erkenntnisse für das Design von Risikomanagementprozessen in Banken und für die Banken- und Finanzmarktregulierung aufgezeigt. Der vorliegende Bericht hat den Charakter einer Vorstudie. Viele Gedanken sind vorläufig und es ist zu hoffen, dass sie für eine vertiefte Behandlung durch weitere Forschungsarbeiten aufgenommen werden.

Die Diskussion über die Qualität guter Corporate Governance und deren Auswirkung auf den Unternehmenswert beschäftigt Wissenschaft und Praxis seit mehreren Jahren. Allerdings existiert noch keine umfassende empirische Studie zum Einfluss der Corporate Governance auf den Unternehmenswert schweizerischer Firmen. Diese Lücke soll durch die vorliegende Arbeit geschlossen werden. Neben einem breiten Corporate Governance Index umfasst die Studie fünf weitere Governance Mechanismen, von welchen sowohl theoretische als auch empirische Arbeiten vermuten lassen, dass sie das Potential haben, die aus der Prinzipal-Agenten Beziehung resultierenden Kosten zwischen dem Management und den Aktionären zu reduzieren. Die Resultate multivariater OLS Regressionen zeigen, dass eine gute Corporate Governance vom Kapitalmarkt durch eine höhere Bewertung entschädigt wird.1