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List of Publications:
Prof. Dr. Wolfgang Drobetz
A.
Editorial activities
[6]
Editor of the Special Issue “Shipping Economics and Finance” for Journal of Commodity Markets, joint with Nikos Nomikos, forthcoming 2017.
[5]
Editor of the Special Issue “German Corporate Governance and Corporate Finance” for Journal of Applied Corporate Finance (January 2016), joint with Wolfgang Bessler.
[4]
Editor of the Special Issue „Maritime Financial Management“ for Transportation Research
Part E (July 2013), joint with Andreas G. Merikas.
[3]
Editor of the Special Issue „Asset Management and International Capital Markets“ for European Journal of Finance (9/2009), joint with Wolfgang Bessler.
[2]
Editor of the Special Issue „New Asset Classes in Portfolio Management“ for Financial Markets and Portfolio Management (2/2008), joint with Wolfgang Bessler.
[1]
Editor of the annual Conference Issue for European Financial Management (3/2005), joint
with Heinz Zimmermann.
B.
Books
[4]
Asset Management and International Capital Markets, 2013, with Wolfgang Bessler and Chris
Adcock (eds.), Routledge (192 pages).
[3]
Performance Evaluation of German Equity Mutual Funds, 2006, unpublished manuscript
(Habilitation at the University of Basel; 243 pages).
[2]
Global Asset Allocation: New Methods and Applications, 2002, with Heinz Zimmermann and
Peter Oertmann, John Wiley & Sons (320 pages).
[1]
Global Stock Markets: Time-Varying Expected Returns, Consumption, and the Business Cycle,
2000, Gabler Verlag (Dissertation at the University of St. Gallen; 332 pages).
C.
Refereed journal articles
[56] Cash Flow Sensitivities during Normal and Crisis Times: Evidence from Shipping, with Rebekka Haller and Iwan Meier, forthcoming in: Transportation Research: Part A.
[55] A Bootstrap-Based Comparison of Portfolio Insurance Strategies, with Hubert Dichtl, and
Martin Wambach, forthcoming in: European Journal of Finance.
[54] Timing the Stock Market: Does it really Make no Sense?, 2016, with Hubert Dichtl and Lawrence Kryzanowski, Journal of Behavioral and Experimental Finance 10, 88-104.
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[53] Systematic Risk Behavior in Cyclical Industries: The Case of Shipping, 2016, with Christina
Menzel and Henning Schröder, Transportation Research: Part E 88, 129-145.
[52] Corporate Finance in Germany: Structural Adjustments and Current Developments, 2016,
with Wolfgang Bessler, Journal of Applied Corporate Finance 27, 44-57.
[51]
Equity Issues and Stock Repurchases of Initial Public Offerings, 2016, with Wolfgang Bessler,
Martin Seim, and Jan Zimmermann, European Financial Management 22, 31-62.
[50] Testing Rebalancing Strategies for Stock-Bond Portfolios across Different Asset Allocations,
2016, with Hubert Dichtl and Martin Wambach, Applied Economics 48, 772-788.
[49] Heterogeneity in the Speed of Capital Structure Adjustment across Countries and over the
Business Cycle, 2015, with Dirk C. Schilling and Henning Schröder, European Financial Management 21, 936-973.
[48] Sell in May and Go Away: Still Good Advice for Investors?, 2015, with Hubert Dichtl, International Review of Financial Analysis 38, 29-43.
[47] The Returns to Hedge Fund Investments in Germany, 2015, with Wolfgang Bessler and Julian
Holler, European Financial Management 21, 106-147
[46] Corporate Social Responsibility and Corporate Performance: The Case of Shipping, 2014, with
Makis Tsionas, Andreas Merikas, and Anna Merika, Transportation Research Part E 71, 18-44.
[45] Where is the Value Added of Rebalancing? A Systematic Comparison of Alternative Rebalancing Strategies, 2014, with Hubert Dichtl and Martin Wambach, Financial Markets and
Portfolio Management 28, 209-231.
[44] Do Alternative UCITS Deliver What They Promise? A Comparison of Alternative UCITS and
Hedge Funds, 2014, with Michael Busack and Jan Tille, Applied Financial Economics 24, 949965.
[43] Are Stock Markets Really so Inefficient? The Case of the Halloween Indicator, 2014, with Hubert Dichtl, Finance Research Letters 11, 112-121.
[42] Share Repurchases of Initial Public Offerings: Motives, Valuation Effects, and the Impact of
Market Regulation, 2014, with Wolfgang Bessler and Martin Seim, European Journal of Finance 20, 232-263.
[41]
The International Zero-Leverage Phenomenon, 2013, with Wolfgang Bessler, Iwan Meier, and
Rebekka Haller, Journal of Corporate Finance 23, 196-221.
[40] Capital Structure Decisions of Globally-Listed Shipping Companies, 2013, with Dimitirios
Gounopoulos, Andreas G. Merikas, and Henning Schröder, Transportation Research Part E 52,
49-76.
[39] The Development of a Performance Index for KG Funds and a Comparison with other Shipping-Related Indices, 2013, with Lars Tegtmeier, Maritime Economics and Logistics 15, 32-71.
[38] Efficient Hedge Fund Style Allocations: A Rules-Based Model, 2012, with Dieter Kaiser and
Jasper Zimbehl, Journal of Derivatives and Hedge Funds 18, 254-300.
[37] Zur Rendite-Risiko-Beziehung am deutschen Aktienmarkt: Eine empirische Analyse der Beziehung zwischen dem Deutschen Aktienindex DAX und dem Volatilitätsindex VDAX (On the
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return-risk-relationship on the German stock market: An empirical analysis of the relationship
between the German stock index DAX and the volatility index VDAX), 2012, with Hubert Dichtl,
Kredit und Kapital / Credit and Capital Markets 45, 373-406.
[36] Dynamics of Time-Varying Volatility in the Dry Bulk and Tanker Freight Markets, 2012, with
Tim Richter and Martin Wambach, Applied Financial Economics 22, 1367-1384.
[35] Die Konstruktion eines Performanceindexes für geschlossene Schiffsfonds (The Construction
of a Performance Index for Closed-end Ship Funds), 2012, with Lars Tegtmeier and Mahail Topalov, Kredit und Kapital / Credit and Capital Markets 45, 79-113.
[34] Financing Ships and Shipping Operations: A Risk Management Perspective, 2011, with Stefan
Albertijn and Wolfgang Bessler, Journal of Applied Corporate Finance 23(4), 70-82.
[33] Portfolio Insurance and Prospect Theory Investors: Popularity and Optimal Design of Capital
Protected Financial Products, 2011, with Hubert Dichtl, Journal of Banking and Finance 35,
1683-1697.
[32] Information Asymmetry and Financing Decisions, 2011, with Wolfgang Bessler nd Matthias
Grüninger, International Review of Finance 11(1), 123-154.
[31]
Dollar-Cost Averaging and Prospect Theory Investors: An Explanation for a Popular Investment Strategy, 2011, with Hubert Dichtl, Journal of Behavioral Finance 12(1), 41-52.
[30] On the Popularity of the CPPI Strategy: A Behavioral Finance-Based Explanation and Design
Recommendations, 2010, with Hubert Dichtl, Journal of Wealth Management (Fall 2010), 4154.
[29] Information Asymmetry and the Value of Cash, 2010, with Matthias C. Grüninger and Simone Hirschvogl, Journal of Banking and Finance 34(9), 2168-2184.
[28] Fixed-Income Hedge-Funds-Strategien in Bondportfolios, 2010, with Roland Füss and Michael
Stein, Österreichisches Bankarchiv / Austrian Banking Archive 58, 103-110.
[27] Common Risk Factors in the Returns of Shipping Stocks, 2010, with Lars Tegtmeier and Dirk
Schilling, Maritime Policy and Management 37, 93-120.
[26] Does Tactical Asset Allocation Work? Another Look at the Fundamental Law of Active Management, 2009, with Hubert Dichtl, Journal of Asset Management 10, 235-252.
[25] Fixed Income Portfolio Allocation Including Hedge Fund Strategies: A Copula Opinion Pooling
Approach, 2009, with Roland Füss and Michael Stein, Journal of Fixed Income 18 (Spring), 7891.
[24] Heterogeneity in Asset Allocation Decisions: Empirical Evidence from Switzerland, 2009,
with Peter Kugler, Gabrielle Wanzenried, and Heinz Zimmermann, International Review of
Financial Analysis 18, 84-93.
[23] Conditional Performance Evaluation for German Equity Mutual Funds, 2009, with Wolfgang
Bessler and Heinz Zimmermann, European Journal of Finance 15, 287-316.
[22] Do Managers Adjust the Capital Structure to Market Value Changes? Evidence from Europe,
2008, with Wolfgang Bessler and Pascal Pensa, Zeitschrift für Betriebswirtschaft / Journal of
Business Economics (Special Issue 6/2008, 50 Years after MM: Recent Developments in Corporate Finance), 113-145.
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[21]
Die Bewertung von Kommanditanteilen geschlossener Schiffsfonds mit dem Ertragswertverfahren (Valuation of Closed-end Ship Fund Participations Using a Discounted Cash Flow
Approach), 2008, with Lars Tegtmeier and Mihail Topalov, Finanz Betrieb / Corporate Finance,
399-411.
[20] Ship Funds as a New Asset Class: An Empirical Analysis of the Relationship between Spot and
Forward Prices in Freight Markets, 2008, with Wolfgang Bessler and Jörg Seidel, Journal of
Asset Management 9, 102-120.
[19] Handelsplattformen für Schiffsbeteiligungen: Analyse und Vergleich von Zweitmärkten für
Schiffsbeteiligungen unter Effizienzgesichtspunkten (Trading Platforms for Closed-end Ship
Funds: An Analysis and Comparison of Second-hand Markets), 2008, with Lars Tegtmeier and
Mihail Topalov, Finanz Betrieb / Corporate Finance, 57-67.
[18]
Estimating the Cost of Executive Stock Options: Evidence from Switzerland, 2007, with Pascal Pensa and Markus M. Schmid, Corporate Governance: An International Review 15, 797-814.
[17]
Corporate Cash Holdings: Evidence from Switzerland, 2007, with Matthias C. Grüninger, Financial Markets and Portfolio Management 21, 293-324.
[16] Warum begeben Unternehmen Wandelanleihen? (Why Do Firms Issue Convertible Bonds?),
2006, with Matthias C. Grüninger and Claudia B. Wöhle, Schweizerische Zeitschrift für Volkswirtschaft und Statistik / Swiss Journal of Economics and Statistics 142, 331-365.
[15]
What Determines the Speed of Adjustment to the Target Capital Structure?, 2006, with Gabrielle Wanzenried, Applied Financial Economics 16, 941-958.
[14]
An Integrated Framework of Corporate Governance and Firm Valuation: Evidence from Switzerland, 2006, with Stefan Beiner, Markus Schmid, and Heinz Zimmermann, European Financial Management 12, 249-283.
[13]
Kapitalstrukturpolitik in Theorie und Praxis: Ergebnisse einer Fragbogenuntersuchung (Theory and Practice of Capital Structure: Results of a Survey Study), 2006, with Pascal Pensa and
Claudia B. Wöhle, Zeitschrift für Betriebswirtschaft / Journal of Business Economics 76, 253285.
[12]
Long-Run Performance of Initial Public Offerings: The Evidence for Switzerland, 2005, with
Matthias Kammermann and Urs Wälchli, Schmalenbach Business Review 59, 253-275.
[11]
What are the Determinants of the Capital Structure? Evidence from Switzerland, 2005, with
Roger Fix, Swiss Journal of Economics and Statistics 151, 71-111.
[10] Is Board Size an Independent Corporate Governance Mechanism?, 2004, with Stefan Beiner,
Frank Schmid, and Heinz Zimmermann, Kyklos 57, 327-358.
[9]
Corporate Governance and Expected Stock Returns: Evidence from Germany, 2004, with Andreas Schillhofer and Heinz Zimmermann, European Financial Management -10, 267-293.
[8]
Ein Corporate Governance Rating für deutsche Publikumsgesellschaften (A Corporate Governance Rating for German Listed Companies), 2004, with Andreas Schillhofer and Heinz
Zimmermann, Zeitschrift für Betriebswirtschaft / Journal of Business Economics 74, 1-21.
[7]
Volatility Bounds for Stochastic Discount Factors on Global Stock Markets, 2003, Journal of
Applied Social Science Study 123, 1-30.
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[6]
Conditional Asset Pricing in Emerging Stock Markets, 2002, with Susanne Stürmer and Heinz
Zimmermann, Swiss Journal of Economics and Statistics 138, 507-526.
[5]
The Contribution of Asset Allocation Policy to Portfolio Performance, 2002, with Friederike
Koehler, Financial Markets and Portfolio Management 16, 219-233.
[4]
Mean-Reversion on Global Stock Markets, 2002, with Patrick Wegmann, Swiss Journal of
Economics and Statistics 138, 215-240.
[3]
Avoiding the Pitfalls in Portfolio Optimization: Putting the Black-Litterman Approach at
Work, 2001, Financial Markets and Portfolio Management 15, 59-75.
[2]
Wie hoch ist die Risikoprämie am Schweizer Aktienmarkt? (What is the Risk Premium on the
Swiss Stock Market?), 2000, Financial Markets and Portfolio Management 14, 364-386.
[1]
Über die Integration des deutschen und schweizerischen Aktienmarktes mit dem Welt-markt
(On the Integration of the German and Swiss Stock Markets with the World Stock Market),
1998, Financial Markets and Portfolio Management 12, 479-496.
D.
Book chapters
[16] Maritime Investment Appraisal and Budgeting, with Stefan Albertijn and Max Johns, forthcoming in: Kavussanos, M., and I. Visvikis (eds.), 2016, The International Handbook of Shipping Finance: Theory and Practice, Palgrave Macmillan.
[15]
Financing Corporate Mergers and Acquisitions, 2010, with Wolfgang Bessler and Jan Zimmermann, chapter 32 in: Kent Baker and Jerry Martin (eds.), Capital Structure and Corporate
Financing (Robert W. Kolb Series), John Wiley & Sons, 419-444.
[14]
Factors Affecting Capital Structure Decisions, 2010, with Wolfgang Bessler and Robin
Kazemieh, chapter 2 in: Kent Baker und Jerry Martin (eds.), Capital Structure and Corporate
Financing (Robert W. Kolb Series), John Wiley & Sons, 17-40.
[13]
Aktives Bondportfoliomanagement (Active Bond Portfolio Management), with Andrea Bubb,
2009, chapter 4 in: Zimmermann, H. (ed.), Finance Compact, Verlag Neue Zürcher Zeitung,
115-153.
[12]
Hedge Fund, with Wolfgang Bessler and Julian Holler, 2007, in: Enzyklopädisches Lexikon des
Geld-, Bank- und Börsenwesens, Fritz Knapp Verlag (23 pages).
[11]
Kapitalkosten (Cost of Capital), with Wolfgang Bessler and Stefan Thies, 2007, in: Enzyklopädisches Lexikon des Geld-, Bank- und Börsenwesens, Fritz Knapp Verlag (47 pages).
[10] Corporate Governance und Unternehmensbewertung in der Schweiz (Corporate Governance
and Firm Valuation in Switzerland), 2006, in: Bessler, W. (ed..), Börsen, Banken und Kapitalmärkte (Festschrift Hartmut Schmidt), Duncker & Humblot, 493-527.
[9]
Die Relevanz von Corporate Governance für den Unternehmenswert (The Implications of
Corporate Governance for Firm Valuation), 2006, in: Rolfes, B. (ed.), Herausforderung Bankmanagement: Entwicklungslinien und Steuerungsansätze (Festschrift Henner Schierenbeck),
175-190.
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[8]
Corporate Governance, Unternehmensbewertung und Wettbewerb: Eine Untersuchung für
die Schweiz (Corporate Governance, Firm Valuation, and Competition: A Study for Switzerland), with Heinz Zimmermann, Stefan Beiner, and Markus Schmid, in: Franz, W., H. J. Ramser und M. Stadler (eds.), Finanzkrisen - Tagungsband zum 34. Wirtschaftswissenschaftlichen
Seminar Ottobeuren, 2005, Mohr Siebeck, 27-53.
[7]
Hedge Funds - „Königsdisziplin“ der Kapitalanlage (Hedge Funds: The Ultimate Form of Investing), with Wolfgang Bessler and Jacqueline Henn, in: Dichtl, H., J. Kleeberg, and C. Schlenger
(eds.), Handbuch Hedge Funds, 2005, Uhlenbruch Verlag, 3-53.
[6]
Parametric and Nonparametric Estimation of Conditional Return Expectations, mit Daniel
Hoechle, in: Frenkel, M., U. Hommel, and M. Rudolf (eds.), 2004, Risk Management: Challenge and Opportunity, Berlin et. al.: Springer Verlag, 169-196.
[5]
Bondportfoliomanagement (Bond Portfolio Management), with Andera Bubb, in: Zimmermann, H. (ed.), 2003, Finance Compact, Zürich: Verlag Neue Zürcher Zeitung, 199-236.
[4]
Einsatz des Black-Litterman Verfahrens in der Asset Allocation (The Use of Black-Litter-man
Portfolio Optimization in Asset Allocation), in: Dichtl, H., J. Kleeberg, and C. Schlenger (eds.),
2002, Handbuch Asset Allocation, Uhlenbruch Verlag, 203-240.
[3]
Ein konditioniertes Bewertungsmodell für das Asset Management (A Conditional Factor Pricing Model for Asset Management), with Peter Oertmann, in: Kleeberg, J., and P. Rehkugler
(eds.), 2002, Handbuch Portfoliomanagement, 2. Auflage, Uhlenbruch Verlag, 611-649.
[2]
Das Dividend Discount Modell (The Dividend-Discount Model), in: Zimmermann, H., and B.
Gehrig (eds.), Fit for Finance, 1999, Zurich: Verlag Neue Zürcher Zeitung and Frankfurt: Frankfurter Allgemeine Zeitung Verlag, 97-118.
[1]
Internationale Finanzmärkte (International Financial Markets), in: Zimmermann, H. ,and B.
Gehrig (eds.), Fit for Finance, 1999, Zurich: Verlag Neue Zürcher Zeitung and Frankfurt: Frankfurter Allgemeine Zeitung Verlag, 119-143.
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