Academic Research

Here you can find a selection of research papers from members of the Academic Advisory Team and employees of Spängler IQAM Invest. These deal mainly with fundamental research, which is often directly or indirectly put into practice in Spängler IQAM Invest products and services. Some of these papers have already been published in leading international journals and some are still working papers.

Our philosophy is to constantly review and improve the Spängler IQAM Invest processes in light of new financial research. This is made possible by the members of Spängler IQAM Invest’s Academic Advisory Team, who are firmly established in the international financial research community, regularly contribute to fundamental research and are actively involved in notable conferences and academic institutions. The research papers listed below provide an overview of the issues we have engaged in.

Research Center

Market Discipline and Internal Governance in the Mutual Fund Industry

Thomas Dangl, Youchang Wu, Josef Zechner, 2008
University of Wisconsin-Madison and Vienna University of Economics and Business) Vol 21, Nr 5 – pp. 2307-2343

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Managerial Rents vs. Shareholder Value in Delegated Portfolio Management: The Case of Closed‐End Funds

Youchang Wu, Russ Wermers, Josef Zechner, 2013
SSRN Working Paper Series 2179125

Open

Market Implied Costs of Bankruptcy

Johann Reindl, Neal Stoughton, Josef Zechner, 2013
SSRN Working Paper Series 2324097

Open

The Cross‐Section of Credit Risk Premia and Equity Returns

Nils Friewald, Christian Wagner, Josef Zechner, 2013
Journal of Finance

Open

Sovereign Bond Risk Premiums

Engelbert J. Dockner, Manuel Mayer, Josef Zechner, 2013
SSRN Working Paper Series 2275916

Open

Minimum-Variance Stock Picking - A Shift in Preferences for Minimum-Variance Portfolio Constituents

Thomas Dangl, Michael Kashofer, 2013
TU-Wien Working Paper, SSRN Working Paper Series 2302453

Open

Predictive Regressions with Time-Varying Coefficients

Thomas Dangl, Michael Halling, 2012
Journal of Financial Economics – pp. 157 - 181

Open

Empirical Aspects of Financial Markets

Forecasting Time-Dependent Conditional Densities: A Semi-Non-Parametric Neural Network Approach

Christian Schittenkopf, Georg Dorffner, Engelbert J. Dockner, 2000
Journal of Forecasting 19: 355-374

Evaluating Volatility Forecasts and Empirical Distributions in Value at Risk Models

Engelbert J. Dockner, Martin Scheicher, 1999
Financial Markets and Portfolio Management 13: 39-55

Leaders, Followers, and Risk Dynamics in Industry Equilibrium

Engelbert J. Dockner, Murray Carlson, Adlai Fisher, Ron Giammarino, 2014
Journal of Financial and Quantitative Analysis 49 (2): 321-349

A Convenience Yield Approximation Model for Mean-Reverting Commodities

Engelbert J. Dockner, Zehra Eksi-Altay, Margarethe Rammerstorfer, 2015
Journal of Futures Markets, im Erscheinen

Fund Promotion and Individual Investors’ Fund Flows

Engelbert J. Dockner, Petra Halling, Otto Randl, 2014
Arbeitspapier WU Wirtschaftsuniversität Wien

Sovereign Bond Risk Premiums

Engelbert J. Dockner, Manuel Mayer, Josef Zechner, 2015
in Begutachtung

Forecasting Time-dependent Conditional Densities: A Semi-non-parametric Neural Network Approach

Christian Schittenkopf, Georg Dorffner, Engelbert J. Dockner, 2000
Journal of Forecasting, 19 – pp. 355-374

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The Financial System in the Czech Republic, Hungary and Poland after a Decade of Transition

Thomas Reininger, Franz Schardax, Martin Summer, 2001
Discussion Paper 16/01, Deutsche Bundesbank

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Evaluating Volatility forecasts and Empirical Distributions in Value at Risk Models

Engelbert J. Dockner, Martin Scheicher, 1999
Finanzmarkt und Portfolio Management, 13. Jahrgang, Nr. 1 – pp. 39-55

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Predictive Regressions with Time-Varying Coefficients

Thomas Dangl, Michael Halling, 2009
Working Paper

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Price Dynamics in Central and Eastern European EU Accession Countries

Peter Backé, Thomas Reininger, Jarko Fidrmuc, Franz Schardax, 2002
Working Papers 61, Österreichische Nationalbank

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European and Non-European Emerging Market Currencies: Forward Premium Puzzle and Fundamentals

Peter Backé, Franz Schardax, 2009
“Focus on European Economic Integration” Q2/2009, Österreichische Nationalbank – pp. 56-66

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Macroeconomic Aspects of Finance

Pension Benefit Default Risk and Welfare Effects of Funding Regulation

Thomas Steinberger, 2006
Working Paper

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Imperfect Financial Contracting and Macroecenomic Stability

Thomas Steinberger, 2004
Working Paper

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Occupational Choice and the Private Equity Premium Puzzle

Thomas Hintermaier, Thomas Steinberger, 2005
Journal of Economic Dynamics & Control 29 – pp. 1765-1783

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Exchange Rates and Long-Term Interest Rates in Central Europe: How Do Monetary and Fiscal Policy Affect Them?

Franz Schardax, 2002
“Stability and Security, Focus on Transition”, 2/2002, Österreichische Nationalbank – pp. 58 -71

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An Early Warning Model for Currency Crises in Central and Eastern Europe”, in “Financial Markets in Central and Eastern Europe: Stability and Efficiency

Franz Schardax, 2004
edited by Morten Balling, Frank Lierman, and Andrew W. Mullineux
Routledge Studies in the European Economy, Routledge, London and New York

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Corporate Investment and Corporate Finance

Dynamic investment strategies with demand-side and cost-side risks

Engelbert J. Dockner, Andrea Gaunersdorfer, 2010
Applied Mathematics and Computation 217: 1001-1009

Rivalry Restraint as Equilibrium Behavior. Journal of Economics and Management Strategy

Engelbert J. Dockner, Clemens Löffler, 2015
im Erscheinen

Investment, Firm Value, and Risk for a System Operator Balancing Energy Grids

Engelbert J. Dockner, Margarethe Rammerstorfer, Denes Kucsera, 2013
Energy Economics 37: 182-192

Markov-Perfect Nash Equilibria in Models With a Single Capital Stock. Economic Theory

Engelbert J. Dockner, Florian Wagener, 2014
56 (3): 585-625

Value and Risk Dynamics Over the Innovation Cycle. Journal of Economic Dynamics and Control

Engelbert J. Dockner, Siyahhan Baran, 2015
im Erscheinen

Optimal Capital Allocation using RAROC and EVA

Neal Stoughton, Josef Zechner, 2007
Journal of Financial Intermediation, 16 – pp. 312-342

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Investment Dynamics and Financial Market Imperfections

Thomas Steinberger, 2004
Working Paper

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Private Business Return and the Distribution of Wealth

Thomas Hintermaier, Thomas Steinberger, 2002
Working Paper

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The Effect of Green Investment on Corporate Behaviour

Robert Heinkel, Alan Kraus, Josef Zechner, 2001
Journal of Financial and Quantitative Analysis, 36 – pp. 431-450

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Optimal Dynamic Capital Structure Choice: Theory and Tests

Edwin O. Fischer, Robert Heinkel, Josef Zechner, 1998
The Journal of Finance, 44 – pp. 19-40

Investment and capacity choice under uncertain demand

Thomas Dangl, 1999
European Journal of Operational Research, 117/3 – pp. 1-14

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Investment under Uncertainty: Calculating the Value Function when the Hamilton-Jacobi-Bellman Equation cannot be Solved Analytically

Thomas Dangl, Franz Wirl, 2004
Journal of Economic Dynamics and Control, Vol 28/7 – pp. 1437-1460

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Credit Risk and Dynamic Capital Structure Choice

Thomas Dangl, Josef Zechner, 2004
Journal of Financial Intermediation, 13/2 – pp. 183-204

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Alternative Default Definitions and the Structure of Credit Spreads

Engelbert J. Dockner, Luise Breinlinger, 2009
Working Paper

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Leaders, Followers, and Risk Dynamics in Industry Equilibrium

Murray Carlson, Engelbert J. Dockner, Adlai Fisher, Ron Giammarino, 2010
Working Paper

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Financial Markets and Delegated Investment Management

Large Shareholder Activism, Risk Sharing, and Financial Market Equilibrium

Anat R. Admati, Paul Pfleiderer, Josef Zechner, 1994
The Journal of Political Economy, 102 – pp. 1097-1130

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Market Discipline and Internal Governance in the Mutual Fund Industry

Thomas Dangl, Youchang Wu, Josef Zechner, 2008
University of Wisconsin-Madison and Vienna University of Economics and Business) Vol 21, Nr 5 – pp. 2307-2343

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Banking

Choice of Rating Technology and Loan Pricing in Imperfect Credit Markets

Hannelore De Silva, Engelbert J. Dockner, Rainer Jankowitsch, Stefan Pichler, 2014
Journal of Risk 17 (1): 29-62

Value-at-Risk vs. Building Block Regulation in Banking

Thomas Dangl, Alfred Lehar, 2004
Journal of Financial Intermediation, 13/2 – pp. 96-131

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Bank Capital Regulation With Random Audits

2002
Journal of Economic Dynamics and Control, 26 – pp. 1301-1321

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