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

Download publication Open

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

Download publication

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

Download publication

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

Download publication

Predictive Regressions with Time-Varying Coefficients

Thomas Dangl, Michael Halling, 2009
Working Paper

Download publication

Price Dynamics in Central and Eastern European EU Accession Countries

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

Download publication

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

Download publication

Macroeconomic Aspects of Finance

Pension Benefit Default Risk and Welfare Effects of Funding Regulation

Thomas Steinberger, 2006
Working Paper

Download publication

Imperfect Financial Contracting and Macroecenomic Stability

Thomas Steinberger, 2004
Working Paper

Download publication

Occupational Choice and the Private Equity Premium Puzzle

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

Download publication

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

Download publication

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

Download publication

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

Download publication

Investment Dynamics and Financial Market Imperfections

Thomas Steinberger, 2004
Working Paper

Download publication

Private Business Return and the Distribution of Wealth

Thomas Hintermaier, Thomas Steinberger, 2002
Working Paper

Download publication

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

Download publication

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

Download publication

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

Download publication

Credit Risk and Dynamic Capital Structure Choice

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

Download publication

Alternative Default Definitions and the Structure of Credit Spreads

Engelbert J. Dockner, Luise Breinlinger, 2009
Working Paper

Download publication

Leaders, Followers, and Risk Dynamics in Industry Equilibrium

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

Download publication

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

Download publication

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

Download publication Open

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

Download publication

Bank Capital Regulation With Random Audits

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

Download publication

Important information

Before accessing our website, please carefully read the following legal notes. Then click on the link at the bottom of this text.

The information contained on this website is for information and marketing purposes only and does not represent an offer or a recommendation, as the case may be, for the acquisition or the sale of certain funds or other products and is not a request for such offer. In particular, the information contained on this website thus is neither deemed to be legal, tax or investment advice, nor an offer or a recommendation for the acquisition or sale of funds or other products and it cannot replace individual advice on investments and other issues. Investment decisions require the individual adaptation to the personal circumstances of the investor and should only be taken after having obtained expert information and advice.

The information on funds, fund issuance and other products as well as the documents and information on market values of financial instruments provided in the download section are addressed exclusively to persons domiciled in Austria and whose native language is not german. They do not represent an acquisition offer directed to persons domiciled in other countries nor are they a call to extend such offer. In particular, the information published on this website is not addressed to US persons within the meaning of "Regulation S" of the Securities Act 1933. The financial instruments advertised on this website must not be offered in the USA and must not be proposed to US persons. The funds registered for public sale in Germany are listed in the document "Funds registered by countries".

As far as the previous performance of funds or other financial instruments is referred to on this website, we point out that the performance in the past does not allow reliable conclusions about the future performance of funds or other financial instruments.

Spängler IQAM Invest GmbH does not offer a comprehensive market comparison to its prospective clients with regard to all products offered; Spängler IQAM Invest GmbH primarily advertises its own products.

Spängler IQAM Invest GmbH having its registered office in Salzburg holds a license for the administration of investment funds in accordance with the Investment Fund Law and the Alternative Investment Fund Manager Act as well as a sublicense for financial services business.

The website is operated by Spängler IQAM Invest GmbH. The contents of the website are made available to the users for information purposes by Spängler IQAM Invest GmbH free of charge. The website only provides general information and cannot replace individual advice. Due to the ongoing development and the complexity of the issue, the Spängler IQAM Invest GmbH cannot guarantee the completeness, accuracy and up-todateness of the information and data contained on this website. A review of the up-todateness of the information as well as of its applicability to the concrete individual case is therefore necessary. The website cannot serve as a basis for investment decisions. Spängler IQAM Invest GmbH’s liability for the completeness, accuracy and current relevance of the conditions set out is excluded, to the extent permitted by law. Access to and use of our website and the legal notices are subject to Austrian law.

This website uses Google Analytics, a web analytics service provided by Google, Inc. ("Google"). Google Analytics uses "cookies", which are text files placed on your computer, to help the website analyze how users use the site. The information generated by the cookie about your use of the website (including your IP address) will be transmitted to and stored by Google on servers. Google will use this information for the purpose of evaluating your use of the website, compiling reports on website activity for website operators and providing other services relating to website activity and internet usage. Google may also transfer this information to third parties where required to do so by law, or where such third parties process the information on Google's behalf. Google will not associate your IP address with any other data held by Google. You may refuse the use of cookies by selecting the appropriate settings on your browser, however please note that if you do this you may not be able to use the full functionality of this website. By using this website, you consent to the processing of data about you by Google in the manner and for the purposes set out above.

To facilitate good readability, gender-neutral Differentiation will be dispensed with throughout the website. As a basic principle, terms used apply to both genders for the purposes of non-discrimination.

I hereby acknowledge that I have read, understand and accept the information given above.