Literature: authors starting with S
70 studies, books and laws, each with its reference, a sentence on the content and the pages that cite it. All letters
S&P DJI, Equal Weight FAQ (2025) · S&P 500 Equal Weight Index: Frequently Asked Questions
S&P Dow Jones Indices. S&P Dow Jones Indices (data through April 2025); accessed October 26, 2026. Source
Quarterly rebalancing; more than half of the excess return comes from the higher weight of smaller stocks, along with a tilt toward value and away from momentum.
Cited in: Equal weight vs cap weight: weighting, rebalancing and factor tilts
S&P Dow Jones Indices (2026) · S&P Dow Jones Indices' 2026 Equity Country Classification Consultation – Extended
S&P Dow Jones Indices. S&P Dow Jones Indices, July 14, 2026; accessed October 25, 2026. Source
2026 consultation: Poland is to be upgraded from emerging to developed market; South Korea already counts as a developed market.
Cited in: Index providers and valuation points: why the same index is calculated differently
iBoxx Methodology (2026) · iBoxx Pfandbriefe Index Methodology
S&P Dow Jones Indices. S&P Dow Jones Indices, July 2026; accessed October 25, 2026. Source
Rules of an iBoxx bond index: bid prices, new bonds at the ask price, a minimum issue size of €500 million, remaining maturity of at least one year and monthly rebalancing.
Cited in: Index providers and valuation points: why the same index is calculated differently
S&P GSCI methodology (2026) · S&P GSCI Methodology
S&P Dow Jones Indices. S&P Dow Jones Indices, August 2026; accessed October 25, 2026. Source
Rules of the S&P GSCI: weighting by average world production over five years, minimum liquidity, rolling from the 5th to the 9th business day, total return with interest on the collateral.
Cited in: Active or passive in bonds and commodities: why the rules differ from equities
Saccone (2024) · Times Change: The Era of the Private Equity Denominator Effect
Saccone, Massimiliano. CFA Institute Research and Policy Center, Enterprising Investor, March 4, 2024; accessed October 25, 2026. Source
Describes the denominator effect of 2022: valuations of private funds decoupled from equities and bonds, investors were overweight and could sell on the secondary market at only 81% of NAV on average.
Cited in: Private equity explained: strategies, fund structure, fees and what research shows about returns · Measuring private markets: J-curve, cash flows, smoothing and public proxies · Glossary: Secondaries
Said and Dickey (1984) · Testing for unit roots in autoregressive-moving average models of unknown order
Said, Said E.; Dickey, David A.. Biometrika 71 (3), pp. 599–607. doi:10.1093/biomet/71.3.599
Extends the Dickey-Fuller test with lagged differences (augmented Dickey-Fuller) so that it remains valid when the autocorrelation is unknown.
Cited in: Pairs trading and statistical arbitrage: idea, methods, research · Long/short and statistical arbitrage: methodology · Glossary: Augmented Dickey-Fuller test
Samuelson (1958) · An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money
Samuelson, Paul A.. Journal of Political Economy 66 (6), pp. 467–482. doi:10.1086/258100
An overlapping generations model: a contract between generations such as a pay-as-you-go system yields a “biological” rate of interest equal to population growth.
Cited in: Glossary: Pay-as-you-go system
Samuelson (1969) · Lifetime Portfolio Selection By Dynamic Stochastic Programming
Samuelson, Paul A.. The Review of Economics and Statistics 51 (3). doi:10.2307/1926559
Under certain assumptions, the optimal equity share does not depend on the investment horizon.
Cited in: Equity allocation by age: rules of thumb, glide paths and what theory says
Samuelson (1971) · The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling
Samuelson, Paul A.. Proceedings of the National Academy of Sciences 68 (10), pp. 2493–2496. doi:10.1073/pnas.68.10.2493
Disputes the idea that long-term investors should always maximize the geometric mean.
Cited in: CAGR: how to calculate the average annual return correctly · Volatility drag: why volatility costs you return · The Kelly criterion: how much to bet for maximum growth
Satchell and Scowcroft (2000) · A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction
Satchell, S; Scowcroft, A. Journal of Asset Management 1 (2), pp. 138–150. doi:10.1057/palgrave.jam.2240011
Derives the Black-Litterman model formally and presents variants of blending equilibrium and views.
Cited in: Black-Litterman: incorporating your own views cleanly
Scherer (2002) · Portfolio Resampling: Review and Critique
Scherer, Bernd. Financial Analysts Journal 58 (6), pp. 98–109. doi:10.2469/faj.v58.n6.2489
Classifies resampling as a well-thought-out heuristic against estimation error and points out quirks that make interpretation harder.
Cited in: Michaud resampled optimization: more stable portfolio weights through simulation · Optimization methodology: estimation, objectives, Black-Litterman, resampling and walk-forward
Schizas (2014) · Active ETFs and Their Performance vis-à-vis Passive ETFs, Mutual Funds, and Hedge Funds
Schizas, Panagiotis. The Journal of Wealth Management 17 (3), pp. 84–98. doi:10.3905/jwm.2014.17.3.084
Early active ETFs were more volatile than passive ones, ended up performing similarly and in many cases beat mutual funds on mean return.
Schmeling et al. (2026) · Crypto Carry
Schmeling, Maik; Schrimpf, Andreas; Todorov, Karamfil. Management Science. doi:10.1287/mnsc.2024.05069
The carry between crypto futures and spot prices at times exceeds 40% a year; causes are demand for leverage from trend-chasing small investors and scarce arbitrage capital due to regulation and margin requirements.
Cited in: Glossary: Funding rate
Schrimpf et al. (2020) · Leverage and margin spirals in fixed income markets during the Covid-19 crisis
Schrimpf, Andreas; Shin, Hyun Song; Sushko, Vladyslav. Bank for International Settlements, BIS Bulletin No. 2, April 2, 2020; accessed October 25, 2026. Source
In mid-March 2020, turmoil forced sales of government bonds by investors who used leverage to exploit small price differences; large holdings by leveraged investors can disrupt market functioning.
Cited in: Basis trades: positive and negative basis in bonds, CDS and futures
Schwarz (1978) · Estimating the Dimension of a Model
Schwarz, Gideon. The Annals of Statistics 6 (2), pp. 461–464. doi:10.1214/aos/1176344136
Derives the Bayesian information criterion (BIC) as a large-sample approximation to Bayesian model selection; it penalizes each parameter with ln n.
Cited in: Regime models: hidden Markov, Markov switching and more · Regime methodology: how the hidden Markov model works · Glossary: Information criterion
Seyhun (1986) · Insiders' profits, costs of trading, and market efficiency
Seyhun, H. Nejat. Journal of Financial Economics 16 (2), pp. 189–212. doi:10.1016/0304-405x(86)90060-7
Insiders earn abnormal returns on their trades; for outsiders who imitate reported insider trades, the advantage largely disappears after trading costs.
Cited in: Insider trading: what is prohibited, what is allowed and what insider purchases reveal
Shefrin and Statman (2000) · Behavioral Portfolio Theory
Shefrin, Hersh; Statman, Meir. The Journal of Financial and Quantitative Analysis 35 (2). doi:10.2307/2676187
Investors build portfolios in layers of mental accounts: a safe layer against poverty and a risky one for a shot at riches.
Cited in: Core-satellite with a broad core and targeted satellites: costs, tracking error and rules
Shefrin and Statman (1984) · Explaining Investor Preference for Cash Dividends
Shefrin, Hersh M.; Statman, Meir. Journal of Financial Economics 13 (2), pp. 253–282. doi:10.1016/0304-405X(84)90025-4
Explains many investors' preference for cash dividends by self-control and mental accounting rather than by returns.
Cited in: Dividend strategies and dividend ETFs under scrutiny: irrelevance, factors, risks
Shiller (1980) · Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?
Shiller, Robert J.. National Bureau of Economic Research, Working Paper 456. doi:10.3386/w0456
Stock prices fluctuate far more than subsequent dividends would justify (working paper version of the 1981 article).
Cited in: The efficient market hypothesis: why it is so hard to beat the market · Glossary: Excess volatility
Shiller (2000) · Irrational Exuberance
Shiller, Robert J.. Princeton University Press.
A book on speculative bubbles that popularized the cyclically adjusted P/E (CAPE).
Cited in: Real estate as an investment: rental property, REITs, open-end funds and private real estate · Shiller P/E (CAPE): how expensive is the stock market? · Speculative bubbles: what they are and how the LPPLS model detects them · Valuation with the Shiller P/E: methodology · Glossary: Speculative bubble
Shiller (2014) · Speculative Asset Prices
Shiller, Robert J.. American Economic Review 104 (6), pp. 1486–1517. doi:10.1257/aer.104.6.1486
Nobel lecture: speculative bubbles as a social epidemic, Shiller's definition of a bubble and why a sudden burst need not be part of it.
Cited in: Speculative bubbles: what they are and how the LPPLS model detects them
Shiller et al. (2020) · CAPE and the COVID-19 Pandemic Effect
Shiller, Robert J.; Black, Laurence; Jivraj, Farouk. SSRN. doi:10.2139/ssrn.3714737
Compares the CAPE of several markets with long-term interest rates and estimates the expected real excess return of equities over bonds before and during the pandemic.
Cited in: Shiller P/E (CAPE): how expensive is the stock market? · Valuation with the Shiller P/E: methodology
Shleifer (1986) · Do Demand Curves for Stocks Slope Down?
Shleifer, Andrei. The Journal of Finance 41 (3), pp. 579–590. doi:10.1111/j.1540-6261.1986.tb04518.x
Stocks added to the S&P 500 earn an abnormal return on the announcement that is linked to purchases by index funds, which points to downward-sloping demand curves.
Cited in: Smart indexing: added value for index funds around corporate actions and index changes · The index effect: what happens to prices when stocks join or leave an index · Glossary: Index effect
Shleifer and Vishny (1997) · The Limits of Arbitrage
Shleifer, Andrei; Vishny, Robert W.. The Journal of Finance 52 (1), pp. 35–55. doi:10.1111/j.1540-6261.1997.tb03807.x
Arbitrage requires capital and is risky; when it is done with other people's money, it can fail precisely when prices deviate far from fair value.
Cited in: Short selling, hedge funds and hedging: types and how they work · Basis trades: positive and negative basis in bonds, CDS and futures · Distressed debt: strategies, bankruptcy law, recovery rates and returns when investing in crises · Pairs trading and statistical arbitrage: idea, methods, research
Shum et al. (2016) · Intraday Share Price Volatility and Leveraged ETF Rebalancing
Shum, Pauline; Hejazi, Walid; Haryanto, Edgar; Rodier, Arthur. Review of Finance 20 (6), pp. 2379–2409. doi:10.1093/rof/rfv061
From 2006 to 2011, volatility at the close was linked to the potential rebalancing of leveraged ETFs, most strongly on the most turbulent days.
Cited in: How leveraged ETFs are built: swaps, daily rebalancing and gamma risk
Siegel (2014) · Stocks for the Long Run
Siegel, Jeremy J.. McGraw-Hill Education, 5th edition.
Long-term returns on stocks, bonds and gold in the US since 1802.
Cited in: CAGR: how to calculate the average annual return correctly · Compound interest: how returns on returns make wealth grow · Real return: what is left after inflation · Equity risk premium: how much more equities return and why it is a puzzle · Gold in a portfolio: safe haven, inflation hedge or just shiny? · Asset classes with a long history: methodology
Siegel (2016) · The Shiller CAPE Ratio: A New Look
Siegel, Jeremy J.. Financial Analysts Journal 72 (3), pp. 41–50. doi:10.2469/faj.v72.n3.1
A critique of the CAPE: changes in accounting rules depress reported earnings and make the CAPE look too high.
Cited in: Shiller P/E (CAPE): how expensive is the stock market? · Valuation with the Shiller P/E: methodology
Simon and Campasano (2014) · The VIX Futures Basis: Evidence and Trading Strategies
Simon, David P.; Campasano, Jim. The Journal of Derivatives 21 (3), pp. 54–69. doi:10.3905/jod.2014.21.3.054
The gap between VIX futures and the VIX has no meaningful predictive power for subsequent changes in the VIX, but it does for subsequent futures returns.
Cited in: Volatility dashboard: methodology · Glossary: VIX futures basis
Sinn (2000) · Why a Funded Pension System is Needed and Why It is Not Needed
Sinn, Hans-Werner. International Tax and Public Finance 7 (4–5), pp. 389–410. doi:10.1023/A:1008760717038
Funding can fill the gap that missing children leave in the pay-as-you-go system; switching, however, is not an efficiency gain, because someone has to bear the implicit debt of the pay-as-you-go system.
Cited in: Glossary: Funded pension system
Skadden (2026) · Third Circuit Affirms Kalshi's Preliminary Injunction
Skadden, Arps, Slate, Meagher & Flom. Skadden, Insights, April 9, 2026; accessed October 25, 2026. Source
On April 4, 2026, the Court of Appeals for the Third Circuit held by 2 votes to 1 that sports contracts on a CFTC-registered exchange are swaps and that federal law pre-empts New Jersey's gambling law.
Cited in: Prediction markets as bets on events: what they can and cannot do
Sloan (1996) · Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?
Sloan, Richard G.. The Accounting Review 71 (3), pp. 289–315. doi:10.2308/tar-9608042309
Earnings from accruals are less persistent than earnings from cash flows, and prices reflect this only with a delay; this is the accruals anomaly.
Cited in: Fundamental analysis: valuing a company like an investor · Glossary: Accruals anomaly
Smith and Wallis (2009) · A Simple Explanation of the Forecast Combination Puzzle
Smith, Jeremy; Wallis, Kenneth F.. Oxford Bulletin of Economics and Statistics 71 (3), pp. 331–355. doi:10.1111/j.1468-0084.2008.00541.x
Explains why simple averages of forecasts keep beating sophisticated weighted combinations in practice: the estimated weights carry finite-sample estimation error.
Cited in: Economic pulse: how Portfolio Lab calculates early indicators
Snowberg and Wolfers (2010) · Explaining the Favorite–Long Shot Bias: Is it Risk-Love or Misperceptions?
Snowberg, Erik; Wolfers, Justin. Journal of Political Economy 118 (4), pp. 723–746. doi:10.1086/655844
In horse-race betting, long shots are overvalued and favorites undervalued; the data point to misperceived probabilities as in prospect theory rather than to a love of risk.
Cited in: Prediction markets as bets on events: what they can and cannot do · Glossary: Favorite-longshot bias
Solactive GBS Guideline (2026) · Index Guideline Solactive Global Benchmark Series (GBS), Version 3.06
Solactive AG. Solactive, September 16, 2026; accessed October 25, 2026. Source
Size segments by cumulative free-float capitalization with buffers, quarterly rebalancing in February, May, August and November, country lists and exchange rates at 16:00 London time.
Cited in: Index providers and valuation points: why the same index is calculated differently · Smart indexing: added value for index funds around corporate actions and index changes · Glossary: Buffer zone
Solnik (1974) · Why Not Diversify Internationally Rather Than Domestically?
Solnik, Bruno H.. Financial Analysts Journal 30 (4), pp. 48–54. doi:10.2469/faj.v30.n4.48
International diversification reduces the risk of an equity portfolio much more than purely domestic diversification, because markets do not move in lockstep.
Cited in: Home bias: the preference for your home market and what it costs · World portfolio: the whole world in one or two ETFs
Sorensen and Jagannathan (2015) · The Public Market Equivalent and Private Equity Performance
Sorensen, Morten; Jagannathan, Ravi. Financial Analysts Journal 71 (4), pp. 43–50. doi:10.2469/faj.v71.n4.4
Gives the PME a theoretical foundation: it corresponds to valuation with Rubinstein's dynamic CAPM, needs no betas and, unlike the IRR, cannot be influenced by the timing of cash flows.
Cited in: Measuring private markets: J-curve, cash flows, smoothing and public proxies · Glossary: Public market equivalent
Sornette, Johansen and Bouchaud (1996) · Stock Market Crashes, Precursors and Replicas
Sornette, Didier; Johansen, Anders; Bouchaud, Jean-Philippe. Journal de Physique I 6 (1), pp. 167–175. doi:10.1051/jp1:1996135
Early work on log-periodic patterns in the S&P 500 before and after the October 1987 crash, compared with earthquakes.
Cited in: Speculative bubbles: what they are and how the LPPLS model detects them · Glossary: Log-periodic oscillation
Sornette et al. (2013) · Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model
Sornette, Didier; Woodard, Ryan; Yan, Wanfeng; Zhou, Wei-Xing. Physica A: Statistical Mechanics and its Applications 392 (19), pp. 4417–4428. doi:10.1016/j.physa.2013.05.011
The authors' answers to questions and criticisms of the JLS model.
Cited in: Speculative bubbles: what they are and how the LPPLS model detects them
Sornette et al. (2015) · Real-time prediction and post-mortem analysis of the Shanghai 2015 stock market bubble and crash
Sornette, Didier; Demos, Guilherme; Zhang, Qun; Cauwels, Peter; Zhang, Qunzhi. The Journal of Investment Strategies 4 (4), pp. 77–95. doi:10.21314/JOIS.2015.063
How the Financial Crisis Observatory at ETH Zurich diagnosed the Chinese stock market bubble of 2014/15 in real time, with a post-mortem analysis.
Cited in: Speculative bubbles: what they are and how the LPPLS model detects them
Sornette and Cauwels (2015) · Financial Bubbles: Mechanisms and Diagnostics
Sornette, Didier; Cauwels, Peter. Review of Behavioral Economics 2 (3), pp. 279–305. doi:10.1561/105.00000035
Accessible explanation: a bubble as a phase of ever faster, unsustainable growth with log-periodic oscillations.
Cited in: Speculative bubbles: what they are and how the LPPLS model detects them · Glossary: Super-exponential growth
Sornette (2017) · Why Stock Markets Crash: Critical Events in Complex Financial Systems
Sornette, Didier. Princeton University Press, Princeton Science Library, with a new preface.
Book on Sornette's model: crashes as critical events in complex financial systems.
Cited in: Glossary: LPPLS model
Soros (2003) · The Alchemy of Finance
Soros, George. Wiley, new edition with a foreword by Paul A. Volcker (first published 1987).
Soros's theory of reflexivity: market participants' expectations change the fundamentals they are valuing and create boom-bust cycles; plus a trading diary of his fund.
Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Glossary: Reflexivity
Sortino and van der Meer (1991) · Downside risk
Sortino, Frank A.; van der Meer, Robert. The Journal of Portfolio Management 17 (4), pp. 27–31. doi:10.3905/jpm.1991.409343
Makes the case for downside risk (downside deviation) as a more appropriate risk measure than standard deviation.
Cited in: Sortino ratio and Calmar ratio: measuring downside risk · Glossary: Semivariance
Sortino and Price (1994) · Performance Measurement in a Downside Risk Framework
Sortino, Frank A.; Price, Lee N.. The Journal of Investing 3 (3), pp. 59–64. doi:10.3905/joi.3.3.59
Presents the Sortino ratio, which counts only volatility below a minimum acceptable return as risk.
Cited in: Sharpe ratio: return per unit of risk · Sortino ratio and Calmar ratio: measuring downside risk · Metrics methodology: how Portfolio Lab measures return and risk · Glossary: Minimum acceptable return
Spengel (2020) · Stellungnahme zur öffentlichen Anhörung im Finanzausschuss des Deutschen Bundestages zum Thema “Cum/Ex” (4. September 2020, Anhörung am 9. September 2020) [Statement for the public hearing of the Finance Committee of the German Bundestag on “cum/ex” (September 4, 2020; hearing on September 9, 2020)]
Spengel, Christoph. University of Mannheim; published by the German Bundestag, accessed October 25, 2026. Source
Mechanics of cum-ex and cum-cum, legal developments up to § 36a EStG and estimates of the tax damage with their assumptions.
Cited in: Glossary: Compensation payment (manufactured dividend)
Spitznagel (2021) · Safe Haven: Investing for Financial Storms
Spitznagel, Mark. Wiley.
A hedge fund manager specializing in safe havens and risk mitigation asks whether risk mitigation can increase returns, and judges safe havens by their effect on the compound growth of the whole portfolio.
Cited in: Tail hedging: what put protection costs, when it pays off and what short-vol strategies teach
Stafford (2022) · Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting
Stafford, Erik. The Review of Financial Studies 35 (1), pp. 299–342. doi:10.1093/rfs/hhab020
Buyout funds buy small, cheaply valued firms with leverage; a replication using listed stocks with these characteristics and margin borrowing returned more on average than direct fund investments.
Cited in: Measuring private markets: J-curve, cash flows, smoothing and public proxies · Glossary: Public proxy
SPDR ACWI IMI Factsheet (Dist) (2026) · SPDR MSCI All Country World Investable Market UCITS ETF (Dist), Factsheet, as of September 30, 2026
State Street Global Advisors. State Street Global Advisors; accessed October 25, 2026. Source
Optimized sampling: 5,990 holdings in the fund versus 8,027 constituents in the MSCI ACWI IMI, expense ratio 0.17%.
Cited in: Index replication: full replication, optimized sampling and swaps
SPDR ACWI IMI Factsheet (Acc) (2026) · SPDR MSCI All Country World Investable Market UCITS ETF (Acc), Factsheet, as of summer 2026
State Street Global Advisors. State Street Global Advisors, Factsheet with the dates July 31 and August 31, 2026; accessed October 25, 2026. Source
Accumulating share class: 5,998 holdings versus 8,043 index constituents, annualized three-year tracking error of 0.36%.
Cited in: Index replication: full replication, optimized sampling and swaps
Statman (1987) · How Many Stocks Make a Diversified Portfolio?
Statman, Meir. The Journal of Financial and Quantitative Analysis 22 (3). doi:10.2307/2330969
A well-diversified portfolio of randomly chosen stocks needs at least 30 stocks (with borrowing) or 40 (without borrowing), not just ten.
Cited in: Stock picking: why individual stocks are so hard to get right · Index replication: full replication, optimized sampling and swaps
Statman (1995) · A Behavioral Framework for Dollar-Cost Averaging
Statman, Meir. The Journal of Portfolio Management 22 (1), pp. 70–78. doi:10.3905/jpm.1995.409537
Explains the popularity of staggered investing with behavioral finance: avoiding regret and exercising self-control.
Cited in: Dollar-cost averaging: what the average-cost effect really delivers · Glossary: Regret aversion
Stephens (2000) · Dealing With Label Switching in Mixture Models
Stephens, Matthew. Journal of the Royal Statistical Society Series B: Statistical Methodology 62 (4), pp. 795–809. doi:10.1111/1467-9868.00265
Label switching in Bayesian mixture models: artificial ordering constraints do not solve the problem in general; the paper proposes algorithms that relabel the states.
Cited in: Regime methodology: how the hidden Markov model works · Glossary: Label switching
Stevens (1993) · King Icahn: The Biography of a Renegade Capitalist
Stevens, Mark. Dutton.
A biography of Carl Icahn: the takeover battles of the 1980s, including the takeover of the airline TWA.
Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons
Stewart et al. (2009) · Absence of Value: An Analysis of Investment Allocation Decisions by Institutional Plan Sponsors
Stewart, Scott D.; Neumann, John J.; Knittel, Christopher R.; Heisler, Jeffrey. Financial Analysts Journal 65 (6), pp. 34–51. doi:10.2469/faj.v65.n6.4
Based on 80,000 annual observations of institutional products from 1984 to 2007: products with inflows performed worse over the following one, three and five years than products with outflows.
Cited in: RFP and mandate awards: how institutional investors select asset managers
Stock and Watson (2002) · Macroeconomic Forecasting Using Diffusion Indexes
Stock, James H.; Watson, Mark W.. Journal of Business & Economic Statistics 20 (2), pp. 147–162. doi:10.1198/073500102317351921
Condenses 215 macroeconomic series into a few indices using principal components (factor model); in simulated real time from 1970 to 1998, their forecasts for eight US monthly series beat autoregressions, small VAR models and leading-indicator models.
Cited in: Economic pulse: how Portfolio Lab calculates early indicators
Stoimenov and Wilkens (2005) · Are structured products ‘fairly’ priced? An analysis of the German market for equity-linked instruments
Stoimenov, Pavel A.; Wilkens, Sascha. Journal of Banking & Finance 29 (12), pp. 2971–2993. doi:10.1016/j.jbankfin.2004.11.001
Examines the pricing of equity-linked investment certificates in the German market; the life-cycle hypothesis of issuer margins goes back to this paper (as cited by Entrop, Scholz and Wilkens 2009).
DAX Methodology (2026) · DAX Equity Index Methodology Guide
STOXX Ltd.. STOXX, August 2026 version; accessed October 26, 2026. Source
Rules for the DAX, MDAX, SDAX and TecDAX: ranking by free-float market capitalization, quarterly fast entry and fast exit, semi-annual regular entry and exit, an EBITDA criterion for the DAX and capping at 15%.
Cited in: The index effect: what happens to prices when stocks join or leave an index · Glossary: Fast entry and fast exit
STOXX (2026) · STOXX Country Classification
STOXX Ltd.. STOXX, web page with the results of the 2026-Q1 review; accessed October 25, 2026. Source
STOXX reviews the classification of all countries once a year in the first quarter, announces changes by April and implements them with a review in the third quarter.
Cited in: Index providers and valuation points: why the same index is calculated differently
Sullivan et al. (1999) · Data-Snooping, Technical Trading Rule Performance, and the Bootstrap
Sullivan, Ryan; Timmermann, Allan; White, Halbert. The Journal of Finance 54 (5), pp. 1647–1691. doi:10.1111/0022-1082.00163
Applies the Reality Check to thousands of technical trading rules on the Dow Jones and corrects for data snooping.
Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects · Technical analysis, chart patterns and candlesticks from a quant perspective · Glossary: White's Reality Check
Sullivan et al. (2001) · Dangers of data mining: The case of calendar effects in stock returns
Sullivan, Ryan; Timmermann, Allan; White, Halbert. Journal of Econometrics 105 (1), pp. 249–286. doi:10.1016/S0304-4076(01)00077-X
About 100 years of daily data and a bootstrap over the full universe of conceivable calendar rules: calendar effects that are highly significant on their own are no longer significant once the search is taken into account.
Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects · Glossary: Calendar effect
Svensson (1994) · Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994
Svensson, Lars. National Bureau of Economic Research, Working Paper 4871. doi:10.3386/w4871
Extends Nelson-Siegel with a second hump; this is how the Bundesbank and the ECB estimate their yield curves.
Cited in: Duration: how strongly bonds react to interest rates · Yield curve: what the term structure reveals and why an inverted curve is seen as a warning sign · Glossary: Nelson-Siegel model · Glossary: Svensson model
Swensen (2000) · Pioneering Portfolio Management: An Unconventional Approach to Institutional Investment
Swensen, David F.. Free Press.
How Yale University's endowment spreads its assets across many asset classes (the endowment model).
Cited in: 60/40 portfolio: the classic mix of equities and bonds · Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Glossary: Endowment model
ESTV (2026) · Verrechnungssteuer (VST); Rückerstattung für Personen mit Wohnsitz in Deutschland (Formular 85) [Swiss withholding tax (WHT); refund for persons resident in Germany (Form 85)]
Swiss Federal Tax Administration. Swiss Federal Tax Administration, updated September 22, 2026; accessed October 25, 2026. Source
Switzerland levies a 35% withholding tax (Verrechnungssteuer) on investment income; non-residents can partly reclaim it, depending on the tax treaty, within three years of the end of the year in which it fell due, and residents of Germany can do so online with Form 85.
Cited in: Glossary: Withholding tax refund · Glossary: Swiss withholding tax (Verrechnungssteuer)
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