Risk Factors for the Swiss Stock Market
Journal
Swiss Journal of Economics and Statistics
ISSN
0303-9692
Type
journal article
Date Issued
2008-01-01
Author(s)
Abstract
The four risk factors controlling for the market, size, value, and momentum effect have become a state-of-the-art framework for various applications in financial markets research. However, previous work shows that these broadly recognized risk factors are country-specific. For these reasons, this paper develops and analyses these factors for the Swiss stock market from January 1990 to December 2005, building on a high quality dataset and taking into account specific characteristics of the Swiss stock market. We find a negative size premium of -0.67% p.a. and a positive value premium of 2.35% p.a. Both, however, show a time-varying character. The momentum effect is the most pronounced with a premium of 10.33% p.a. The results are robust and validated by a comparison to data from the US. Furthermore, we find that the explanatory power of the factors is high, confirming their relevance to the Swiss stock market.
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1088379
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1088379
Language
English
Keywords
Fama
French
Carhart
Risk factors
Value
Size
Momentum
Switzerland
HSG Classification
not classified
Refereed
Yes
Publisher
Lang
Publisher place
Bern
Volume
144
Number
1
Start page
1
End page
35
Pages
35
Subject(s)
Division(s)
Eprints ID
43060
File(s)![Thumbnail Image]()
Name
2008_SwJoEcSt_Risk Factors for the Swiss Stock Market.pdf
Size
208.03 KB
Format
Adobe PDF
Checksum (MD5)
a7879584213c8f8811bb99f454248bd9