Predictability of the Swiss Stock Market with Respect to Style
1st Edition
Published on 3. July 2010
XXIII, 165 pages
978-3-8349-8729-7 (ISBN)
Description
There is evidence of fairly strong serial correlation in small caps and a lead-lag relationship between large caps and small caps. Moreover, the discussion of a risk premium for cyclical risks which are captured by small caps and value stocks make style portfolios particularly interesting for research. Patrick Scheurle investigates refined market segments such as small value stocks or large growth stocks with respect to return predictability. The empirical research reveals significant positive first-order serial correlation in the returns of large value stocks, large neutral stocks, small neutral stocks, and small growth stocks. The evidence found supports the view that time-varying risk premia for cyclical risks might induce return predictability.
More details
Series
Language
English
Place of publication
Wiesbaden
Germany
Publishing group
Betriebswirtschaftlicher Verlag Gabler
Target group
Professional and scholarly
Illustrations
XXIII, 165 p. 10 illus.
File size
0,92 MB
ISBN-13
978-3-8349-8729-7 (9783834987297)
DOI
10.1007/978-3-8349-8729-7
Schweitzer Classification
Other editions
Additional editions
Patrick Scheurle
Predictability of the Swiss Stock Market with Respect to Style
Book
02/2010
1st Edition
Springer Gabler
€53.49
Shipment within 7-9 days
Person
Dr. Patrick Scheurle obtained his doctorate with Prof. Dr. Dr. h.c. Klaus Spremann at the University of St. Gallen.
Content
Literature Review.- Return Predictability and the Real Economy.- Study Design and Data.- Empirical Part I - Testing for Predictability.- Forecasting Models.- Empirical Part II - Investment Strategies.- Conclusion.
