Artikel
Risk Factors for the Swiss Stock Market
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 factors are country-specific. This paper develops and analyses the 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 robust premiums that are validated by comparisons to literature and US-data. The explanatory power of the factors is high, confirming their relevance to the Swiss stock market.
- Language
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Englisch
- Bibliographic citation
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Journal: Swiss Journal of Economics and Statistics ; ISSN: 2235-6282 ; Volume: 144 ; Year: 2008 ; Issue: 1 ; Pages: 1-35 ; Heidelberg: Springer
- Classification
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Wirtschaft
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
International Financial Markets
- Subject
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Fama French
Carhart
Value
Momentum
Switzerland
- Event
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Geistige Schöpfung
- (who)
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Ammann, Manuel
Steiner, Michael
- Event
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Veröffentlichung
- (who)
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Springer
- (where)
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Heidelberg
- (when)
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2008
- DOI
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doi:10.1007/BF03399247
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Ammann, Manuel
- Steiner, Michael
- Springer
Time of origin
- 2008
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