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.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Swiss Journal of Economics and Statistics ; ISSN: 2235-6282 ; Volume: 144 ; Year: 2008 ; Issue: 1 ; Pages: 1-35 ; Heidelberg: Springer
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
International Financial Markets
- Thema
-
Fama French
Carhart
Value
Momentum
Switzerland
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ammann, Manuel
Steiner, Michael
- Ereignis
-
Veröffentlichung
- (wer)
-
Springer
- (wo)
-
Heidelberg
- (wann)
-
2008
- DOI
-
doi:10.1007/BF03399247
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Ammann, Manuel
- Steiner, Michael
- Springer
Entstanden
- 2008
Ähnliche Objekte (12)
Insider Trading in the Swiss Stock Market
Strategic Asset Allocation and the Risk of the Stock Market in the Long Run : A Critical Evaluation of Stock Market Predictability and Estimation Risk for the Swiss and O.S. Stock Market
Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market
Factors inhibiting effective risk management in emerging market SMEs
Estimating a Stock-Flow Model for the Swiss Housing Market
Predictability of the Swiss stock market with respect to style
Empirical risk factors in realized stock returns
Choosing factors for the Vietnamese stock market
Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Privatisation, political risk and stock market development in emerging economies
Privatization, Political Risk and Stock Market Development in Emerging Economies
Irreversible post-translational modifications – Emerging cardiovascular risk factors
Insider Trading in the Swiss Stock Market
Strategic Asset Allocation and the Risk of the Stock Market in the Long Run : A Critical Evaluation of Stock Market Predictability and Estimation Risk for the Swiss and O.S. Stock Market
Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market
Factors inhibiting effective risk management in emerging market SMEs
Estimating a Stock-Flow Model for the Swiss Housing Market
Predictability of the Swiss stock market with respect to style
Empirical risk factors in realized stock returns
Choosing factors for the Vietnamese stock market
Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Privatisation, political risk and stock market development in emerging economies
Privatization, Political Risk and Stock Market Development in Emerging Economies
Irreversible post-translational modifications – Emerging cardiovascular risk factors
Insider Trading in the Swiss Stock Market
Strategic Asset Allocation and the Risk of the Stock Market in the Long Run : A Critical Evaluation of Stock Market Predictability and Estimation Risk for the Swiss and O.S. Stock Market
Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market
Factors inhibiting effective risk management in emerging market SMEs
Estimating a Stock-Flow Model for the Swiss Housing Market
Predictability of the Swiss stock market with respect to style
Empirical risk factors in realized stock returns
Choosing factors for the Vietnamese stock market
Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Privatisation, political risk and stock market development in emerging economies
Privatization, Political Risk and Stock Market Development in Emerging Economies