Predictability of the Swiss Stock Market with Respect to Style
Scheurle, Patrick.
Predictability of the Swiss Stock Market with Respect to Style [recurso electrónico] / by Patrick Scheurle. - XXIII, 165p. 10 illus. online resource.
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.
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.
9783834987297
Economics.
Banks and banking.
Economics/Management Science.
Finance /Banking.
HG1-9999 HG4501-6051 HG1501-HG3550
657.8333 658.152
Predictability of the Swiss Stock Market with Respect to Style [recurso electrónico] / by Patrick Scheurle. - XXIII, 165p. 10 illus. online resource.
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.
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.
9783834987297
Economics.
Banks and banking.
Economics/Management Science.
Finance /Banking.
HG1-9999 HG4501-6051 HG1501-HG3550
657.8333 658.152
