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001 u377184
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007 cr nn 008mamaa
008 100701s2010 gw | s |||| 0|eng d
020 _a9783834987297
_9978-3-8349-8729-7
040 _cMX-MeUAM
050 4 _aHG1-9999
050 4 _aHG4501-6051
050 4 _aHG1501-HG3550
082 0 4 _a657.8333
_223
082 0 4 _a658.152
_223
100 1 _aScheurle, Patrick.
_eauthor.
245 1 0 _aPredictability of the Swiss Stock Market with Respect to Style
_h[recurso electrónico] /
_cby Patrick Scheurle.
264 1 _aWiesbaden :
_bGabler,
_c2010.
300 _aXXIII, 165p. 10 illus.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
505 0 _aLiterature 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.
520 _aThere 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.
650 0 _aEconomics.
650 0 _aBanks and banking.
650 1 4 _aEconomics/Management Science.
650 2 4 _aFinance /Banking.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783834921918
856 4 0 _zLibro electrónico
_uhttp://148.231.10.114:2048/login?url=http://link.springer.com/book/10.1007/978-3-8349-8729-7
596 _a19
942 _cLIBRO_ELEC
999 _c205064
_d205064