Swiss Journal of Economics and Statistics

, Volume 144, Issue 1, pp 1–35 | Cite as

Risk Factors for the Swiss Stock Market

Open Access


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 risk factors are country-specific. For these reasons, this paper develops and analyses these 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 a negative size premium of −0.67% p.a. and a positive value premium of 2.35% p.a. Both, however, show a time-varying character. The momentum effect is the most pronounced with a premium of 10.33% p.a. The results are robust and validated by a comparison to data from the US. Furthermore, we find that the explanatory power of the factors is high, confirming their relevance to the Swiss stock market.


Fama French Carhart Risk factors Value Size Momentum Switzerland 


G11 G12 G15 


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Copyright information

© Swiss Journal of Economics and Statistics 2008

Authors and Affiliations

  1. 1.Schweizerisches Institut für Banken und FinanzenSt. GallenSwitzerland
  2. 2.University of St. GallenSt. GallenSwitzerland
  3. 3.Wegelin & Co. PrivatbankiersSt. GallenSwitzerland

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