Predictability of the Swiss Stock Market with Respect to Style

  • Authors
  • Patrick Scheurle

Table of contents

  1. Front Matter
    Pages I-XXIII
  2. Patrick Scheurle
    Pages 1-5
  3. Patrick Scheurle
    Pages 6-18
  4. Patrick Scheurle
    Pages 19-32
  5. Patrick Scheurle
    Pages 33-46
  6. Patrick Scheurle
    Pages 79-95
  7. Patrick Scheurle
    Pages 96-138
  8. Patrick Scheurle
    Pages 139-144
  9. Back Matter
    Pages 145-165

About this book

Introduction

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.

Keywords

Aktienmarkt Business Cycle Börse Portfolio Return Predictability Stock market Style Investing

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-8349-8729-7
  • Copyright Information Gabler Verlag | GWV Fachverlage GmbH, Wiesbaden 2010
  • Publisher Name Gabler
  • eBook Packages Business and Economics
  • Print ISBN 978-3-8349-2191-8
  • Online ISBN 978-3-8349-8729-7
  • About this book