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Predictability of the Swiss Stock Market with Respect to Style

  • Book
  • © 2010

Overview

Authors:
  1. Patrick Scheurle
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Table of contents (8 chapters)

  1. Front Matter

    Pages I-XXIII
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  2. Introduction

    • Patrick Scheurle
    Pages 1-5

  3. Literature Review

    • Patrick Scheurle
    Pages 6-18

  4. Return Predictability and the Real Economy

    • Patrick Scheurle
    Pages 19-32

  5. Study Design and Data

    • Patrick Scheurle
    Pages 33-46

  6. Empirical Part I – Testing for Predictability

    • Patrick Scheurle
    Pages 47-78

  7. Forecasting Models

    • Patrick Scheurle
    Pages 79-95

  8. Empirical Part II – Investment Strategies

    • Patrick Scheurle
    Pages 96-138

  9. Conclusion

    • Patrick Scheurle
    Pages 139-144

  10. Back Matter

    Pages 145-165
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Keywords

About this book

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.

About the author

Dr. Patrick Scheurle obtained his doctorate with Prof. Dr. Dr. h.c. Klaus Spremann at the University of St. Gallen.

Bibliographic Information

  • Book Title: Predictability of the Swiss Stock Market with Respect to Style

  • Authors: Patrick Scheurle

  • DOI: https://doi.org/10.1007/978-3-8349-8729-7

  • Publisher: Gabler Verlag Wiesbaden

  • eBook Packages: Business and Economics, Economics and Finance (R0)

  • Copyright Information: Gabler Verlag | Springer Fachmedien Wiesbaden GmbH, Wiesbaden 2010

  • Softcover ISBN: 978-3-8349-2191-8Published: 24 February 2010

  • eBook ISBN: 978-3-8349-8729-7Published: 03 July 2010

  • Edition Number: 1

  • Number of Pages: XXIII, 165

  • Number of Illustrations: 10 b/w illustrations

  • Topics: Public Economics, Finance, general

  • Industry Sectors: Finance, Business & Banking

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