ENGLISH

Predictability of the Swiss Stock Market with Respect to Style

By Patrick Scheurle (auth.)

Book information

Publisher
Gabler Verlag
Year
2010
ISBN
978-3-8349-2191-8, 978-3-8349-8729-7
DOI
10.1007/978-3-8349-8729-7
Language
english
Format
PDF
Filesize
547 kB (559860 bytes)
Edition
1
Pages
165\184
Orientation
yes
Scanned
yes
Time added
2013-08-01 04:00:00
Finance /Banking

Description

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.

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