Risk Factors for the Swiss Stock Market
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Eugene F. Fama & Kenneth R. French, 1998.
"Value versus Growth: The International Evidence,"
Journal of Finance,
American Finance Association, vol. 53(6), pages 1975-1999, December.
- Eugene F. Fama & Kenneth R. French, "undated". "Value Versus Growth: The International Evidence," CRSP working papers 449, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Eugene F. Fama & Kenneth R. French, "undated". "Value versus Growth: The International Evidence," CRSP working papers 341, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Cauchie, Severine & Hoesli, Martin & Isakov, Dusan, 2004.
"The determinants of stock returns in a small open economy,"
International Review of Economics & Finance, Elsevier, vol. 13(2), pages 167-185.
- Séverine CAUCHIE & Martin HOESLI & Dušan ISAKOV, 2003. "The Determinants of Stock Returns in a Small Open Economy," FAME Research Paper Series rp54, International Center for Financial Asset Management and Engineering.
- Gabriel Hawawini & Donald B. Keim, "undated".
"The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings,"
Rodney L. White Center for Financial Research Working Papers
08-99, Wharton School Rodney L. White Center for Financial Research.
- Gabriel Hawawini & Donald B. Keim, "undated". "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 7-97, Wharton School Rodney L. White Center for Financial Research.
- Gabriel Hawawini & Donald B. Keim, "undated". "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 07-97, Wharton School Rodney L. White Center for Financial Research.
- Hawawini, G. & Keim, D.B., 1997. "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," INSEAD 97/66, INSEAD, Centre for the Management of Environmental Resources. The European Institute of Business Administration..
- Gabriel Hawawini & Donald B. Keim, "undated". "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 8-99, Wharton School Rodney L. White Center for Financial Research.
- Laurent Barras & Olivier Scaillet & Russ Wermers, 2010.
"False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas,"
Journal of Finance, American Finance Association, vol. 65(1), pages 179-216, February.
- Olivier Scaillet & Laurent Barras & Russell R. Wermers, 2005. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," Working Papers CEB 05-014.RS, ULB -- Universite Libre de Bruxelles.
- Barras, Laurent & Scaillet, Olivier & Wermers, Russ, 2009. "False discoveries in mutual fund performance: Measuring luck in estimated alphas," CFR Working Papers 06-02, University of Cologne, Centre for Financial Research (CFR).
- Laurent BARRAS & Olivier SCAILLET & Russ WERMERS, 2008. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," Swiss Finance Institute Research Paper Series 08-18, Swiss Finance Institute.
- Laurent BARRAS & Olivier SCAILLET & Russ WERMERS, 2005. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," FAME Research Paper Series rp163, International Center for Financial Asset Management and Engineering.
- John M. Griffin, 2002. "Are the Fama and French Factors Global or Country Specific?," The Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 783-803.
- Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
- Joseph Chen & Harrison Hong, 2002. "Discussion of "Momentum and Autocorrelation in Stock Returns"," The Review of Financial Studies, Society for Financial Studies, vol. 15(2), pages 565-574, March.
- Chan, Louis K. C. & Karceski, Jason & Lakonishok, Josef, 1998. "The Risk and Return from Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(2), pages 159-188, June.
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994.
"Contrarian Investment, Extrapolation, and Risk,"
Journal of Finance, American Finance Association, vol. 49(5), pages 1541-1578, December.
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1993. "Contrarian Investment, Extrapolation, and Risk," Working Papers 84, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994. "Contrarian Investment, Extrapolation, and Risk," Scholarly Articles 30721347, Harvard University Department of Economics.
- Josef Lakonishok & Robert W. Vishny & Andrei Shleifer, 1993. "Contrarian Investment, Extrapolation, and Risk," NBER Working Papers 4360, National Bureau of Economic Research, Inc.
- Daniel, Kent & Titman, Sheridan, 1997.
"Evidence on the Characteristics of Cross Sectional Variation in Stock Returns,"
Journal of Finance, American Finance Association, vol. 52(1), pages 1-33, March.
- Kent Daniel & Sheridan Titman, 1996. "Evidence on the Characteristics of Cross Sectional Variation in Stock Returns," NBER Working Papers 5604, National Bureau of Economic Research, Inc.
- K. Geert Rouwenhorst, 1998.
"International Momentum Strategies,"
Journal of Finance,
American Finance Association, vol. 53(1), pages 267-284, February.
- K. Rouwenhorst, 1996. "International Momentum Strategies," Yale School of Management Working Papers ysm36, Yale School of Management, revised 01 Feb 2008.
- Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
- Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
- Eric Ghysels, 1998. "On Stable Factor Structures in the Pricing of Risk: Do Time-Varying Betas Help or Hurt?," Journal of Finance, American Finance Association, vol. 53(2), pages 549-573, April.
- Ralitsa Petkova, 2006. "Do the Fama–French Factors Proxy for Innovations in Predictive Variables?," Journal of Finance, American Finance Association, vol. 61(2), pages 581-612, April.
- Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- Nicolas P. B. Bollen, 2005. "Short-Term Persistence in Mutual Fund Performance," The Review of Financial Studies, Society for Financial Studies, vol. 18(2), pages 569-597.
- Liew, Jimmy & Vassalou, Maria, 2000. "Can book-to-market, size and momentum be risk factors that predict economic growth?," Journal of Financial Economics, Elsevier, vol. 57(2), pages 221-245, August.
- Ferson, Wayne E & Schadt, Rudi W, 1996. "Measuring Fund Strategy and Performance in Changing Economic Conditions," Journal of Finance, American Finance Association, vol. 51(2), pages 425-461, June.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
- Jonathan Lewellen, 2002. "Momentum and Autocorrelation in Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 15(2), pages 533-564, March.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Colin T. Bowers & Chris Heaton, 2013. "What does high-dimensional factor analysis tell us about risk factors in the Australian stock market?," Applied Economics, Taylor & Francis Journals, vol. 45(11), pages 1395-1404, April.
- Eugster, Nicolas & Isakov, Dušan, 2019.
"Founding family ownership, stock market returns, and agency problems,"
Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
- Eugster, Nicolas & Isakov, Dusan, 2017. "Founding family ownership,stock market returns, and agency problems," FSES Working Papers 490, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
- Nicolas Eugster & Dušan Isakov, 2019. "Founding family ownership, stock market returns, and agency problems," Post-Print hal-02511063, HAL.
- Hanauer, Matthias & Kaserer, Christoph & Rapp, Marc Steffen, 2011. "Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)," CEFS Working Paper Series 2011-01, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
- Michael Steiner, 2009. "Predicting premiums for the market, size, value, and momentum factors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(2), pages 137-155, June.
- Manuel Ammann & Andreas Zingg, 2008. "Investment Performance of Swiss Pension Funds and Investment Foundations," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 144(II), pages 153-195, June.
- Peter S. Schmidt & Urs von Arx & Andreas Schrimpf & Alexander F. Wagner & Andreas Ziegler, 2019. "Common risk factors in international stock markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(3), pages 213-241, September.
- Thorsten Hock, 2010. "Tactical Size Rotation in Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 146(III), pages 553-576, September.
- Manuel Ammann & Michael Steiner, 2009. "The Performance of Actively and Passively Managed Swiss Equity Funds," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 145(I), pages 1-36, March.
- Florian Mueller, 2014. "Portfolio Performance Implications of Environmental, Social and Governance based Asset Selection," Working Papers 2014-02, Faculty of Economic Sciences, University of Warsaw.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Artmann, Sabine & Finter, Philipp & Kempf, Alexander, 2010. "Determinants of expected stock returns: Large sample evidence from the German market," CFR Working Papers 10-01, University of Cologne, Centre for Financial Research (CFR).
- Sabine Artmann & Philipp Finter & Alexander Kempf & Stefan Koch & Erik Theissen, 2012.
"The Cross-Section of German Stock Returns: New Data and New Evidence,"
Schmalenbach Business Review (sbr), LMU Munich School of Management, vol. 64(1), pages 20-43, January.
- Artmann, Sabine & Finter, Philipp & Kempf, Alexander & Koch, Stefan & Theissen, Erik, 2010. "The cross-Section of German stock returns: New data and new evidence," CFR Working Papers 10-12, University of Cologne, Centre for Financial Research (CFR).
- Artmann, Sabine & Finter, Philipp & Kempf, Alexander, 2011. "Determinants of expected stock returns: Large sample evidence from the German market," CFR Working Papers 10-01 [rev.], University of Cologne, Centre for Financial Research (CFR).
- Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
- Keith Lam & Frank Li, 2008. "The risk premiums of the four-factor asset pricing model in the Hong Kong stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 18(20), pages 1667-1680.
- Fletcher, Jonathan & Hillier, Joe, 2002. "On the usefulness of linear factor models in predicting expected returns in mean-variance analysis," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 449-466.
- Avanidhar Subrahmanyam, 2010. "The Cross†Section of Expected Stock Returns: What Have We Learnt from the Past Twenty†Five Years of Research?," European Financial Management, European Financial Management Association, vol. 16(1), pages 27-42, January.
- Christian Walkshäusl & Sebastian Lobe, 2014. "The Alternative Three†Factor Model: An Alternative beyond US Markets?," European Financial Management, European Financial Management Association, vol. 20(1), pages 33-70, January.
- Rob Bauer & Mathijs Cosemans & Peter C. Schotman, 2010. "Conditional Asset Pricing and Stock Market Anomalies in Europe," European Financial Management, European Financial Management Association, vol. 16(2), pages 165-190, March.
- Waszczuk, Antonina, 2013. "A risk-based explanation of return patterns—Evidence from the Polish stock market," Emerging Markets Review, Elsevier, vol. 15(C), pages 186-210.
- Dionysia Dionysiou, 2015. "Choosing Among Alternative Long-Run Event-Study Techniques," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 158-198, February.
- Stephen A. Gorman & Frank J. Fabozzi, 2021. "The ABC’s of the alternative risk premium: academic roots," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 405-436, October.
- Chou, Pin-Huang & Ko, Kuan-Cheng & Lin, Shinn-Juh, 2010. "Do relative leverage and relative distress really explain size and book-to-market anomalies?," Journal of Financial Markets, Elsevier, vol. 13(1), pages 77-100, February.
- Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
- Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, December.
- Stefan Nagel, 2013.
"Empirical Cross-Sectional Asset Pricing,"
Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
- Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
- Nagel, Stefan, 2012. "Empirical Cross-Sectional Asset Pricing," CEPR Discussion Papers 9227, C.E.P.R. Discussion Papers.
- Israel, Ronen & Moskowitz, Tobias J., 2013. "The role of shorting, firm size, and time on market anomalies," Journal of Financial Economics, Elsevier, vol. 108(2), pages 275-301.
- David R Gallagher & Peter A Gardner & Camille H Schmidt, 2015. "Style factor timing: An application to the portfolio holdings of US fund managers," Australian Journal of Management, Australian School of Business, vol. 40(2), pages 318-350, May.
- Fama, Eugene F. & French, Kenneth R., 2012. "Size, value, and momentum in international stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 457-472.
- De Moor, Lieven & Sercu, Piet, 2013.
"The smallest firm effect: An international study,"
Journal of International Money and Finance, Elsevier, vol. 32(C), pages 129-155.
- De Moor, Lieven & Sercu, Piet, 2011. "The Smallest Firm Effect: an International Study," Working Papers 2011/18, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
More about this item
Keywords
Fama French; Carhart; Value; Momentum; Switzerland;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ses:arsjes:2008-i-1. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kurt Schmidheiny (email available below). General contact details of provider: https://edirc.repec.org/data/sgvssea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.