IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Erklärt das Zyklusbeta Aktienrenditen?

Listed author(s):
  • Beatrice Bieri

    (Universität St. Gallen, Schweizerisches Institut für Banken und Finanzen, Rosenbergstraße 52, CH-9000 St. Gallen/Schweiz)

  • Klaus Spremann

    (Universität St. Gallen, Schweizerisches Institut für Banken und Finanzen, Rosenbergstraße 52, CH-9000 St. Gallen/Schweiz)

Registered author(s):

    In order to explain equity returns, the single index model (which corresponds to the CAPM) was extended in various ways to multi-factor models. Following Chen/ Roll/Ross, macroeconomic variables are the favorites for the additional factors. Fama/French (1993–1998) use the return of specially constructed long-short portfolios as additional factors. These portfolios, SMB (small minus big), and HML (high minus low) may be interpreted to represent the macroeconomic situation and the business cycle. Our work offers these results. First we calibrate the three factor model of Fama/ French for Swiss data. This is rewarding, because there is no HML effect in Switzerland, if recent data is used. We offer a (theoretical) explanation. Second, we study, whether SMB and HML may be „aggregated“. For this purpose, we define a single factor which captures cyclical effects in the capital market. We compare the power of this cyclical factor using data for the US, and Switzerland, respectively. Furthermore, we compare two single factor models. One uses the forementioned cyclical factor and the respective exposure, the so-called cycle beta. The other uses the classical market risk.

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Article provided by Credit and Capital Markets in its journal Kredit und Kapital.

    Volume (Year): 43 (2010)
    Issue (Month): 1 ()
    Pages: 125-147

    in new window

    Handle: RePEc:kuk:journl:v:43:y:2010:i:1:p:125-147
    Contact details of provider: Web page:

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:kuk:journl:v:43:y:2010:i:1:p:125-147. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Credit and Capital Markets)

    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 references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.