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Risk Factors for the Swiss Stock Market

  • Manuel Ammann
  • Michael Steiner

The four risk factors controlling for the market, size, value and momentum effect have become a state-of-the-art framework for various applications in financial markets research. However, previous work shows that these broadly recognized factors are country-specific. This paper develops and analyses the factors for the Swiss stock market from January 1990 to December 2005, building on a high quality dataset and taking into account specific characteristics of the Swiss stock market. We find robust premiums that are validated by comparisons to literature and US-data. The explanatory power of the factors is high, confirming their relevance to the Swiss stock market.

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Article provided by Swiss Society of Economics and Statistics (SSES) in its journal Swiss Journal of Economics and Statistics.

Volume (Year): 144 (2008)
Issue (Month): I (March)
Pages: 1-35

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Handle: RePEc:ses:arsjes:2008-i-1
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