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Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market

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  • Dr. Thomas Nitschka

Abstract

Bonds of Swiss non-government borrowers offered higher daily excess returns ('alphas') than suggested by their sensitivities to standard risk factors over the sample period from 2007 to 2014. By contrast, comparable bonds (same currency denomination and credit rating category) issued by foreign entities did not offer significant risk-adjusted returns and exhibited markedly different sensitivities to Swiss and global risk factors. However, the positive risk-adjusted returns on Swiss bonds disappear when controlling for measures of uncertainty such as stock price volatility. Swiss bond prices rose when stock market volatility was high thus offering insurance in times of uncertainty.

Suggested Citation

  • Dr. Thomas Nitschka, 2014. "Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market," Working Papers 2014-13, Swiss National Bank.
    • Handle: RePEc:snb:snbwpa:2014-13
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    File URL: https://www.snb.ch/en/publications/research/working-papers/2014/working_paper_2014_13
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    Cited by:

    1. Nicolas Stoffels & Cédric Tille, 2018. "Do Swiss foreign assets hedge the business cycle?," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, vol. 69(01), pages 1-40, December.
    2. Agust n S. B n trix & Philip R. Lane, "undated". "Cross-Country Exposures to the Swiss Franc," Trinity Economics Papers tep0116, Trinity College Dublin, Department of Economics.
    3. Agustín S. Bénétrix & Philip R. Lane, "undated". "Cross-Country Exposures to the Swiss Franc," Trinity Economics Papers tep0116, Trinity College Dublin, Department of Economics.

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    More about this item

    Keywords

    bond return; risk factors; uncertainty;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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