Predictability of the Swiss Stock Market with Respect to Style

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 resear...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριος συγγραφέας: Scheurle, Patrick (Συγγραφέας)
Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: Wiesbaden : Gabler, 2010.
Θέματα:
Διαθέσιμο Online:Full Text via HEAL-Link
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082 0 4 |a 336  |2 23 
100 1 |a Scheurle, Patrick.  |e author. 
245 1 0 |a Predictability of the Swiss Stock Market with Respect to Style  |h [electronic resource] /  |c by Patrick Scheurle. 
264 1 |a Wiesbaden :  |b Gabler,  |c 2010. 
300 |a XXIII, 165 p. 10 illus.  |b online resource. 
336 |a text  |b txt  |2 rdacontent 
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505 0 |a Literature Review -- Return Predictability and the Real Economy -- Study Design and Data -- Empirical Part I – Testing for Predictability -- Forecasting Models -- Empirical Part II – Investment Strategies -- Conclusion. 
520 |a 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. 
650 0 |a Finance. 
650 0 |a Public finance. 
650 1 4 |a Economics. 
650 2 4 |a Public Economics. 
650 2 4 |a Finance, general. 
710 2 |a SpringerLink (Online service) 
773 0 |t Springer eBooks 
776 0 8 |i Printed edition:  |z 9783834921918 
856 4 0 |u http://dx.doi.org/10.1007/978-3-8349-8729-7  |z Full Text via HEAL-Link 
912 |a ZDB-2-SBE 
950 |a Business and Economics (Springer-11643)