Predictability of the Swiss Stock Market with Respect to Style

• Κύριος συγγραφέας: Scheurle, Patrick (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Wiesbaden : Gabler, 2010.
• Θέματα: Finance.; Public finance.; Economics.; Public Economics.; Finance, general.

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...

Πίνακας περιεχομένων:

• 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.