Predictability of the Swiss Stock Market with Respect to Style

• Main Author: Scheurle, Patrick (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Wiesbaden : Gabler, 2010.
• Subjects: 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...

Table of Contents:

• 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.