Risk Factors for the Swiss Stock Market
This page contains the updated risk factor data from the article
Ammann, M. Steiner, M., Risk Factors for the Swiss Stock Market, Swiss Journal of Economics and Statistics, vol. 144, no. 1, 2008, pp. 1-35.
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 risk factors are country-specific. For these reasons, this paper develops and analyses these 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 a negative size premium of –0.67% p.a. and a positive value premium of 2.35% p.a. Both, however, show a time-varying character. The momentum effect is the most pronounced with a premium of 10.33% p.a. The results are robust and validated by a comparison to data from the US. Furthermore, we find that the explanatory power of the factors is high, confirming their relevance to the Swiss stock market.
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Manuel Ammann (english)
Website of Manuel Ammann (deutsch)