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.
Abstract:
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.
Website of
Manuel Ammann (english)
Website of Manuel
Ammann (deutsch)
Website of Michael Steiner
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