Predictability of the Swiss Stock Market with Respect to Style: Thesis Universität St. Gallen, 2010 - Softcover

Scheurle, Patrick

 
9783834921918: Predictability of the Swiss Stock Market with Respect to Style: Thesis Universität St. Gallen, 2010
Softcover
ISBN 10: 3834921912 ISBN 13: 9783834921918
Verlag: Gabler, 2010

Inhaltsangabe

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 risk induce return predictability.

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Über die Autorin bzw. den Autor

Dr. Patrick Scheurle obtained his doctorate with Prof. Dr. Dr. h.c. Klaus Spremann at the University of St. Gallen.

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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.

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Verlag
Gabler
Erscheinungsdatum
2010
Sprache
Englisch
ISBN 10 
3834921912
ISBN 13 
9783834921918
Einband
Taschenbuch
Anzahl der Seiten
192
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