Predictability of the Swiss Stock Market with Respect to Style - Couverture souple

Scheurle, Patrick

 
9783834921918: Predictability of the Swiss Stock Market with Respect to Style
Couverture souple
ISBN 10 : 3834921912 ISBN 13 : 9783834921918
Editeur : Gabler, 2010

Synopsis

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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À propos de l?auteur

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

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Gabler
Date d'édition
2010
Langue
anglais
ISBN 10 
3834921912
ISBN 13 
9783834921918
Reliure
Broché
Nombre de pages
192
Coordonnées du fabricant
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