Risk Factors for the Swiss Stock Market

Manuel Ammann and Michael Steiner

Swiss Journal of Economics and Statistics (SJES), 2008, vol. 144, issue I, 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 factors are country-specific. This paper develops and analyses the 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 robust premiums that are validated by comparisons to literature and US-data. The explanatory power of the factors is high, confirming their relevance to the Swiss stock market.

Keywords: Fama French; Carhart; Value; Momentum; Switzerland (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:ses:arsjes:2008-i-1

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