Druck auf Anfrage Neuware - Printed after ordering - 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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Bibliographic Details

Title: Predictability of the Swiss Stock Market with Respect to Style
Publisher: Gabler Verlag, Gabler Verlag
Publication Date: 2010
Language: English
ISBN 10: 3834921912
ISBN 13: 9783834921918
Binding: Taschenbuch
Condition: Neu
Dimensions: 210 millimeters width by 148 millimeters height by 13 millimeters depth
Weight: 286 grams

About this title

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 risks might induce return predictability.

About the Author

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

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