Predictability of the Swiss Stock Market with Respect to Style
by Patrick Scheurle
| Year of publication: |
2010
|
|---|---|
| Authors: | Scheurle, Patrick |
| Publisher: |
Wiesbaden : Gabler Verlag / GWV Fachverlage GmbH, Wiesbaden |
| Subject: | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Strategie | Strategy | Finanzanalyse | Financial analysis | Schätzung | Estimation | Aktienmarkt | Stock market | Schweiz | Switzerland | Vorhersagbarkeit | Portfolio Selection | 1993-2008 |
| Description of contents: | Table of Contents [external.dandelon.com] ; Description [swbplus.bsz-bw.de] |
| Extent: | Online-Ressource (XXIII, 165p. 10 illus, digital) |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Literaturverz. S. 151 - 165 Preface; Overview of Contents; Contents; Executive Summary; Executive Summary (German); List of Figures; List of Tables; Notations and Abbreviations; 1. Introduction; 1.1. Motivation; 1.2. Research Idea; 1.3. Outline; 2. Literature Review; 2.1. Structure of Literature Review; 2.2. Factor-Mimicking Portfolios and Macroeconomics; 2.3. Literature on Return Predictability; 2.3.1. Macroeconomic Variables; 2.3.2. Valuation Ratios; 2.3.3. Accounting Data; 2.3.4. Calendar Anomalies; 2.3.5. Serial Correlation and Momentum; 3. Return Predictability and the Real Economy; 3.1. Efficient Market Hypothesis 3.2. Random Walk3.3. Predictability and Cyclical Risks; 3.3.1. Does the Efficient Market Hypothesis Hold?; 3.3.2. Time-Varying Risk Premia; 3.3.3. Investors and Return Predictability; 3.4. Style Investing; 3.4.1. Approaches for the Allocation of Funds; 3.4.2. Reasons for Emerging and Vanishing Styles; 3.4.3. Reasons for Following Style Investing; 3.4.4. Risks and Reward of Style-Based Investment Strategies; 4. Study Design and Data; 4.1. Research Methodology; 4.2. Data; 4.3. Construction of Fama-French Portfolios; 4.4. Descriptive Statistics; 5. Empirical Part I - Testing for Predictability 5.1. Hypothesis I5.2. Autocorrelation Coefficients and Variance Ratios; 5.3. Results; 5.3.1. Autocorrelation Coefficients; 5.3.2. Variance Ratios; 5.4. Summary of Empirical Part I; 6. Forecasting Models; 6.1. Implied and Estimated Cross-Autocorrelation; 6.2. Basic Forecasting Models; 6.3. Robustness and Possible Refinements; 7. Empirical Part II - Investment Strategies; 7.1. Hypothesis II; 7.2. Overview; 7.3. Calibration Windows and Investment Process; 7.4. Performance Measurement; 7.5. Style Rotation Strategies - 4 Style Portfolios; 7.5.1. Fixed Predictor Portfolios 7.5.2. Changing Predictor Portfolios7.6. Style Rotation Strategies - 6 Style Portfolios; 7.6.1. Fixed Predictor Portfolios; 7.6.2. Changing Predictor Portfolios; 7.7. Summary of Empirical Part II; 8. Conclusion; 8.1. Summary of Findings; 8.2. Implications for Practice; 8.3. Research Outlook; Appendix; A1. Variance Ratios (q=4); A2. Style Rotation Strategies (1a to 3b) vs. SMALL; A3. Style Rotation Strategies (4a to 6b) vs. SMALL; A4. Style Rotation Strategies (1a_6 to 3b_6) vs. SH; A5. Style Rotation Strategies (4a_6 to 6b_6) vs. SH; References |
| ISBN: | 978-3-8349-8729-7 ; 978-3-8349-2191-8 |
| Other identifiers: | 10.1007/978-3-8349-8729-7 [DOI] |
| Classification: | Geld, Inflation, Kapitalmarkt |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013522809