This paper examines the determinants of stock returns in a small open economy using an APT framework. The analysis is conducted for the Swiss stock market which has the particularity of including a large proportion of firms that are exposed to foreign economic conditions.

As institutions in most countries are faced with limits pertaining to investment in the various asset classes, the free flow of funds from one investment class to another is curtailed and hence segmentation may arise among asset classes. In this study, we focus on the integration of securitized...