Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/38817
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dc.contributor.authorHock, Thorstenen_US
dc.date.accessioned2008-03-11en_US
dc.date.accessioned2010-08-17T12:38:40Z-
dc.date.available2010-08-17T12:38:40Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/38817-
dc.description.abstractThe size premium, defined as the outperformance of equities of small and medium-sized companies compared with the shares of large companies, is subject to strong cyclical fluctuations over time. This study examines the predictability of this premium for the Swiss stock market. The forecasts used are developed applying a flexible forecasting approach that is based on time variable multi-factor models. Our strategies provide information ratios significantly greater than 1 for a maximum real-time application of a good seven years. The results show that risk variables such as the credit spread and TED spread, the performance of the S&P 500 and statistical variables such as AR(1) terms or trends calculated using the Hodrick-Presscot filter prove to be successful forecasting variables in our algorithm. Furthermore, variables that sum up the consensus estimates of equity analysts (IBES) for various size portfolios can sometimes make valuable forecast contributions.en_US
dc.language.isoengen_US
dc.publisher|aUniv., Lehrstuhl für VWL 1 |cWürzburgen_US
dc.relation.ispartofseries|aWürzburg economic papers |x77en_US
dc.subject.ddc330en_US
dc.subject.stwKapitalertragen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwBetriebsgrößeen_US
dc.subject.stwKlein- und Mittelunternehmenen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwTheorieen_US
dc.subject.stwSchweizen_US
dc.titleTactical size rotation in Switzerlanden_US
dc.type|aWorking Paperen_US
dc.identifier.ppn559702396en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:wuewep:77-

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