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dc.contributor.authorHock, Thorstenen
dc.date.accessioned2008-03-11-
dc.date.accessioned2010-08-17T12:38:40Z-
dc.date.available2010-08-17T12:38:40Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aUniversity of Würzburg, Department of Economics |cWürzburgen
dc.relation.ispartofseries|aW.E.P. - Würzburg Economic Papers |x77en
dc.subject.ddc330en
dc.subject.stwKapitalertragen
dc.subject.stwBörsenkursen
dc.subject.stwBetriebsgrößeen
dc.subject.stwKlein- und Mittelunternehmenen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwTheorieen
dc.subject.stwSchweizen
dc.titleTactical size rotation in Switzerland-
dc.type|aWorking Paperen
dc.identifier.ppn559702396en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:wuewep:77en

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