Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/185881
Authors: 
Ammann, Manuel
Steiner, Michael
Year of Publication: 
2008
Citation: 
[Journal:] Swiss Journal of Economics and Statistics [ISSN:] 2235-6282 [Volume:] 144 [Year:] 2008 [Issue:] 1 [Pages:] 1-35
Abstract: 
The four risk factors controlling for the market, size, value and momentum effect have become a state-of-the-art framework for various applications in financial markets research. However, previous work shows that these broadly recognized factors are country-specific. This paper develops and analyses the factors for the Swiss stock market from January 1990 to December 2005, building on a high quality dataset and taking into account specific characteristics of the Swiss stock market. We find robust premiums that are validated by comparisons to literature and US-data. The explanatory power of the factors is high, confirming their relevance to the Swiss stock market.
Subjects: 
Fama French
Carhart
Value
Momentum
Switzerland
JEL: 
G11
G12
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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