Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/185881 
Erscheinungsjahr: 
2008
Quellenangabe: 
[Journal:] Swiss Journal of Economics and Statistics [ISSN:] 2235-6282 [Volume:] 144 [Issue:] 1 [Publisher:] Springer [Place:] Heidelberg [Year:] 2008 [Pages:] 1-35
Verlag: 
Springer, Heidelberg
Zusammenfassung: 
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.
Schlagwörter: 
Fama French
Carhart
Value
Momentum
Switzerland
JEL: 
G11
G12
G15
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