Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/185961
Authors: 
Hock, Thorsten
Year of Publication: 
2010
Citation: 
[Journal:] Swiss Journal of Economics and Statistics [ISSN:] 2235-6282 [Volume:] 146 [Year:] 2010 [Issue:] 3 [Pages:] 553-576
Abstract: 
The size premium, defined as the return differential between shares of small and large companies, is subject to cyclical fluctuations. This study examines the predictability of this premium for the Swiss stock market applying a new and flexible forecasting approach. Our strategies provide promising information ratios. The results show that risk variables (VIX, TED spread, etc.), the performance of the S&P 500 and statistical variables such as AR(1) terms or trends prove to be successful forecasting variables in our algorithm. Furthermore, variables that sum up the consensus estimates of equity analysts (IBES) make valuable forecast contributions.
Subjects: 
Size Effect
Portfolio Mangement
Taktical Asset Allocation
Futures-Overlay
JEL: 
G10
G11
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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