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Risk Factors for the Swiss Stock Market

Swiss Journal of Economics and Statistics volume 144, pages 1–35 (2008)Cite this article

Summary

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 risk factors are country-specific. For these reasons, this paper develops and analyses these 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 a negative size premium of −0.67% p.a. and a positive value premium of 2.35% p.a. Both, however, show a time-varying character. The momentum effect is the most pronounced with a premium of 10.33% p.a. The results are robust and validated by a comparison to data from the US. Furthermore, we find that the explanatory power of the factors is high, confirming their relevance to the Swiss stock market.

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Author information

Affiliations

  1. Professor of Finance, Schweizerisches Institut für Banken und Finanzen, Rosenbergstrasse 52, CH-9000, St. Gallen, Switzerland

    Manuel Ammann

  2. Professor of Finance, University of St. Gallen, St. Gallen, Switzerland

    Manuel Ammann

  3. Wegelin & Co. Privatbankiers, Bohl 17, CH-9004, St. Gallen, Switzerland

    Michael Steiner

Authors
  1. Manuel Ammann
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  2. Michael Steiner
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Corresponding author

Correspondence to Manuel Ammann.

Additional information

Michael Steiner is writing his doctoral thesis at the University of St. Gallen and works for Wegelin & Co. Private Bankers.

The authors would like to thank Hato Schmeiser, the participants of the “Topics in Finance”-seminar at the University of St. Gallen, and the anonymous referees for their valuable comments. An updated version of the monthly risk factors is available on www.ammannsteiner.ch.

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Open Access This article is distributed under the terms of the Creative Commons Attribution 2.0 International License ( https://creativecommons.org/licenses/by/2.0 ), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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Ammann, M., Steiner, M. Risk Factors for the Swiss Stock Market. Swiss J Economics Statistics 144, 1–35 (2008). https://doi.org/10.1007/BF03399247

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Keywords

  • Fama French
  • Carhart
  • Risk factors
  • Value
  • Size
  • Momentum
  • Switzerland

JEL-Classification

  • G11
  • G12
  • G15