Tesis de Maestría en Finanzas

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Monetary policy and asset pricing in the Swiss equity market
(2014-03) Alonso, Agustín Andrés
Researchers have identi ed many patterns in average stock returns_x000D_ which are not explained by the Capital Asset Pricing Model (CAPM) de-_x000D_ veloped by Sharpe (1964) and Lintner (1965). Such patterns are called_x000D_ anomalies and previous work focused on nding powerful risk factors_x000D_ which could capture them. This paper aims to test the three-factor model_x000D_ proposed by Fama and French (1993) for the Swiss Equity Market between_x000D_ 2000 and 2012. The model says that the expected return on a portfolio_x000D_ in excess of the risk-free rate is also explained by the di erence between_x000D_ the return on a portfolio of small stocks and the return on a portfolio_x000D_ of large stocks and the di erence between the return on a portfolio of_x000D_ high-book-to-market stocks and the return on a portfolio of low-book-to-_x000D_ market stocks. Furthermore, this paper will study the in_x000D_ uence of Swiss_x000D_ National Bank (SNB) Monetary Policy in the risk factors of such model.