Monetary policy and asset pricing in the Swiss equity market
Date
2014-03
Authors
Alonso, Agustín Andrés
relationships.isContributorOfPublication
Warnes, Ignacio
Journal Title
Journal ISSN
Volume Title
Publisher
Universidad de San Andrés. Escuela de Administración y Negocios.
Abstract
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.
Description
Fil: Alonso, Agustín Andrés. Universidad de San Andrés. Escuela de Administración y Negocios; Argentina.
Keywords
Monetary policy -- Switzerland -- Mathematical models. , Stock exchanges -- Switzerland -- Mathematical models. , Política monetaria -- Suiza -- Modelos matemáticos. , Bolsa de valores -- Suiza -- Modelos matemáticos.
Citation
Alonso, A. A. (2014). Monetary policy and asset pricing in the Swiss equity market. [Tesis de maestría, Universidad de San Andrés. Escuela de Administración y Negocios.]. Repositorio Digital San Andrés. http://hdl.handle.net/10908/10804