Monetary policy and asset pricing in the Swiss equity market
| dc.contributor.Mentor | Warnes, Ignacio | |
| dc.creator.Autor | Alonso, Agustín Andrés | |
| dc.date.accessioned | 2015-02-03T19:07:18Z | |
| dc.date.available | 2015-02-03T19:07:18Z | |
| dc.date.issued | 2014-03 | |
| dc.description | Fil: Alonso, Agustín Andrés. Universidad de San Andrés. Escuela de Administración y Negocios; Argentina. | |
| dc.description.abstract | Researchers have identi ed many patterns in average stock returns which are not explained by the Capital Asset Pricing Model (CAPM) developed by Sharpe (1964) and Lintner (1965). Such patterns are called anomalies and previous work focused on nding powerful risk factors which could capture them. This paper aims to test the three-factor model proposed by Fama and French (1993) for the Swiss Equity Market between 2000 and 2012. The model says that the expected return on a portfolio in excess of the risk-free rate is also explained by the di erence between the return on a portfolio of small stocks and the return on a portfolio of large stocks and the di erence between the return on a portfolio of high-book-to-market stocks and the return on a portfolio of low-book-to-market stocks. Furthermore, this paper will study the influence of Swiss National Bank (SNB) Monetary Policy in the risk factors of such model. | |
| dc.format | application/pdf | |
| dc.identifier.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 | |
| dc.identifier.uri | http://hdl.handle.net/10908/10804 | |
| dc.language | eng | |
| dc.publisher | Universidad de San Andrés. Escuela de Administración y Negocios. | |
| dc.rights | info:eu-repo/semantics/openAccess | |
| dc.rights | https://creativecommons.org/licenses/by-nc-nd/4.0/ | |
| dc.subject | Monetary policy -- Switzerland -- Mathematical models. | |
| dc.subject | Stock exchanges -- Switzerland -- Mathematical models. | |
| dc.subject | Política monetaria -- Suiza -- Modelos matemáticos. | |
| dc.subject | Bolsa de valores -- Suiza -- Modelos matemáticos. | |
| dc.title | Monetary policy and asset pricing in the Swiss equity market | |
| dc.type | Tesis | |
| dc.type | info:eu-repo/semantics/masterThesis | |
| dc.type | info:ar-repo/semantics/tesis de maestría | |
| dc.type | info:eu-repo/semantics/updatedVersion |