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_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. | |
| 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 |