Predictability of the Swiss Stock Market with Respect to Style
There is evidence of fairly strong serial correlation in small caps and a lead-lag relationship between large caps and small caps. Moreover, the discussion of a risk premium for cyclical risks which are captured by small caps and value stocks make style p
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GABLER RESEARCH
Patrick Scheurle
Predictability of the Swiss Stock Market with Respect to Style
RESEARCH
Bibliographic information published by the Deutsche Nationalbibliothek The Deutsche Nationalbibliothek lists this publication in the Deutsche Nationalbibliografie; detailed bibliographic data are available in the Internet at http://dnb.d-nb.de.
Dissertation Universität St. Gallen, 2010
1st Edition 2010 All rights reserved © Gabler | GWV Fachverlage GmbH, Wiesbaden 2010 Editorial Office: Ute Wrasmann | Sabine Schöller Gabler is part of the specialist publishing group Springer Science+Business Media. www.gabler.de No part of this publication may be reproduced, stored in a retrieval system or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording, or otherwise, without the prior written permission of the copyright holder. Registered and/or industrial names, trade names, trade descriptions etc. cited in this publication are part of the law for trade-mark protection and may not be used free in any form or by any means even if this is not specifically marked. Cover design: KünkelLopka Medienentwicklung, Heidelberg Printed on acid-free paper Printed in Germany ISBN 978-3-8349-2191-8
Preface
V
Preface A prerequisite for a doctoral thesis is an initial idea that merits examination. My studies at the University of St.Gallen allowed me to develop such an idea. In particular, I am grateful to having met Professor Klaus Spremann who inspired me and who helped me to link my passion for finance to academic challenges. It was and still is a great experience to work with him. Hence, first and foremost, my deepest gratitude goes to Professor Klaus Spremann. I also thank Professor Andreas Grüner for cosupervising this study and adding to it with his thoughtful comments and suggestions. My time as a research associate at the Swiss Institute of Banking and Finance was enriched by my colleagues. I thank Alexander Bönner, Roman Frick, Lin Gao, Markus Harlacher, Sebastian Lang, Roman Meyer, and Marina Piantoni for a positive and stimulating working environment. Likewise I thank Professor Pascal Gantenbein for valuable conversations on finance and beyond. Moreover, I thank all participants of our internal research seminars for their constructive feedback. I am also thankful to Nadine Balmer, Olga Beregova, Thomas Hug, Nepomuk Feser, Béatrice Peier and Marc Wink for lively discussions on many topics. A special thank goes to Stephan Hostettler who provided me with useful and generous support. On this note I thank Matthias Bachmann, Roger Bundi, Daniel Gasser, and Andreas Waser for their long lasting friendship which helped keeping the mental balance while working on this dissertation. Finally, I thank my godfather Hans-Jörg Widmer, my grandfather Max Höliner, my father Eugen, my mother Maya, and my brother Thomas for their unlimited encouragement and support. Their contribution to the success of this thesis is invaluable.
Zurich, November 2009
Patrick Scheurle
Overview of Contents
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