| dc.contributor | Warnes, Ignacio | |
| dc.date.accessioned | 2015-02-03T19:07:18Z | |
| dc.date.available | 2015-02-03T19:07:18Z | |
| dc.date.created | 2015-02-03T19:07:18Z | |
| dc.date.issued | 2014-03 | |
| dc.identifier | http://hdl.handle.net/10908/10804 | |
| dc.description.abstract | Researchers have identi ed many patterns in average stock returns
which are not explained by the Capital Asset Pricing Model (CAPM) de-
veloped 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 in
uence of Swiss
National Bank (SNB) Monetary Policy in the risk factors of such model. | |
| 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 | |
