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| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | CAPM vs. Multifactor Models: Evidence from Switzerland |
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| Institution | University of Zurich |
| Faculty | Faculty of Economics, Business Administration and Information Technology |
| Number of Pages | 24 |
| Date | 2013 |
| Abstract Text | The main purpose of this thesis is to investigate the explanatory power of three popular asset pricing models â the CAPM, the Fama/French three-factor model and the Carhart four-factor model â by using time-series regressions of excess returns on nine stock portfolios sorted by size and book-to-market ratio over the period between January 2004 and December 2011 for the Swiss Stock Market. According to a cost-benefit analysis on the convenience of switching from a simpler model to a more complex one, it turns out that the Fama/French three-factor model is the best compromise. On average, it can explain 78% of variations in Swiss stock returns, namely about 15 percentage points higher than the CAPM and about only 1 percentage point lower then the Carhart four-factor model |
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