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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Risk Factors and the Cross-Section of Swiss Stock Returns |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 47 |
| Date | 2021 |
| Abstract Text | This Thesis examines how risk factors are priced in Switzerland from 1991 to 2019. Firstly, the Carhart four-factor model is applied, nding positive premiums for value and momentum and a negative premium for size. Momentum performs steadily throughout the whole period, while, consistent with international ndings, value stocks did not outperform growth stocks in the last decade. All Carhart factors improve the explanation of returns and are relevant to the Swiss market. Secondly, the model is extended with an international fear factor, and consistent with theory I nd that global fear is priced on the Swiss stock market and that stocks with low sensitivity to global uncertainty exhibit lower returns. |
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