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Type Bachelor's Thesis
Scope Discipline-based scholarship
Title Timing Equity Markets using the Yield Curve: An Empirical Analysis of the US and Swiss Equity Markets
Organization Unit
Authors
  • Rado Milovanovic
Supervisors
  • Markus Leippold
  • Sandro Braun
  • Benjamin Wilding
Language
  • English
Institution University of Zurich
Faculty Faculty of Business, Economics and Informatics
Number of Pages 42
Date 2022
Abstract Text This study aims to test the predictive power of the United States and Swiss equity markets based on the term structure of the yield curve. For this purpose, the principal components of the yield curve were applied in a probit regression model to establish a market timing strategy from December 1994 to April 2022. The results suggest that the yield curve has some explanatory power for both countries in the six to twelve-month prediction horizon. The developed market timing strategy based on the model could not generate excess returns in an out-of-sample backtest.
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