Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | SMALL-CAP PREMIUM LONG-TERM PERFORMANCE ON THE SWISS STOCK MARKET OVER THE PAST 21 YEARS |
| Organization Unit | |
| Authors |
|
| Supervisors |
|
| Language |
|
| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 33 |
| Date | 2022 |
| Abstract Text | In this study, I examine the validity of the small-cap premium (i.e., the size effect) from 2000 to 2021, using the Swiss Performance Index (SPI) to represent the Swiss stock market. I sort SPI stocks in terms of size (market capitalisation) and value (book-to-market ratio). Then, I construct six portfolios based on these categories to analyse the size effect in relation to performance, as well as statistically. I find that the small market capitalisation portfolio and low bookto-market ratio portfolio returns significantly outperform the benchmark (SPI) over the 21-year period, with this effect amplified during the COVID-19 pandemic. However, I find no significant statistical size effect across the six portfolios. |
| Export |
BibTeX
|