Risk Factors for the Swiss Stock Market

33 Pages Posted: 31 Jan 2008 Last revised: 22 Apr 2016

See all articles by Manuel Ammann

Manuel Ammann

University of St. Gallen - School of Finance

Michael Steiner

Wegelin & Co., Private Bankers

Date Written: January 1, 2008


The four risk factors controlling for the market, size, value, and momentum effect have become a state-of-the-art framework for various applications in financial markets research. However, previous work shows that these broadly recognized risk factors are country-specific. For these reasons, this paper develops and analyses these factors for the Swiss stock market from January 1990 to December 2005, building on a high quality dataset and taking into account specific characteristics of the Swiss stock market. We find a negative size premium of -0.67% p.a. and a positive value premium of 2.35% p.a. Both, however, show a time-varying character. The momentum effect is the most pronounced with a premium of 10.33% p.a. The results are robust and validated by a comparison to data from the US. Furthermore, we find that the explanatory power of the factors is high, confirming their relevance to the Swiss stock market.

Keywords: Fama, French, Carhart, Risk factors, Value, Size, Momentum, Switzerland

JEL Classification: G11, G12, G15

Suggested Citation

Ammann, Manuel and Steiner, Michael, Risk Factors for the Swiss Stock Market (January 1, 2008). Available at SSRN: https://ssrn.com/abstract=1088379 or http://dx.doi.org/10.2139/ssrn.1088379

Manuel Ammann (Contact Author)

University of St. Gallen - School of Finance ( email )

Unterer Graben 21
St.Gallen, CH-9000

Michael Steiner

Wegelin & Co., Private Bankers ( email )

Bohl 17
CH-9000 St. Gallen

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