Risk factors, fund performance, and prediction in the Swiss stock market:
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Hochschulschrift/Dissertation Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
2009
|
| Schlagwörter: | |
| Links: | http://www.gbv.de/dms/zbw/610285734.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018687364&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | XI, 167 S. graph. Darst. |
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Datensatz im Suchindex
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|---|---|
| adam_text | Titel: Risk factors, fund performance, and prediction in the Swiss stock market
Autor: Steiner, Michael
Jahr: 2009
Contents
1. Introduction........................................................................................................1
1.1. Preliminary Considerations..........................................................................1
1.2. Objectives and Motivations..........................................................................2
1.3. Contributions................................................................................................3
1.3.1. RiskFactors forthe Swiss StockMarket..............................................3
1.3.2. Performance of Actively and Passively Managed Swiss Equity Funds 4
1.3.3. Predicting Market, Size, Value, andMomentum Premiums................4
1.4. Structure.......................................................................................................4
2. Risk Factors for the Swiss Stock Market.........................................................7
2.1. Introduction..................................................................................................7
2.2. Carhart Risk Factors.....................................................................................9
2.3. Factor Construction....................................................................................12
2.3.1. Data.....................................................................................................12
2.3.2. Methodology........................................................................................14
2.4. Resulting Factor Premiums........................................................................18
2.4.1. Characteristics.....................................................................................18
2.4.2. Robustness..........................................................................................28
2.4.3. Comparison to US Premiums..............................................................44
2.4.4. Explanatory Power..............................................................................46
2.5. Conclusion..................................................................................................49
3. Performance of Actively and Passively Managed Swiss Equity Funds ......51
3.1. Introduction................................................................................................51
3.2. Literature Review..........................................,............................................53
3.3. Data.............................................................................................................55
3.4. Methodology..............................................................................................58
3.5. Empirical Results.......................................................................................
3.5.1. Passive Funds vs. Index......................................................................
71
3.5.2. Active Funds vs. Index.......................................................................
3.5.3. Single Funds vs. Index........................................................................76
80
3.5.4. Active Funds vs. Passive Funds..........................................................
3.5.5. Active SPI-, SMI- and Small Mid-Cap Funds vs. Passive Funds.... 86
92
3.6. Conclusion..................................................................................................
4. Predicting Market, Size, Value, and Momentum Premiums.......................9S
95
4.1. Introduction................................................................................................
4.2. Data............................................................................................................
4.3. The Simple Case: Methodology...............................................................103
4.4. The Simple Case: Empirical Results........................................................106
4.5. The Orthogonal Case: Methodology........................................................108
4.6. The Orthogonal Case: Empirical Results.................................................109
4.6.1. Empirical Results from the US Sample............................................109
4.6.2. Robustness: Empirical Results from the Swiss Sample....................* *2
4.7. Conclusion................................................................................................^4
5. Conclusion....................................................................................................... ¦
Appendix A...........................,___.........................................................................1^3
Appendix B..........................................................................................................¦ *31
Appendix C............................................................................................................13S
Bibliography.................................................................„..................................... 155
VI
List of Tables
2.1 Yearly number of companies included in the calculation database.................13
2.2 Comparison of the SPI and the market constructed from the database........14
2.3 Premiums of the Swiss factors based on quarterly rebalancing......................21
2.4 Premiums of the Swiss factors for different subperiods based on quarterly
rebalancing......................................................................................................22
2.5 Correlations of monthly premiums of the Swiss factors.................................23
2.6 Premiums of the Swiss factors for different rebalancing horizons..................30
2.7 Correlations of the Swiss factor premiums from different rebalancing
horizons...........................................................................................................31
2.8 Premiums of the Swiss factors calculated from databases excluding
different size groups........................................................................................33
2.9 Correlations of the Swiss factor premiums calculated from databases
excluding different size groups.......................................................................34
2.10 Premiums of the Swiss factors for construction methodologies based on 8,
12, or 27 subportfolios....................................................................................35
2.11 Correlations of factor premiums for construction methodologies based on 8,
12, or 27 subportfolios....................................................................................36
2.12 Premiums of the Swiss factors for value- and equally-weighted construction
methodologies........,....................................................................„..„....,........, 37
2.13 Correlations of factor premiums for value- and equally-weighted
construction methodologies....,....................................................................... 38
2.14 Correlations of the Swiss factor premiums from equally-weighted
39
calculation scenarios........................................................................................J
2.15 Premiums of the Swiss factors for different levels of outlier-elimination......41
2.16 January seasonally of the Swiss factor premiums..........................................43
2.17 Premiums of the US factors............................................................................45
2.18 Correlations of monthly premiums of the Swiss and the US factors..............46
2.19 Explanatory power of the factors with respect to the returns of the eight
suhportfolios...............................................................•....................................
3.1 Break-down of the analyzed funds by benchmark, client segment, activity,
and survival.....................................................................................................J
3.2 Yearly number of analyzed mutual funds at the end of each year..................58
3.3 Definitions of the subgroups and subperiods analyzed...................................61
3.4 Estimation of the survivorship bias for the active funds in the database........62
3.5 Annualized performance of the funds and regression factor loadings............65
3.6 Annualized performance of the funds compared to their benchmark index.... 66
3.7 Annualized performance of passive funds compared to their benchmark
index................................................................................................................68
3.8 Annualized performance of passive institutional and retail funds compared
to their benchmark index............................,.............................................•......69
3.9 Aimualized performance of the ETFs and regression factor loadings
compared to the SMI..,...................................................................................-. 70
3.10 Annualized performance of active funds compared to their benchmark
index......,......................................................................................,..................73
3.11 Annualized performance of active institutional and retail funds compared to
their benchmark index................................................,......................,....,„......75
3.12 Annualized performance of all single funds compared to their benchmark
index............,..............................,....................................................,........77
vm
3.13 Annualized performance of active, benchmark-grouped funds compared to
the benchmark portfolio of all corresponding passive funds...........................83
3.14 Annualized performance of active institutional and retail funds compared to
the corresponding benchmark portfolio of passive funds................................85
3.15 Annualized performance of active institutional and retail SPI-Funds
compared to the benchmark portfolio of all passive SPI-Funds......................88
3.16 Annualized performance of active institutional and retail SMI-Funds
compared to the benchmark portfolio of all passive SMI-Funds....................89
3.17 Annualized performance of active institutional and retail SMC-Funds
compared to the benchmark portfolio of the passive SMIM-Fund.................90
3.18 Performance comparison by location of fund manager (Swiss vs. foreign).... 91
4.1 Description of the US- and Swiss-specific premiums...................................100
4.2 Description of the US predictive variables....................................................101
4.3 Description of the Swiss predictive variables................................................102
4.4 Summarized results of all predictive models for US data (simple case).......107
4.5 The model selection approach for the prediction of the US-premiums
(simple case)..................................................................................................108
4.6 Summarized results of all predictive models for US data (orthogonal case). 110
4.7 The model selection approach for the prediction of the US-premiums
(orthogonal case)............................................................................................Ill
4.8 Robustness test for orthogonal case: Summarized results of all predictive
models for Swiss data....................................................................................114
Al Yearly premiums of the Swiss factor model based on quarterly rebalancingl23
A2 Monthly premiums of the Swiss factor model based on quarterly
rebalancing.....................................................................................................124
IX
A3 Yearly returns of all subportfolios, the Swiss Performance Index (SPI),
and the market constructed from the database...........................................129
Bl Annualized performance of all active funds compared to the
corresponding indices and passive funds, dependent on data availability.....133
Cl Descriptive statistics of the US models with predictive ability (simple
case)...............................................................................................................1^5
C2 Descriptive statistics of all significant, predictive US models (simple case) 136
C3 Descriptive statistics of the US models with predictive ability (orthogonal
case)...............................................................................................................139
C4 Descriptive statistics of all significant predictive US models (orthogonal
case)............................................................,..................................................140
C5 Robustness test for orthogonal case: The model selection approach for the
prediction of the Swiss-specific premiums....................................................143
C6 Robustness test for orthogonal case: Descriptive statistics of the Swiss
models with predictive ability (ARMSE 0)...............................................• 144
C7 Robustness test for orthogonal case; Descriptive statistics of all
significant, predictive Swiss models..............................................................145
List of Figures
2.1 Cumulative premiums of the four Swiss factors.............................................25
2.2 Cumulative premiums and 95% confidence bounds.......................................26
3.1 Distribution of the factor loadings of all single funds.....................................78
XI
|
| any_adam_object | 1 |
| author | Steiner, Michael 1976- |
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| discipline | Wirtschaftswissenschaften |
| era | Geschichte 1989-2007 gnd |
| era_facet | Geschichte 1989-2007 |
| format | Thesis Book |
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| id | DE-604.BV035828778 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T14:01:08Z |
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| physical | XI, 167 S. graph. Darst. |
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| spellingShingle | Steiner, Michael 1976- Risk factors, fund performance, and prediction in the Swiss stock market Investmentfonds stw Kapitalertrag stw Prognoseverfahren stw Risikoprämie stw Schweiz stw Prognosequalität (DE-588)4115643-2 gnd Risikoprämie (DE-588)4178227-6 gnd Performance Kapitalanlage (DE-588)4219415-5 gnd Wertpapiermarkt (DE-588)4189708-0 gnd Aktienmarkt (DE-588)4130931-5 gnd |
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| title | Risk factors, fund performance, and prediction in the Swiss stock market |
| title_auth | Risk factors, fund performance, and prediction in the Swiss stock market |
| title_exact_search | Risk factors, fund performance, and prediction in the Swiss stock market |
| title_full | Risk factors, fund performance, and prediction in the Swiss stock market submitted by Michael Steiner |
| title_fullStr | Risk factors, fund performance, and prediction in the Swiss stock market submitted by Michael Steiner |
| title_full_unstemmed | Risk factors, fund performance, and prediction in the Swiss stock market submitted by Michael Steiner |
| title_short | Risk factors, fund performance, and prediction in the Swiss stock market |
| title_sort | risk factors fund performance and prediction in the swiss stock market |
| topic | Investmentfonds stw Kapitalertrag stw Prognoseverfahren stw Risikoprämie stw Schweiz stw Prognosequalität (DE-588)4115643-2 gnd Risikoprämie (DE-588)4178227-6 gnd Performance Kapitalanlage (DE-588)4219415-5 gnd Wertpapiermarkt (DE-588)4189708-0 gnd Aktienmarkt (DE-588)4130931-5 gnd |
| topic_facet | Investmentfonds Kapitalertrag Prognoseverfahren Risikoprämie Schweiz Prognosequalität Performance Kapitalanlage Wertpapiermarkt Aktienmarkt Aufsatzsammlung Hochschulschrift |
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