Monetary policy and asset pricing in the Swiss equity market

Fil: Alonso, Agustín Andrés. Universidad de San Andrés. Escuela de Administración y Negocios; Argentina.

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Detalles Bibliográficos
Autor principal:	Alonso, Agustín Andrés
Otros Autores:	Warnes, Ignacio
Formato:	Tesis Tesis de maestría updatedVersion
Lenguaje:	Inglés
Publicado:	Universidad de San Andrés. Escuela de Administración y Negocios. 2015
Materias:	Monetary policy > Switzerland > Mathematical models. Stock exchanges > Switzerland > Mathematical models. Política monetaria > Suiza > Modelos matemáticos. Bolsa de valores > Suiza > Modelos matemáticos.
Acceso en línea:	http://hdl.handle.net/10908/10804 http://hdl.handle.net/10908/10804
Aporte de:	Repositorio Digital - Universidad de San Andrés (UdeSa) de Universidad de San Andrés

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spelling	I37-R143-10908-108042022-11-29T18:59:22Z Monetary policy and asset pricing in the Swiss equity market Alonso, Agustín Andrés Warnes, Ignacio Monetary policy -- Switzerland -- Mathematical models. Stock exchanges -- Switzerland -- Mathematical models. Política monetaria -- Suiza -- Modelos matemáticos. Bolsa de valores -- Suiza -- Modelos matemáticos. Fil: Alonso, Agustín Andrés. Universidad de San Andrés. Escuela de Administración y Negocios; Argentina. Researchers have identi ed many patterns in average stock returns which are not explained by the Capital Asset Pricing Model (CAPM) de- veloped by Sharpe (1964) and Lintner (1965). Such patterns are called anomalies and previous work focused on nding powerful risk factors which could capture them. This paper aims to test the three-factor model proposed by Fama and French (1993) for the Swiss Equity Market between 2000 and 2012. The model says that the expected return on a portfolio in excess of the risk-free rate is also explained by the di erence between the return on a portfolio of small stocks and the return on a portfolio of large stocks and the di erence between the return on a portfolio of high-book-to-market stocks and the return on a portfolio of low-book-to- market stocks. Furthermore, this paper will study the in uence of Swiss National Bank (SNB) Monetary Policy in the risk factors of such model. 2015-02-03T19:07:18Z 2015-02-03T19:07:18Z 2014-03 Tesis info:eu-repo/semantics/masterThesis info:ar-repo/semantics/tesis de maestría info:eu-repo/semantics/updatedVersion http://hdl.handle.net/10908/10804 http://hdl.handle.net/10908/10804 eng info:eu-repo/semantics/openAccess https://creativecommons.org/licenses/by-nc-nd/4.0/ application/pdf Universidad de San Andrés. Escuela de Administración y Negocios.
institution	Universidad de San Andrés
institution_str	I-37
repository_str	R-143
collection	Repositorio Digital - Universidad de San Andrés (UdeSa)
language	Inglés
topic	Monetary policy -- Switzerland -- Mathematical models. Stock exchanges -- Switzerland -- Mathematical models. Política monetaria -- Suiza -- Modelos matemáticos. Bolsa de valores -- Suiza -- Modelos matemáticos.
spellingShingle	Monetary policy -- Switzerland -- Mathematical models. Stock exchanges -- Switzerland -- Mathematical models. Política monetaria -- Suiza -- Modelos matemáticos. Bolsa de valores -- Suiza -- Modelos matemáticos. Alonso, Agustín Andrés Monetary policy and asset pricing in the Swiss equity market
topic_facet	Monetary policy -- Switzerland -- Mathematical models. Stock exchanges -- Switzerland -- Mathematical models. Política monetaria -- Suiza -- Modelos matemáticos. Bolsa de valores -- Suiza -- Modelos matemáticos.
description	Fil: Alonso, Agustín Andrés. Universidad de San Andrés. Escuela de Administración y Negocios; Argentina.
author2	Warnes, Ignacio
author_facet	Warnes, Ignacio Alonso, Agustín Andrés
format	Tesis Tesis de maestría Tesis de maestría updatedVersion
author	Alonso, Agustín Andrés
author_sort	Alonso, Agustín Andrés
title	Monetary policy and asset pricing in the Swiss equity market
title_short	Monetary policy and asset pricing in the Swiss equity market
title_full	Monetary policy and asset pricing in the Swiss equity market
title_fullStr	Monetary policy and asset pricing in the Swiss equity market
title_full_unstemmed	Monetary policy and asset pricing in the Swiss equity market
title_sort	monetary policy and asset pricing in the swiss equity market
publisher	Universidad de San Andrés. Escuela de Administración y Negocios.
publishDate	2015
url	http://hdl.handle.net/10908/10804 http://hdl.handle.net/10908/10804
work_keys_str_mv	AT alonsoagustinandres monetarypolicyandassetpricingintheswissequitymarket
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Monetary policy and asset pricing in the Swiss equity market

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