Predictability of the Swiss Stock Market with Respect to Style

There is evidence of fairly strong serial correlation in small caps and a lead-lag relationship between large caps and small caps. Moreover, the discussion of a risk premium for cyclical risks which are captured by small caps and value sks make style portfolios particularly interesting for research. Patrick Scheurle investigates refined market segments such as small value sks or large growth sks with respect to return predictability. The empirical research reveals significant positive first...