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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 stocks make style portfolios particularly interesting for research. Patrick Scheurle investigates refined market segments such as small value stocks or large growth stocks with respect to return predictability. The empirical research reveals significant positive first-order serial correlation in the returns of large value stocks, large neutral stocks, small neutral stocks, and small growth stocks. The evidence found supports the view that time-varying risk premia for cyclical risks might induce return predictability.
List of contents
Literature Review.- Return Predictability and the Real Economy.- Study Design and Data.- Empirical Part I - Testing for Predictability.- Forecasting Models.- Empirical Part II - Investment Strategies.- Conclusion.
About the author
Dr. Patrick Scheurle, Jg. 1981, ist wissenschaftlicher Mitarbeiter am Schweizerischen Institut für Banken und Finanzen der Universität St. Gallen. Er hält einen Bachelor in Business Administration und einen Masterabschluss in Accounting and Finance; 2010 Promotion zum Dr. oec. HSG. Forschungsaufenthalte 2009 und 2010 an der Singapore Management University. Gewinner des Ph.D. Study Award Singapore 2010 der St. Galler Kantonalbank. Seine Forschungsinteressen umfassen insbesondere Kapitalmärkte und Asset Management. Erfahrung in der Praxis sammelte Scheurle unter anderem als Performance Analyst bei einer Schweizer Privatbank sowie als Finanzanalyst bei einer Unternehmensberatung.
