Refine my results

The determinants of stock returns in a small open economy

Cauchie, Séverine ; Hoesli, Martin ; Isakov, Dušan

In: EFMA 2003 Helsinki Meeting, 2003, p. 1-31

This paper examines the determinants of stock returns in a small open economy using an APT framework. The analysis is conducted for the Swiss stock market which has the particularity of including a large proportion of firms that are exposed to foreign economic conditions. Both a statistical and a macroeconomic implementation of the model are performed for the period 1986-2002 with monthly returns...