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Transaction Costs On The Swiss Stock Exchange
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Book Synopsis Transaction Costs on the Swiss Stock Exchange by : Angelo Ranaldo
Download or read book Transaction Costs on the Swiss Stock Exchange written by Angelo Ranaldo and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: I analyze the transaction costs on the Swiss Stock Exchange (SWX). Trading costs on the SWX are in line with the NYSE. The bid-ask spread components are examined in relation with market liquidity, trade size and the time of the day. The order processing costs are the largest cost component but the adverse selection and order persistence components are also significant. Adverse selection and processing costs affect to a wider extent less liquid stocks and characterize the afternoon trading. Also, the adverse selection (order processing) component increases (decreases) with trade size.
Book Synopsis The Swiss Equity Market by : Henri B. Meier
Download or read book The Swiss Equity Market written by Henri B. Meier and published by Praeger. This book was released on 1985 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book will familiarize the interested investor with Swiss equity shares at a time when they are becoming an attractive investment. It provides a short historical perspective and shows how trends detrimental to the equity market were broken in the mid-1970s and early 1980s. The performance of the Swiss equity market over time is revealed and the main determinants of share price cycles are investigated. A brief description of the history, organization, and significance of all Swiss stock exchanges is provided. The book also provides all the information a dealer requires concerning procedures and costs, trading hours, and types of transactions, as well as quotation lists and samples of individual billings. It describes how to deal at a Swiss stock exchange and how to list a share there. Foreign investors are instructed as to how to deal with their tax situation, legal restrictions upon the transfer of shares, and the implications of Swiss banking secrecy. Swiss corporate finance reporting and accounting practices are explained and interpreted. An Appendix provides an analysis of the shares of leading Swiss companies.
Book Synopsis Transaction Costs in Options Trading by : Ulrich Strohmeier
Download or read book Transaction Costs in Options Trading written by Ulrich Strohmeier and published by . This book was released on 2005 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Volume Based Portfolio Strategies by : Alexander Brändle
Download or read book Volume Based Portfolio Strategies written by Alexander Brändle and published by Springer Science & Business Media. This book was released on 2010-06-28 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alexander Brändle investigates the relationship between different measures of trading volume and returns in the Swiss stock market. He discovers that stocks with unusual trading volume in a given month experience systematically higher subsequent returns.
Book Synopsis Equity Markets in Action by : Robert A. Schwartz
Download or read book Equity Markets in Action written by Robert A. Schwartz and published by John Wiley & Sons. This book was released on 2004-10-06 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: An in-depth look at the nature of market making and exchanges From theory to practicalities, this is a comprehensive, up-to-date handbook and reference on how markets work and the nuances of trading. It includes a CD with an interactive trading simulation. Robert A. Schwartz, PhD (New York, NY), is Marvin M. Speiser Professor of Finance and University Distinguished Professor in the Zicklin School of Business, Baruch College, CUNY. Reto Francioni, PhD (Zurich, Switzerland), is President and Chairman of the Board of SWX, the Swiss Stock Exchange, and former co-CEO of Consors Discount Broker AG, Nuremberg.
Book Synopsis Banking in Switzerland by : Niklaus Blattner
Download or read book Banking in Switzerland written by Niklaus Blattner and published by Physica. This book was released on 1993-11-29 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book shows three specific characteristics: First, the focus of many of the investigations is on the analysis of micro data. As the issue of competitiveness is closely linked to the performance, the costs, and the efficiency of the production of financial services by individual banking firms, this extention of research was a natural step to take. Second, since "attractiveness" was identified as the core notion when discussing the competitiveness of international financial centres, a more detailed explanation of the presence of foreign financial institutions in Switzerland was sought. Third, in many ways results pointed to the importance of the off-balance sheet business when explaining the bank's performance. Hence, the effects of foreign competition on the Swiss stock markets were incorporated into the research. The problems encountered and the solutions found in this work will almost certainly prove stimulationfor those concentrating their efforts on the study of other international financial centres.
Book Synopsis Technical Trading in Switzerland - The Profitability of Moving Average and Pairs Trading Techniques in the Swiss Stock Market by :
Download or read book Technical Trading in Switzerland - The Profitability of Moving Average and Pairs Trading Techniques in the Swiss Stock Market written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The following thesis tests the profitability of Moving Average and Pairs Trading Strategies on the Swiss stock market. Behavioral Finance is found to provide a valid theoretical basis for short term trend-following and long term mean-reverting strategies. MA strategies are found to be profitable after incorporating trading costs and deliver significant alpha in the CAPM and the Fama-French 3-Factor Model. Bootstrap methodology unveils that the profitability cannot be explained by the two popular Null Models AR(1) and EGARCH(1,1). An Event Study broadly confirms abnormal returns following a technical trading signal, but the results are ambiguous. The Pairs Trading strategy is found to have predictive power over future returns when adjusting the standard criterion used for choosing pairs. However, it is not profitable anymore once accounted for trading costs. Both strategies see a decline in predictive power and profitability over time.
Book Synopsis Report; 4th by : Colorado State Board of Health
Download or read book Report; 4th written by Colorado State Board of Health and published by Legare Street Press. This book was released on 2021-09-09 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important and is part of the knowledge base of civilization as we know it. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. To ensure a quality reading experience, this work has been proofread and republished using a format that seamlessly blends the original graphical elements with text in an easy-to-read typeface. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Book Synopsis Information Processing on the Swiss Stock Market by : Manuel Ammann
Download or read book Information Processing on the Swiss Stock Market written by Manuel Ammann and published by . This book was released on 2016 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We conduct an event study to investigate the processing of information and the existence of insider trading on the Swiss stock market. Although Swiss laws are less restrictive than those of other countries, we find the empirical evidence for systematic insider trading before the publication of information to be fairly weak. Even for information producing large positive or negative returns upon publication, no statistically significant run-up returns can be detected. Regarding the processing of information, the Swiss market appears to be rather slow in incorporating new information into stock prices. We find significantly abnormal returns for approximately four days following the date of the publication of price-relevant information. Information with a large price impact seems to be processed faster than information with a small impact. The market value of a firm seems to have only a limited impact on the processing of information. Whereas the price impact of information is larger for small firms, the speed of information processing is not.
Download or read book Trading written by Susan Goldenberg and published by San Diego : Harcourt Brace Jovanovich. This book was released on 1986 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Banking in Switzerland by : Niklaus Blattner
Download or read book Banking in Switzerland written by Niklaus Blattner and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: Oliver Landmann Nobody needs to be convinced of the importance of banking for the Swiss economy. The financial sector grew well above average in the past decade and now accounts for almost 10 % of GDP. Compared to the economy-wide average, it creates more than double as much value added per employee and it is a major contributor to Swiss ex port revenues. But this is no cause for complacency. The industry is subjf:ct to rapid change as the competitive climate has become rougher nationally and internationally. Major structural weaknesses have corne to the surface which raise serious questions about the extent of the required structural adjustments. Thus, banking was an ideal candidate for a major case study in the framework of the National Research Programme No. 28 which is devoted to Switzerland's external economic challenges. The programme was commissioned by the Swiss government and is carried out by the Swiss National Science Foundation. The research project on the fmancial sector was directed by Professors Niklaus Blattner, Hans Genberg and Alexander Swoboda who assembled a team of research economists from the Graduate Institute of International Studies, the International Centre for Monetary and Banking Studies (both at Geneva) and the Labour and Industrial Economics Research Unit at the University of Basel. This joint research effort has yielded an impressive crop of descriptive data, analytical insights and policy-oriented conclusions.
Book Synopsis Alternative-weighted Index Performances by : Andreas Kuhn
Download or read book Alternative-weighted Index Performances written by Andreas Kuhn and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the performance of cap-weighted and alternative-weighted equity indexation using Swiss data. The study aims to convincingly identify which weighting technique generates the most efficient index in a mean-variance framework for a small market like Switzerland. To answer this question, we consider three alternative-weighted indices besides the cap-weighted index. These included the inverse-volatility-weighted, the equal-weighted as well as the maximum Sharpe ratio weighted index. The study is based on the time period from January 2001 to December 2014. Different periods are analyzed in order to test the efficiency in various market environments. Furthermore, the style characteristics of the indices are examined by means of two commonly used factor models. To evaluate the implementation costs of the strategies from an operational perspective, we estimate the corresponding transactions costs. The analysis demonstrates in line with previous literature that alternative-weighed indices are able to outperform cap-weighted indices in a mean-variance framework. The common source of outperformance can be attributed to the size factor. This means alternative-weighted indices assign greater weight to small-cap stocks. Furthermore, it becomes evident that the equal-weighted index is the best overall performing weighting scheme. It was able to deliver higher Sharpe ratios than its alternative-weighted counterparts during bull markets without generating large transaction costs. Thus, the weighting scheme is able to provide an optimized trade-off between investability and performance in comparison to the cap-weighted index. Through showing that the equal-weighted index states the most promising results, this research provides important insights in the ongoing debate in academic literature on the performance of alternative-weighted indices.
Book Synopsis Portfolio Insurance for the Small Investor in Switzerland by : Walter Wasserfallen
Download or read book Portfolio Insurance for the Small Investor in Switzerland written by Walter Wasserfallen and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio insurance to control for downside risk is used mostly by large investors. The transactions that enable it require frequent adjustments in composition of the portfolio. Portfolio insurance techniques would seem to be especially attractive for small private investors who want to participate in a rising stock market but cannot afford to take a large amount of downside risk. Barriers are the high prices of securities, the size of transaction costs, and a lack of knowledge. Swiss banks, however, have successfully started to accommodate the demand of small investors by issuing securities offering a minimum return plus a participation in the Swiss stock market. This article describes the instruments and evaluates their pricing at issue as well as in the secondary market. All securities are combinations of call options on the Swiss Market Index and riskless investments. Theoretical values are calculated on the basis of data for the Swiss Market Index, Euromarket interest rates, and prices for index options traded on the Swiss Options and Financial Futures Exchange, SOFFEX. A comparison to actual prices shows that these instruments are generally fairly priced. The evidence therefore implies a high degree of integration across the markets for customized insurance products, traded options, and shares. This finding combined with the relatively low transaction costs makes these securities attractive for the small investor.
Book Synopsis Coping With Institutional Order Flow by : Robert A. Schwartz
Download or read book Coping With Institutional Order Flow written by Robert A. Schwartz and published by Springer Science & Business Media. This book was released on 2006-10-16 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: On April 29, 2003, the Zicklin School of Business hosted a trading conference titled, Coping With Institutional Order Flow. This conference was electronically recorded and later transcribed for this book. The text includes the edited transcript of the panel discussions and separate presentations by two major industry executives, Richard Ketchum' and Robert Mc Sweeney. As with the other volumes in this popular series, this book is not simply intended to be an historical record of the conference. We have edited the manuscript for clarity, perspective and context. New material was gathered in subsequent interviews with many of the panelists. Consequently, some remarks and passages in the text were altered and expanded and many footnotes were introduced. Our goal was to flesh out the dialogue and presentations and to keep the material as contemporary as possible. In doing so, we went to great lengths to preserve the essential nature of the original debate. We worked closely with the panelists in the editing process and took pains not to distort the meaning of their remarks. They have all approved the final draft of the manuscript. We thank them for their assistance and patience. \n my opening remarks at the conference, I suggested that effective handling of institutional order flow is one of the most important and difficult At the time of the conference, Richard Ketchum was President and Deputy Chairman at The Nasdaq Stock Market, Inc. Preface xiv challenges facing our equity markets today.
Book Synopsis Liquidity and Asset Prices by : Yakov Amihud
Download or read book Liquidity and Asset Prices written by Yakov Amihud and published by Now Publishers Inc. This book was released on 2006 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Book Synopsis Institutional Investors and Corporate Governance by : Theodor Baums
Download or read book Institutional Investors and Corporate Governance written by Theodor Baums and published by Walter de Gruyter. This book was released on 2011-05-02 with total page 725 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volume contains 23 articles by international experts, both scholars and practioners dealing with the development of institutional investors (such as banks, insurances, investment companies, pension funds etc.), their investment and voting policies, the impact on managements of the companies concerned and related issues. The consequences of the international development on capital markets as well as policy implications for the respective national legislations are treated.
Book Synopsis Predictability of the Swiss Stock Market with Respect to Style by : Patrick Scheurle
Download or read book Predictability of the Swiss Stock Market with Respect to Style written by Patrick Scheurle and published by Springer Science & Business Media. This book was released on 2010-07-03 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
