(A) study on investment of the Swiss national bank

Abstract

In this paper, I examine Swiss National Bank's investment, noting that the Swiss National Bank has greatly increased its U.S. stock holdings over the past six years. As a result, I find several results. Swiss National Bank's U.S. stock portfolio beats the market. Also, mimicking portfolios after quarterly disclosure under-perform the market. With one-year holding assumption, portfolios with increased stock holdings beat the market, and beat portfolios with decreased stock holdings. There is no cumulative abnormal return around quarterly disclosure. In terms of investment strategies, I find that the Swiss National Bank prefers growth and conservative investment stocks based on Fama and French's model, and there is no characteristics based on AQR's model.