The Explanatory Role of Factor Portfolios for Industries Exposed to Foreign Competition: Evidence from the Swedish Stock Market

41 Pages Posted: 16 Mar 2002

See all articles by Hossein Asgharian

Hossein Asgharian

Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies

Bjorn Hansson

Lund University - Department of Economics

Date Written: February 2002

Abstract

Our purpose is to find factors that are important for expected returns and risk of Swedish industrial portfolios. We have chosen factors that are important for a small open economy. We take into account the small sample problem that surfaces as firms dominating the value weighted test portfolios. An extreme bound analysis investigates the robustness of the estimated parameters. A principal components analysis is used to assess the importance of the factors in explaining covariances of the industrial portfolios. Our overall conclusion is that the market portfolio, which refers to the world as well as the Swedish market portfolio, is almost sufficient for explaining expected returns and risk.

JEL Classification: G12

Suggested Citation

Asgharian, Hossein and Hansson, Bjorn, The Explanatory Role of Factor Portfolios for Industries Exposed to Foreign Competition: Evidence from the Swedish Stock Market (February 2002). EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Discussion Paper. Available at SSRN: https://ssrn.com/abstract=302340 or http://dx.doi.org/10.2139/ssrn.302340

Hossein Asgharian (Contact Author)

Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies ( email )

P.O. Box 7082
S-220 07 Lund
Sweden
046-222-86-87 (Phone)

Bjorn Hansson

Lund University - Department of Economics ( email )

P.O. Box 7082
S-220 07 Lund
Sweden
+46462228668 (Phone)
+46462224118 (Fax)

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