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The Explanatory Role of Factor Portfolios for Industries Exposed to Foreign Competition

In English

Författare

Summary, in English

Our purpose is to find factors that are important for expected returns and risk of Swedish industrial portfolios during 1980–1997. The tested factors are supposed to be essential for a small open economy. We take into account the small sample problem that surfaces in the form of firms dominating the value weighted test portfolios. An extreme bound analysis (EBA) investigates the robustness of the estimated parameters. Principal component analysis is used to assess the importance of the factors in explaining return covariances. 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.

Publiceringsår

2003

Språk

Engelska

Sidor

53-325

Publikation/Tidskrift/Serie

Journal of International Financial Markets, Institutions, and Money

Volym

13

Issue

4

Dokumenttyp

Artikel i tidskrift

Förlag

North-Holland

Ämne

  • Economics

Nyckelord

  • Small sample problem
  • Open economy
  • Multifactor asset pricing models

Status

Published

ISBN/ISSN/Övrigt

  • ISSN: 1042-4431