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

Publiceringsår: 2003
Språk: Engelska
Sidor: 53-325
Publikation/Tidskrift/Serie: Journal of International Financial Markets, Institutions, and Money
Volym: 13
Nummer: 4
Dokumenttyp: Artikel i tidskrift
Förlag: North-Holland


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.


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


  • ISSN: 1042-4431

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