Cross Sectional Analysis of the Swedish Stock Market PDF Download
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Author: Hossein Asgharian
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Hossein Asgharian
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Hossein Asgharian
Publisher:
ISBN:
Category :
Languages : en
Pages :
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This paper analyses the ability of beta and other factors, like firm size and book-to-market, to explain cross-sectional variation in average stock returns on the Swedish stock market for the period 1980-1997. We use a bivariate GARCH(1,1) process to estimate time-varying betas for asset returns. The estimated variances of these betas, derived from a Taylor series approximation, are used for correcting errors in variables problem. Our model accounts for problems such as cross-sectional and intertemporal heteroscedasticity. An Extreme Bounds Analysis is utilized for testing the sensitivity of the estimated coefficients to changes in the set of included explanatory variables. Since the tests are carried out on realized returns, which presumably are quite noisy approximations of expected returns; we also analyze if the variables play different roles depending on if it is a Bull or Bear market. Our results show that the coefficient for beta is never significantly different from zero, while variables book to market, size and leverage have significant coefficients. Different sensitivity analyses suggest that the results, to some extent, may be due to cross-correlations between the variables, the characteristics of the extreme periods included in the sample, the average sign of the excess market return during the sample period, and the choice of the estimation and test methods. The findings also show that the estimated conditional beta is a more accurate measure of the true market beta than the beta estimated by OLS.
Author: Maria Gårdängen
Publisher:
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Category : Liquidity (Economics)
Languages : en
Pages : 268
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Category : Computer network resources
Languages : en
Pages : 300
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Author: Lars Nordén
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 182
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Author: Anders Löflund
Publisher:
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Category : Arbitrage
Languages : en
Pages : 154
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Author:
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Category :
Languages : en
Pages : 126
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Author: Lars-Erik Forsgårdh
Publisher:
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Category :
Languages : sv
Pages : 50
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Author: James P. Smith
Publisher: Univ of Wisconsin Press
ISBN: 029923763X
Category : Business & Economics
Languages : en
Pages : 239
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This special issue revises and expands on presentations given at a conference on comparative research using international panel surveys held in Ann Arbor, Michigan. Five of the articles explicitly or implicitly examine international differences in savings behavior and wealth accumulation. The final two articles use international comparisons to assess the status of young children.
Author: Khosrow Fatemi
Publisher: Routledge
ISBN: 0415538807
Category : Business & Economics
Languages : en
Pages : 298
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Book Description
The need for continued analysis and evaluation of the international financial system is as pressing now as it was when this book was originally published. This volume provides an in-depth analysis of certain aspects of the international financial system. Specifically it addresses four of the most important financial and monetary issues of the present time: exchange rate, capital markets, international banking and external debt and international financial management.
