Abstract
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.
Original language | English |
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Pages (from-to) | 325-53 |
Journal | Journal of International Financial Markets, Institutions, and Money |
Volume | 13 |
Issue number | 4 |
DOIs | |
Publication status | Published - 2003 |
Subject classification (UKÄ)
- Economics
Free keywords
- Small sample problem
- Open economy
- Multifactor asset pricing models