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Pengar växer inte på träd - Vad påverkar aktieavkastning på svenska börsnoterade skogsbolag?

Flygare, Anton LU and Allgén, Fredrik LU (2021) NEKH03 20202
Department of Economics
Abstract
The purpose of this paper is to investigate whether a multifactor approach can explain the weekly rate of return from Swedish stocks in the forest sector listed on the OMX Stockholm Large Cap stock exchange. Research on this subject in a Swedish context is scarce, with only a handful of previous studies conducted, primarily using the Capital Asset Pricing Model, CAPM. A regression model is conducted to estimate the variable parameters which are then analysed. The results from this study shows that a multifactor model incorporating a market index, exchange rate risk, saw log and pulpwood did not explain the returns for selected companies considerably better than the CAPM. Furthermore, the variables introduced to the multifactor model did... (More)
The purpose of this paper is to investigate whether a multifactor approach can explain the weekly rate of return from Swedish stocks in the forest sector listed on the OMX Stockholm Large Cap stock exchange. Research on this subject in a Swedish context is scarce, with only a handful of previous studies conducted, primarily using the Capital Asset Pricing Model, CAPM. A regression model is conducted to estimate the variable parameters which are then analysed. The results from this study shows that a multifactor model incorporating a market index, exchange rate risk, saw log and pulpwood did not explain the returns for selected companies considerably better than the CAPM. Furthermore, the variables introduced to the multifactor model did not display broad significance. These results are not in line with previous research which has shown higher explanatory power and higher significance for similar variables. (Less)
Please use this url to cite or link to this publication:
author
Flygare, Anton LU and Allgén, Fredrik LU
supervisor
organization
course
NEKH03 20202
year
type
M2 - Bachelor Degree
subject
keywords
multifaktor, CAPM, skogsbolag, aktieavkastning, regression
language
Swedish
id
9035959
date added to LUP
2021-03-11 12:01:41
date last changed
2021-03-11 12:01:41
@misc{9035959,
  abstract     = {{The purpose of this paper is to investigate whether a multifactor approach can explain the weekly rate of return from Swedish stocks in the forest sector listed on the OMX Stockholm Large Cap stock exchange. Research on this subject in a Swedish context is scarce, with only a handful of previous studies conducted, primarily using the Capital Asset Pricing Model, CAPM. A regression model is conducted to estimate the variable parameters which are then analysed. The results from this study shows that a multifactor model incorporating a market index, exchange rate risk, saw log and pulpwood did not explain the returns for selected companies considerably better than the CAPM. Furthermore, the variables introduced to the multifactor model did not display broad significance. These results are not in line with previous research which has shown higher explanatory power and higher significance for similar variables.}},
  author       = {{Flygare, Anton and Allgén, Fredrik}},
  language     = {{swe}},
  note         = {{Student Paper}},
  title        = {{Pengar växer inte på träd - Vad påverkar aktieavkastning på svenska börsnoterade skogsbolag?}},
  year         = {{2021}},
}