Advanced

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

Asgharian, Hossein LU and Hansson, Björn LU (2003) In Journal of International Financial Markets, Institutions, and Money 13(4). p.53-325
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.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Small sample problem, Open economy, Multifactor asset pricing models
in
Journal of International Financial Markets, Institutions, and Money
volume
13
issue
4
pages
53 - 325
publisher
North-Holland
external identifiers
  • scopus:30244452005
ISSN
1042-4431
DOI
10.1016/S1042-4431(03)00012-X
language
English
LU publication?
yes
id
cdfb3605-01d0-4402-b2cc-fdacbc1763e2 (old id 1384640)
date added to LUP
2009-04-20 12:27:13
date last changed
2018-05-29 11:16:22
@article{cdfb3605-01d0-4402-b2cc-fdacbc1763e2,
  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.},
  author       = {Asgharian, Hossein and Hansson, Björn},
  issn         = {1042-4431},
  keyword      = {Small sample problem,Open economy,Multifactor asset pricing models},
  language     = {eng},
  number       = {4},
  pages        = {53--325},
  publisher    = {North-Holland},
  series       = {Journal of International Financial Markets, Institutions, and Money},
  title        = {The Explanatory Role of Factor Portfolios for Industries Exposed to Foreign Competition},
  url          = {http://dx.doi.org/10.1016/S1042-4431(03)00012-X},
  volume       = {13},
  year         = {2003},
}