The Explanatory Role of Factor Portfolios for Industries Exposed to Foreign Competition
(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:
https://lup.lub.lu.se/record/1384640
- author
- Asgharian, Hossein LU and Hansson, Björn LU
- organization
- publishing date
- 2003
- 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
- 2016-04-01 11:51:45
- date last changed
- 2022-01-26 19:20:29
@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}}, keywords = {{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}}, doi = {{10.1016/S1042-4431(03)00012-X}}, volume = {{13}}, year = {{2003}}, }