Dynamisk investeringsstrategi på den svenska aktiemarknaden
(2007)Department of Economics
- Abstract
- The purpose of this paper is to investigate if a dynamic investment strategy on the Swedish asset market can accomplish better returns then a static investment strategy. The dynamic investment strategy is created by incorporating business cycle predictors and firm-level variables to predict future stock returns. The predictive regression is calculated wih 60 months of observation (1999 01-2005 12) and is then used to estimate future returns for 23 months in the period 2004 01 -2005 11. The structure of the regression, with linear functions of α and β, goes back to Shanken (1990) and Avramov and Chordia (2005) has had success with the variables chosen. But in this paper the dynamic investment strategy hasn´t been soo successful. The static... (More)
- The purpose of this paper is to investigate if a dynamic investment strategy on the Swedish asset market can accomplish better returns then a static investment strategy. The dynamic investment strategy is created by incorporating business cycle predictors and firm-level variables to predict future stock returns. The predictive regression is calculated wih 60 months of observation (1999 01-2005 12) and is then used to estimate future returns for 23 months in the period 2004 01 -2005 11. The structure of the regression, with linear functions of α and β, goes back to Shanken (1990) and Avramov and Chordia (2005) has had success with the variables chosen. But in this paper the dynamic investment strategy hasn´t been soo successful. The static investment has higher return then the dynamic strategy in this case. Keywords: Dynamic investment, dynamic asset model, OLS regression, swedish asset market, business cycle predictors and firm-level variables. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1336459
- author
- Berggren, Angela
- supervisor
- organization
- year
- 2007
- type
- M2 - Bachelor Degree
- subject
- keywords
- prissättningsmodell, investeringsstrategier, trefaktormodell, konjunkturcykelvariabler, Economics, econometrics, economic theory, economic systems, economic policy, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik
- language
- Swedish
- id
- 1336459
- date added to LUP
- 2007-01-18 00:00:00
- date last changed
- 2010-08-03 10:49:29
@misc{1336459,
abstract = {{The purpose of this paper is to investigate if a dynamic investment strategy on the Swedish asset market can accomplish better returns then a static investment strategy. The dynamic investment strategy is created by incorporating business cycle predictors and firm-level variables to predict future stock returns. The predictive regression is calculated wih 60 months of observation (1999 01-2005 12) and is then used to estimate future returns for 23 months in the period 2004 01 -2005 11. The structure of the regression, with linear functions of α and β, goes back to Shanken (1990) and Avramov and Chordia (2005) has had success with the variables chosen. But in this paper the dynamic investment strategy hasn´t been soo successful. The static investment has higher return then the dynamic strategy in this case. Keywords: Dynamic investment, dynamic asset model, OLS regression, swedish asset market, business cycle predictors and firm-level variables.}},
author = {{Berggren, Angela}},
language = {{swe}},
note = {{Student Paper}},
title = {{Dynamisk investeringsstrategi på den svenska aktiemarknaden}},
year = {{2007}},
}