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A multi-factor model for the Swedish stock market

Nilsson, Patrik and Karlsson, Pär (2006)
Department of Economics
Abstract
In 1996, Robert A. Haugen and Nardin L. Baker published a study where they had made a multi-factor model based on micro-variables on the American stock market between 1979 and 1993. In testing the model on the examined period they made an average annual return of 30,9 percent. They also tested the model on several other markets around the world with similar results. This study is a somewhat simpler remake of that study, but for the Swedish stock market from 1999 to 2005 instead. By testing this model, we wanted to see if the Swedish stock market of today is efficient or not. We collected financial data via the SIX Trust database and used Eviews to make regressions with the aim of discerning which variables are significant over time. By... (More)
In 1996, Robert A. Haugen and Nardin L. Baker published a study where they had made a multi-factor model based on micro-variables on the American stock market between 1979 and 1993. In testing the model on the examined period they made an average annual return of 30,9 percent. They also tested the model on several other markets around the world with similar results. This study is a somewhat simpler remake of that study, but for the Swedish stock market from 1999 to 2005 instead. By testing this model, we wanted to see if the Swedish stock market of today is efficient or not. We collected financial data via the SIX Trust database and used Eviews to make regressions with the aim of discerning which variables are significant over time. By doing so, we hoped to make the model work and thereby find ways of constructing portfolios with possible excess return due to an inefficient market. Our results show, however, that none of the variables was significant over time and, hence, the model does not work with acceptable results. Consequently, our conclusion is that the Swedish stock market is, in fact, efficient. (Less)
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@misc{1848849,
  abstract     = {In 1996, Robert A. Haugen and Nardin L. Baker published a study where they had made a multi-factor model based on micro-variables on the American stock market between 1979 and 1993. In testing the model on the examined period they made an average annual return of 30,9 percent. They also tested the model on several other markets around the world with similar results. This study is a somewhat simpler remake of that study, but for the Swedish stock market from 1999 to 2005 instead. By testing this model, we wanted to see if the Swedish stock market of today is efficient or not. We collected financial data via the SIX Trust database and used Eviews to make regressions with the aim of discerning which variables are significant over time. By doing so, we hoped to make the model work and thereby find ways of constructing portfolios with possible excess return due to an inefficient market. Our results show, however, that none of the variables was significant over time and, hence, the model does not work with acceptable results. Consequently, our conclusion is that the Swedish stock market is, in fact, efficient.},
  author       = {Nilsson, Patrik and Karlsson, Pär},
  keyword      = {regression,Efficient market hypothesis,multi-factor model,statistical theory,prediction,fundamental variables,Economics, econometrics, economic theory, economic systems, economic policy,Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik},
  language     = {eng},
  note         = {Student Paper},
  title        = {A multi-factor model for the Swedish stock market},
  year         = {2006},
}