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Asset Allocation Decisions - Do investors in Sweden differ in investment behaviour?

Nyström, Erik LU and Svanberg, Kristoffer LU (2014) NEKN05 20141
Department of Economics
Abstract
We investigate investor heterogeneity between private, institutional, commercial, government and foreign investor in the Swedish market. OLS-estimation using dividend yield and term spread as regressors reveal no clear results. VAR-analysis to investigate lead-follow relationships between investor groups indicate that foreign follows private and commercial investors, though the result is problematized by a lack of connection with institutional investors. We cannot substantiate earlier results achieved in the field markets by Cohen (1999) in America and Drobetz, Kugler, Wanzenried, and Zimmermann (2009) in Switzerland.
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author
Nyström, Erik LU and Svanberg, Kristoffer LU
supervisor
organization
course
NEKN05 20141
year
type
H1 - Master's Degree (One Year)
subject
keywords
Dividend Yield, Asset Allocations, Investors, Investor Heterogeneity, Equity
language
English
id
4466506
date added to LUP
2014-06-26 15:02:23
date last changed
2014-06-26 15:02:23
@misc{4466506,
  abstract     = {{We investigate investor heterogeneity between private, institutional, commercial, government and foreign investor in the Swedish market. OLS-estimation using dividend yield and term spread as regressors reveal no clear results. VAR-analysis to investigate lead-follow relationships between investor groups indicate that foreign follows private and commercial investors, though the result is problematized by a lack of connection with institutional investors. We cannot substantiate earlier results achieved in the field markets by Cohen (1999) in America and Drobetz, Kugler, Wanzenried, and Zimmermann (2009) in Switzerland.}},
  author       = {{Nyström, Erik and Svanberg, Kristoffer}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Asset Allocation Decisions - Do investors in Sweden differ in investment behaviour?}},
  year         = {{2014}},
}