KTH"

Tid: 29 november 1999 kl 1615-1700

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Joacim Wiklander

Titel: A multi-factor model for the Swedish stock market - The relationship between macroeconomic variables, financial statements and stock return. (Examensarbete)

Sammanfattning:

This thesis examines the relationship between macroeconomic variables, financial statements and stock return. The main focus is on determining a multi-factor model using macroeconomic variables. Since the market is only expected to react on unexpected changes in the variables, two different methods for extracting the unexpected component from actual data are tested. Those are the Kalman filter and the autoregressive methodology, where the latter is found more appropriate. The empirical test results in a ten-factor model with a prediction accuracy of about 60 % when predicting the sign of different sectors and stocks performance relative a benchmark. The ten-factor model consists of: one inflation factor, three interest factors, five factors associated with real activity, and one exchange rate factor. In order to state the usefulness of the results in active portfolio planning, the influence of different factors on different stocks is analysed.

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