Working Papers in Economics
The effects of firm-specific variables and consensus forecasts data on the pricing of large Swedish firms’ stocks.
() and Lars Rolseth
Abstract: In this essay we model the returns for 14 large Swedish
firms' stocks with a conditional multifactor model with time-varying beta
terms. The data are monthly and the sample period is June 1992 to August
1997. The beta terms are modelled as linear functions of predetermined firm
attributes, which are taken either from published accounting data or from
consensus forecast data. The main findings are that the stock exchange is
not efficient with respect to the consensus information and the lagged
yield spread. We also find that the lagged firm attributes are mainly
associated with risk exposures. Using encompassing tests, the models based
on consensus forecast data can for six firms unilaterally encompass the
models based on accounting data. The reverse result holds for five firms.
For most firms, the "best" models are not rejected in out-of-sample
forecast tests for the period September 1997 to December 1997.
Keywords: Asset pricing; Consensus forecast; Market efficiency; Predictable stock returns; (follow links to similar papers)
JEL-Codes: G12; G14; (follow links to similar papers)
48 pages, July 30, 1999
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