Scandinavian Working Papers in Economics
Working Papers in Economics,
University of Gothenburg, Department of Economics
No 15: The effects of firm-specific variables and consensus forecasts data on the pricing of large Swedish firms’ stocks.
Anders Johansson () and Lars Rolseth
Additional contact information
Anders Johansson: Department of Economics, School of Economics and Commercial Law, Göteborg University, Postal: Department of Economics., School of Economics and Commercial Law, Göteborg University, Box 640, SE 40530 GÖTEBORG
Lars Rolseth: Unitfond, Postal: Sundstorget 5, 252 21 Helsingborg
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
48 pages, July 30, 1999
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