The home bias is defined as the tendency of the investors to invest a larger proportion of their wealth in domestic equities than what would be optimal based on the meanvariance principle. There are several explanations for this observed home bias, e.g., barriers to foreign investments and...

This article seeks to find factors that can account for the determinants of common variations in returns for a small open economy where the Swedish stock market serves as an example. The importance of the candidate factors is first analyzed by looking at the standard deviation of their mimicking...

This paper evaluates the usefulness of the orthogonal portfolio approach proposed by MacKinlay and Pastor (2000), for the estimation of the expected returns of Swedish industrial portfolios from 1980 to 1997. In this approach the expected returns are linked to the residual covariance matrix of a...

The common approach for constructing factor mimicking portfolios is to go long in assets with high loadings and to short-sell those with low loadings on some background factors. As a result portfolios containing stocks with low loading on the background factor receive negative betas against the...

Our purpose is to find factors that are important for expected returns and risk of Swedish industrial portfolios. We have chosen factors that are important for a small open economy. We take into account the small sample problem that surfaces as firms dominating the value weighted test...

This paper estimates a conditional version of the liquidity adjusted CAPM by Acharya and Pedersen (2005) using NYSE and AMEX data from 1927 to 2010 to study the illiquidity premium and its variation over time. The components of the illiquidity premium is in this model derived as the level of...

The foremost allocation problem for long-term investors is the division between stocks and bills. In this paper the investor follows a mean-variance criterion for buy-and-hold strategies. A non-parametric bootstrap approach is used to investigate if portfolio weights for stocks and bills vary in...

Time diversification continues to be a subject of intense debate within investment and academic communities. Among practitioners it not unusual to find the recommendation that an investor with a long investment horizon, should tilt the portfolio weights towards stocks. In this study, we analyze...

In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically motivated candidate factors. We conduct an analysis in the frequency domain to see how the impacts of the candidate factors on the swap spread differ between different horizons....