Johansson, Anders; Rolseth, Lars - Nationalekonomiska institutionen, Handelshögskolan - 1999
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...