We study the implications of interfirm product market linkages for dependence among the daily stock returns of US publicly traded firms using a spatial econometric regression. The effects of rivals and major customers change with various characteristics related to the product market network. We...

Our aim is to give a comparative analysis of ability of different factor mimicking portfolios in representing the background factors. Our analysis contains a cross-sectional regression approach, a time-series regression approach and a portfolio approach for constructing factor mimicking...

We investigate long-run stock-bond correlation using a model that combines the dynamic conditional correlation model with the mixed-data sampling approach and allows long-run correlation to be affected by macro-finance factors (historical and forecasts). We use macro-finance factors related to...

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...

We develop a model of stochastic volatility with jump to analyze how the local equity markets of the European countries are affected by the regional equity market (other European equity markets) and the US equity market. Our approach simultaneously investigates all the three aspects of the...

This paper develops a conditional asset pricing model with latent factors, based on the optimal orthogonal portfolio approach. We construct a factor portfolio that embodies all the latent factors important for pricing a given set of test assets. The out-of-sample performance of this portfolio is...