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Equity Risk Factors for a Small Open Economy: A Risk Management Perspective

Author

Listed:
  • Hossein Asgharian

    (Lund University, Sweden)

  • Bjorn Hansson

    (Lund University, Sweden)

Abstract

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 portfolio returns, while their performance is evaluated from a risk management viewpoint. The results of the volatility analysis verify that the market, as represented by both the world market portfolio and the Swedish home market portfolio, is a crucial factor and most of the macro factors seem to be redundant. The results of the risk management exercise show that the market factor and the portfolios mimicking size and book-to-market ratio are important

Suggested Citation

  • Hossein Asgharian & Bjorn Hansson, 2001. "Equity Risk Factors for a Small Open Economy: A Risk Management Perspective," Multinational Finance Journal, Multinational Finance Journal, vol. 5(4), pages 225-257, December.
    • Handle: RePEc:mfj:journl:v:5:y:2001:i:4:p:225-257
    as

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    References listed on IDEAS

    as
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    4. Daniel, Kent & Titman, Sheridan, 1997. "Evidence on the Characteristics of Cross Sectional Variation in Stock Returns," Journal of Finance, American Finance Association, vol. 52(1), pages 1-33, March.
    5. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    multifactor models; open economy; return covariance; risk management;
    All these keywords.

    JEL classification:

    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies

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