Dynamisk investeringsstrategi på den svenska aktiemarknaden
InvesteringsstrategierPrissättningsmodellTrefaktormodellKonjunkturcykelvariablerEconomicsEconometricsEconomic theoryEconomic systemsEconomic policyNationalekonomiEkonometriEkonomisk teoriEkonomiska systemEkonomisk politikBusiness and Economics
The purpose of this paper is to investigate if a dynamic investment strategy on the Swedish asset market can accomplish better returns then a static investment strategy. The dynamic investment strategy is created by incorporating business cycle predictors and firm-level variables to predict future stock returns. The predictive regression is calculated wih 60 months of observation (1999 01-2005 12) and is then used to estimate future returns for 23 months in the period 2004 01 -2005 11. The structure of the regression, with linear functions of ? and ?, goes back to Shanken (1990) and Avramov and Chordia (2005) has had success with the variables chosen. But in this paper the dynamic investment strategy hasn´t been soo successful. The static investment has higher return then the dynamic strategy in this case. Keywords: Dynamic investment, dynamic asset model, OLS regression, swedish asset market, business cycle predictors and firm-level variables.