Forecasting stock returns with reference to global capital asset pricing forces
Abstract
In the paper we provide new evidence on the predictability of Scandinavian stock returns, when utilizing the determinants of global capital asset pricing. Three factors are extracted by principal components factor analysis. The VARIMAX‐rotated factor loadings matrix clearly suggests the presence of geographically distinguished returns generating factors: Europe, Asia and America. The corresponding factor price series are used as driving forces for the Finnish and Swedish market returns. The results indicate that the predictability of Scandinavian stock returns is significantly improved by the world factors.
Keywords
Citation
Östermark, R. (1999), "Forecasting stock returns with reference to global capital asset pricing forces", Kybernetes, Vol. 28 No. 9, pp. 1027-1042. https://doi.org/10.1108/03684929910300231
Publisher
:MCB UP Ltd
Copyright © 1999, MCB UP Limited