Browsing by Author "Rolseth, Lars"

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    Adjusting Stock Market Values to Exchange Rate Exposure: The Case of ASTRA, SCA and STORA.
    (1998) Rolseth, Lars; Department of Economics
    Europe's two largest forest product companies SCA and STORA are located in Sweden. One of the largest firms in Sweden is ASTRA, which is a pharmaceutical company. In this paper I analyze how the variance of these firms' values and their stock returns sensitivity to exchange rates and interest rates are affected by different hedging strategies. First are new share price series constructed there gains and losses due to not undertake any hedging practices for transaction and translation exposure are realized. There after are the exposure coefficients obtained from the adjusted share price compared to the exposure coefficients obtained using the firms core share price as a dependent variable. The results show that SCA and STORA manage to reduce the exchange rate exposure significantly, but that both SCA and STORA´s stock return are still sensitive to contemporaneous changes in exchange rates. The linear multiple regression method was unable to detect any significant exchange rate exposure for ASTRA. However, the hedging of translation and transaction exposure do not necessarily imply that the variance of the firm's value is reduced.
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    The effects of firm-specific variables and consensus forecasts data on the pricing of large Swedish firms' stocks
    (1999) Rolseth, Lars; Johansson, Anders; Department of Economics
    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 are taken either from published accounting data or from consensus forecast data. The main findings are that the stock exchange is not efficient with respect to the consensus information and the lagged yield spread. We also find that the lagged firm attributes are mainly associated with risk exposures. Using encompassing tests, the models based on consensus forecast data can for six firms unilaterally encompass the models based on accounting data. The reverse result holds for five firms. For most firms, the "best" models are not rejected in out-of-sample forecast tests for the period September 1997 to December 1997.