Kan cyklisk konsumtion förutspå förvantad avkastning? En studie utförd på Stockholmsbörsen

Abstract

This thesis aims to further contribute to the studies on the inverse relationship between the consumption-based variable, cyclical consumption, and future expected return, introduced by Atanasov, Møller and Priestley (2019). The authors examine this relationship on the American stock market, and find empirical evidence for the predictive power of cyclical consumption for multiple indices and industries. Our study follows the same procedure to test if this predictability can be found on the Swedish stock index OMXSPI, during the period 1981-2019. A set of regression models are used to investigate the predictive power of cyclical consumption, its predictability during economic expansion and recessions, and the predictability for subsamples of the data.

The results in our thesis suggests with empirical significance that a negative correlation between cyclical consumption and future expected returns can be found on the Swedish stock index OMXSPI. However, our findings fail to present convincing predictability during the robustness testing.