Diss. Stockholm : Handelshögsk.

Total Pages: 172 Number of Pages: 151 Missing Page: 146 Extra Pages: 131a and Data Source / The study presents models of portfolio behaviour for four industries, viz., cotton textiles, sugar, transport equipment and nonelectrical machinery. The first two industries are consumer goods industries and produce to stock. The other two are capital goods industries and produce to order. The study uses econometric techniques to estimate influence of variables explaining changes in capital stock, inventories, accounts receivable, cash balances and government bonds and also the composition of liabilities (debt and equity). / Thesis / Doctor of Philosophy (PhD)

This thesis consists of four essays on topics relating to the fields of international portfolio choice, trading behavior, and asset pricing. "Direct Foreign Ownership, Institutional Investors, and Firm Characteristics" analyzes portfolios of Swedish stocks held by foreign investors. The analysis reveals that foreigners tilt their portfolios to firms with certain attributes. It is also shown that the seemingly specific preferences of foreign investors are driven by the fact that they are large institutional investors, and are not linked to their national origin. "Foreigners' Trades in Risky Assets: An assessment of  Investment Behavior and Performance" analyzes foreigners' trading activities. It is shown that foreigners trade more than domestic investors. Further, they trade as non-informed trend followers in that they buy stocks that have recently done well. Nonetheless, after the liberalization of Sweden's stock market, foreigners' purchases have led to a permanent price increase and to a reduction in the cost of equity capital. "Exchange Rate Exposure, Risk Premia, and Firm Characteristics" shows that about fifty percent of Swedish listed firms are affected by exchange rate fluctuations. The sign and magnitude of exchange rate exposure are characterized across industries as well as firm attributes. The empirical analysis suggests that exposure can be eliminated through diversification, and that exchange rate risk is not priced. "Conditioning Information in Tactical Asset Allocation" examines whether investors can exploit the predictability in time-varying expected returns on Swedish stocks and bonds. It is shown that dynamic allocation strategies, based on conditioning information, significantly outperform several benchmark portfolios. This superior performance is not only statistically significant, it is economically large. / Diss. Stockholm : Handelshögsk.