This study explores the influence of inflation on the monthly total stock returns and stock pricing of Swedish banks. The research question is systematically examined througha cross sectional and time series analysis, utilizing Fama-French, Carhart, and Fama-Macbeth metodologies. Contrary to the initial hypothesis, the outcomes from the Fama-French-Carhart regression, incorporating the inflation factor, reveal a consistently negative effect of inflationon stock returns across Swedish banks. This unexpected result challenges the anticipated relationship between inflation and stock returns. Furthermore, the assessment of risk premiums via the Fama-Macbeth regression does not identify a statistically significant risk premium for inflation exposure. These findings contribute to understanding the dynamics between inflation and the financial performance of Swedish banks, prompting further inquiry into the factors influencing stock returns in the presence of inflationary pressures.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:uu-522722 |
| Date | January 2023 |
| Creators | Westerberg, Carl, Rolder, Elvin |
| Publisher | Uppsala universitet, Nationalekonomiska institutionen |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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