Asset Allocation Decisions - Do investors in Sweden differ in investment behaviour?

Sammanfattning: We investigate investor heterogeneity between private, institutional, commercial, government and foreign investor in the Swedish market. OLS-estimation using dividend yield and term spread as regressors reveal no clear results. VAR-analysis to investigate lead-follow relationships between investor groups indicate that foreign follows private and commercial investors, though the result is problematized by a lack of connection with institutional investors. We cannot substantiate earlier results achieved in the field markets by Cohen (1999) in America and Drobetz, Kugler, Wanzenried, and Zimmermann (2009) in Switzerland.