Det regimberoende betavärdet : CAPM-modellens diskrepans mot verkligheten på den svenska aktiemarknaden

Sammanfattning

This thesis examines whether systematic risk, measured as CAPM beta, varies between bull and bear market regimes on the Swedish stock market. Using monthly data for 142 stocks listed on Nasdaq Stockholm between February 1998 and December 2025, grouped into eight aggregated ICB sectors, a dual-beta-CAPM model is estimated in which beta is allowed to differ across regimes. Market regimes are identified primarily through a two-state Markov model and complemented by a 12-month moving average and a consumer confidence index in order to assess the sensitivity of the results to the choice of regime definition. The main inference is based on a sector-level panel Wald test with stock fixed effects. In the main sample, the hypothesis of symmetric beta is rejected under all three regime definitions. However, the robustness checks show that the strength of the results varies. The Markov result remains after including delisted firms, the CCI result weakens but remains significant, whereas the moving-average result is not robust in the extended sample. The sectoral patterns are heterogeneous. The technology sector displays the clearest procyclical pattern under the Markov definition, while several other sector estimates are sensitive to sample composition and regime definition. Overall, the findings support the presence of regime-dependent beta in the studied stock population, but also show that conclusions about beta asymmetry are method- and sample-sensitive. The results suggest that an unconditional CAPM specification with a constant beta does not fully capture systematic risk on the Swedish stock market.