Riksbankens ränteförändringsbesked och aktiemarknadsreaktioner : En kvantitativ studie av skuldsättningsgrad och abnormal avkastning hos icke-finansiella företag på Stockholmsbörsen

Sammanfattning

Background: The aggregate effect of monetary policy upon the stock market is well established. In more recent years, more research has been devoted to understanding the heterogeneous reactions of stock prices on monetary policy. The literature paints a diverse picture of many different factors influencing a firm’s reaction to new monetary policy. Purpose: The purpose of this study is to in a Swedish context examine how the abnormal stock returns between firms vary depending on firm leverage in connection with announcements of changes in the policy rate from the Swedish central bank. Method: The study uses a quantitative research method with an event study design for 585 non-financial companies on Nasdaq Stockholm during the period 2014-2024. The study examines variations in stock market reactions to interest rate change announcements from the Riksbank. Conclusion: The results of the study indicate that leverage plays a significant role in shaping how companies respond to the Riksbank’s interest rate announcement, but that the relationship is limited and should be interpreted with caution. Companies with higher leverage tend to show a weaker cumulative abnormal return around interest rate announcements compared to companies with lower leverage. This relationship is most evident during interest rate increases where highly indebted companies may react more negatively when monetary policy is tightened. The results also show that leverage only explains a limited part of the variation in companies’ share price reactions where other factors affect reactions to interest rate announcements.