Monetary Policy Announcements and the Beta Risk Premium on NASDAQ OMX Stockholm
This research paper analyses the relationship between average excess stock return and market beta on the Nasdaq OMX Stockholm for the period 1999 to 2015. By using the Fama-MacBeth approach and several additional regressions, we are able to examine if the relationship exists on days when the market anticipates receiving news regarding monetary policy decision by the Riksbank, Federal Reserve, Euro
