Assessing Macroeconomic factors' influence on the Swedish real estate company stock market - A multiple linear regression analysis

Abstract: Investing in public real estate stocks can diversify a stock portfolio due to the nature of these companies. The industry is generally less sensitive to economic downturns and spikes in inflation are offset by increased real estate property and rent prices. Nevertheless, measures of the wider economy could be used as predictors of the real estate stock market.  This thesis attempts to model the Swedish real estate stock market with the index SX35PI (Stockholm Real Estate PI) using the fundamental economic factors and repo rate. Data was collected and formatted to a monthly interval for the period February 2012 to December 2021. This resulted in an exponential multiple regression model that used all the regressors that explained 95.7% of the variation in SX35PI, and an alternative autoregressive forecasting model that explained 82.3% of the variation in SX35PI.