Equity Returns and Monetary Policy Surprises: Evidence from Sweden - Heterogeneity Across Sectors, Firm Sizes, and Forms of Central Bank Communication

Abstract

This thesis examines how Swedish equity returns respond to the unanticipated component of Riksbank policy communication, and whether the response differs across sectors, firm size segments, and between regular policy announcements and the publication of meeting minutes. The question matters because monetary policy affects discount rates, expected cash flows and financing conditions at the same time, and the Swedish evidence on how different parts of the market are affected is limited. Policy surprises are measured as 30-minute changes in Swedish swap rates from the Riksbank's event study database, with the 10-year rate as the preferred horizon and the 1-month rate as a short horizon extension. A pooled interacted regression on 30-minute OMXSPI returns uses 265 scheduled events (2004-2025), and separate regressions on daily index returns use 33 screened regular announcements (2016-2025), with 57 unscreened announcements as a robustness sample. At regular announcements the 30-minute broad market response is negative and significant, whereas the response at minutes publications is indistinguishable from zero, and the difference between event types is significant only at the 10-year horizon. Measured on daily returns, the aggregate response is negative but insignificant. Significant responses appear in Real Estate, Telecommunications and Consumer Staples, and in the small and mid cap segments, so the pattern seem to follow rate sensitivity and firm size rather than revenue cyclicality, which points to the discount rate and credit channels rather than the cash flow channel. The thesis widens the Swedish evidence to a broader cross-section and tests announcements against minutes directly.