Kan den svenska aktiemarknaden förutspå direktavkastningar på svenska kommersiella fastigheter? : En kvantitativ analys mellan OMXS30 och prime logistik- och kontorsfastigheter

This thesis examines whether movements in the Swedish stock market, represented by the OMXS30 index, can predict changes in prime yields for logistics and office real estate in Stockholm, Gothenburg, and Malmö. Using quarterly data from 2009 to 2024, the study applies time-series OLS regression models with lagged OMXS30 values, along with macroeconomic variables such as CPI, 5Y SEK swap rate, and GDP. The theoretical framework includes CAPM, Commercial Real Estate Market Cycles, Capitalization Rate and Real Estate Valuation – Income Approach. Previous research reveals several drivers of real estate returns and cap rate, as well as dynamics between stock returns and real estate returns and values. However, a gap in research in a Swedish context has been identified, which this thesis aims to fill. The results show no consistent and statistically significant relationship between stock market fluctuations and prime real estate yields. Most OMXS30 coefficients were insignificant and varied in direction, indicating weak or limited predictive power. Differences across sectors and cities were observed, where the logistics sectors were revealed to have a closer link to the stock market and the Malmö results stood out. Ultimately, this thesis concludes that fluctuations in the OMXS30 index should not serve as the main predictors of changes in real estate prime yields, emphasising the importance of considering the broader economic and financial landscape, as well as local and property-specific factors.