Ränteregimens betydelse för aktiemarknadens värdering av kreditförlustavsättningar

: En studie av svenska storbanker 2018–2025

Abstract

This study examines how the stock market values loan loss provisions in major Swedish banks under different interest rate environments during the period 2018–2025. The study is motivated by the implementation of IFRS 9, which replaced the previous incurred loss model with a forward-looking expected credit loss model. This has increased the importance of managerial judgement and made loan loss provisions a potentially important source of information for investors.
The purpose of the study is to analyze whether there is a relationship between loan loss provisions and stock returns in major Swedish banks, and whether this relationship is affected by the prevailing interest rate environment. The study includes Handelsbanken, Nordea, SEB and Swedbank, with a total of 128 quarterly observations. A quantitative approach using panel data and pooled regression models was applied to test the hypotheses.
The results show that loan loss provisions do not have a statistically significant relationship with stock returns on the announcement day. Nor was any moderating effect of the interest rate environment identified. However, general market movements had a statistically significant relationship with the banks’ stock returns. The study concludes that information regarding loan loss provisions is likely already priced in by the market before quarterly reports are published.

Date of Award	2026-Jun
Original language	Swedish
Supervisor	Elin Smith (Supervisor) & Heléne Tjärnemo (Examiner)