CAPM beta, size, book-to-market, and momentum in realized stock returns

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F10%3A10106513" target="_blank" >RIV/00216208:11230/10:10106513 - isvavai.cz</a>

Result on the web

<a href="http://journal.fsv.cuni.cz/storage/1196_str_447_460-novak.pdf" target="_blank" >http://journal.fsv.cuni.cz/storage/1196_str_447_460-novak.pdf</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

CAPM beta, size, book-to-market, and momentum in realized stock returns

Original language description

Measuring risk in the stock market context is one of the key challenges of modern finance. Despite the substantial significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price assetsor to determine the cost of capital. We empirically investigate the ability of several commonly proposed risk factors to predict Swedish stock returns. We consider the sensitivity of asset returns to the variation in market returns (beta), the market value of equity (size), the ratio of the market value of equity to the book value of equity, and short-term historical stock returns (momentum). We conclude that none of these factors is clearly significant for explaining stock returns on the Stockholm Stock Exchange, which casts doubt on their use as universal risk factors in various corporate governance contexts. It seems that the previously documented relationship is contingent on the data sample used and on the time period.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

<a href="/en/project/GP402%2F09%2FP154" target="_blank" >GP402/09/P154: Financial risk measurement for evaluating stock market efficiency</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2010

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Finance a Uver

ISSN

0015-1920

e-ISSN

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Volume of the periodical

60

Issue of the periodical within the volume

5

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

14

Pages from-to

447-460

UT code for WoS article

000287073900005

EID of the result in the Scopus database

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