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

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://journal.fsv.cuni.cz/storage/1196_str_447_460-novak.pdf
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 assets or 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. 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 assets or 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. (en)
Title	CAPM beta, size, book-to-market, and momentum in realized stock returns CAPM beta, size, book-to-market, and momentum in realized stock returns (en)
skos:prefLabel	CAPM beta, size, book-to-market, and momentum in realized stock returns CAPM beta, size, book-to-market, and momentum in realized stock returns (en)
skos:notation	RIV/00216208:11230/10:10106513!RIV12-GA0-11230___
http://linked.open...avai/riv/aktivita	I P Z
http://linked.open...avai/riv/aktivity	I, P(GP402/09/P154), Z(MSM0021620841)
http://linked.open...iv/cisloPeriodika	5
http://linked.open...vai/riv/dodaniDat	2012
http://linked.open...aciTvurceVysledku	Novák, Jiří
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Fakulta sociálních věd
http://linked.open...dnocenehoVysledku	249595
http://linked.open...ai/riv/idVysledku	RIV/00216208:11230/10:10106513
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Sweden; momentum; book-to-market; size; CAPM; multifactor models; risk; asset pricing; stock returns (en)
http://linked.open.../riv/klicoveSlovo	stock returns risk CAPM book-to-market multifactor models Sweden momentum size asset pricing
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[7783C768E6D4]
http://linked.open...i/riv/nazevZdroje	Finance a Uver
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Financial risk measurement for evaluating stock market efficiency
http://linked.open...UplatneniVysledku	2010
http://linked.open...v/svazekPeriodika	60
http://linked.open...iv/tvurceVysledku	Novák, Jiří Petr, Dalibor
http://linked.open...ain/vavai/riv/wos	000287073900005
http://linked.open...n/vavai/riv/zamer	Development of the Czech Society in the EU: challenges and risks
issn	0015-1920
number of pages	14 (xsd:int)
http://localhost/t...ganizacniJednotka	11230
is http://linked.open...avai/riv/vysledek of	CAPM beta, size, book-to-market, and momentum in realized stock returns CAPM beta, size, book-to-market, and momentum in realized stock returns

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