Empirical risk factors in realized stock returns

Arbeitspapier

Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price the 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 an asset returns to the variation in market returns, the market value of equity, the ratio of market value of equity to book value of equity and the short-term historical stock returns. We conclude that none of these factors is clearly significant for explaining stock returns at 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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IES Working Paper ; No. 29/2009

Classification and Topics

• Classification: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
• Subject: stock returns ; asset pricing ; risk ; multifactor models ; CAPM ; size ; book-to-market ; momentum ; Sweden ; Kapitaleinkommen ; CAPM ; Risiko ; Schätzung ; Schweden

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Novák, Jiří ; Petr, Dalibor
• Event: Veröffentlichung
• (who): Charles University in Prague, Institute of Economic Studies (IES)
• (where): Prague
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/83385
• Last update: 13.03.20252025, 4:05 AM CET