Publication detail

Empirical Risk Factors in Realized Stock Returns

Author(s): Jiří Novák M.Sc., Ph.D., Deloitte Corporate Chair, Dalibor Petr
Type: IES Working Papers
Year: 2009
Number: 29
Published in: IES Working Papers 29/2009
Publishing place: Prague
Keywords: stock returns, asset pricing, risk, multifactor models, CAPM, size, book-to-market, momentum, Sweden
JEL codes: G12, C21
Suggested Citation: Novak, J., Petr, D. (2009). “ Empirical Risk Factors in Realized Stock Returns ” IES Working Paper 29/2009. IES FSV. Charles University.
Grants: 402/09/P154 Financial risk measurement for evaluating stock market efficiency
Abstract: 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.
Downloadable: WP 2009_29_Novak, Petr




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