CAPM Beta, Size, Book-to-Market, and Momentum in Realized Stock Returns

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.stock returns, asset pricing, risk, multifactor models, CAPM, size, book-to-market, momentum, Sweden

Empirical Risk Factors in Realized Stock Returns

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.stock returns, asset pricing, risk, multifactor models, CAPM, size, book-to-market, momentum, Sweden

On the importance of clean accounting measures for the tests of stock market efficiency

Tests of the semi-strong form of the efficient market hypothesis (EMH) typically use earnings and book value of equity as benchmarks of fundamental value. Accounting earnings, however, are contaminated by noise due to their transient component and book value of equity tends to be biased downwards due to accounting conservatism. We investigate whether controlling for these effects impacts on the implications concerning the information efficiency of the Swedish stock market. We conclude that relevant adjustments increase both the magnitude and the consistency of the value premium earned on a contrarian investment strategy that buys (shorts) stocks with low (high) relative market valuation. The existence of the value premium cannot be explained by common risk proxies or transaction costs argument. Using cleaner accounting proxies thus strengthens the evidence on the imperfect efficiency of the Swedish stock market.market efficiency, investment, contrarian strategy, transitory earnings, accounting conservatism, Sweden, Scandinavia

Ethical vs. Non-Ethical – Is There a Difference? Analyzing Performance of Ethical and Non-Ethical Investment Funds

Ethical investments have become increasingly popular over the past years. Ethical funds restrict their investment based on environmental, social and/or ethical criteria. Prior research on the performance of ethical versus non-ethical funds yields mixed results. This paper investigates the differences in risk profiles and realized returns between ethical and non-ethical funds. A sample of 23 ethical funds and 152 non-ethical funds covering the time period between 2000 and 2007 is investigated. The analysis of the portfolio composition shows that there are small differences in the structure of portfolios concerning industry composition and company size. However, the ethical funds tend to hold more stocks in their portfolios than non-ethical ones. The results provide some evidence on the underperformance of ethical funds; this underperformance is stronger in years of poor stock market performance, which indicates that systematic risk of ethical funds may be higher.ethical, social responsible investment, SRI, investment, funds, portfolio, returns, risk, screening, Sweden

Detection of Emergent Situations in Complex Systems by Structural Invariant (MB, M)

The paper introduces complete description of the detection method that uses structural invariant Matroid and its Bases (MB, M). There are recapitulated essential concepts from the used knowledge field as “complex system, emergent situations (A, B, C)”, Ramsey theorem and principal computation variables “power” and “complexity” of emergence phenomenon. The method is explained in details and the demonstration of its application is done by the detection of emergent situation – violation of Short Water Cycle in an ecosystem

Different Perception of Health Status and Importance of Physical Activity among Croatian, Slovak and Czech Youth

The main aim of the study was to compare self-perception of health status and importance of physical activity in students in Croatia, Slovakia and the Czech Republic. We used a self-designed questionnaire originally prepared in the Slovak language that was translated in mother languages for Czech and Croatian students. The questionnaire consists of five parts (we focused only on one part – physical activity and health) and basic demographical data. We obtained 1,368 questionnaires from first and last grade of high school students. For answers to 15 statements, students used 5-point Likert scale. Health status was perceived as excellent or very good by large portion of Croatian boys compared to Czech and Slovak boys. Physical activity helps students to be fit and to better assess situation in real life. Importance of physical activity should be promoted because not only does it make people fit but also helps them work, study, and relax better