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

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

Potential Unconventional Gas Plays in Mature Basin of the Czech Republic

The presence of unconventional resources has been proven in deeper parts of mature oil and gas provinces and coal basins of the world. In this context, it is worth to focus also on the prospects of unconventional gas production from within hydrocarbon provinces of the Moravian part of the Vienna basin. The estimation of hydrocarbon generation potential of Jurasic marls from the Mikulov Formation of the Czech part of the Vienna Basin was performed based on the Rock Eval pyrolysis

Surface plasmon resonance based measurement of the dielectric function of a thin metal film

A spectral method based on surface plasmon resonance (SPR) in air is used to measure the dielectric function of a thin metal film. The method utilizes the spectral dependence of the ratio of the reflectances of p- and s-polarized waves measured in the Kretschmann configuration at different angles of incidence. By processing these dependences in the vicinity of a dip, or equivalently near the resonance wavelength, and using the dispersion characteristics of a metal film according to a proposed physical model, the real and imaginary parts of the dielectric function of the metal can be determined. The corresponding dielectric function of the metal is obtained by a least squares method for such a thickness minimizing the difference between the measured and theoretical dependence of the resonance wavelength on the the angle of incidence. The feasibility of the method is demonstrated in measuring the dielectric function of a gold film of an SPR structure comprising an SF10 glass prism and a gold coated SF10 slide with an adhesion film of chromium. The dielectric function according to the Drude-Lorentz model with two additional Lorentzian terms was determined in a wavelength range from 534 to 908 nm, and the results show that the gold film is composed of homogenous and rough layers with thicknesses 42.8 nm and 2.0 nm, respectively. This method is particularly useful in measuring the thickness and dielectric function of a thin metal film of SPR structures, directly in the Kretschmann configuration.Web of Science1811art. no. 369

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