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Returns on Assets and Returns on Stocks: Based on Swedish Market

Studyanikova, Tatiana LU and Sarantopoulou, Eirini LU (2011) NEKM03 20111
Department of Economics
Abstract (Swedish)
Title: Returns on Assets and Returns on Stocks: Based on Swedish Market. Authors:Tatiana Studyanikova and Eirini Sarantopoulou. Advisor:Hossein Asgharian. Key Words: Returns on assets (ROA), returns on stocks (ROS), variation, principal component analysis, firm-specific level. Purpose: Examine whether common factors of returns on stocks and returns on assets explain most of the variation in returns and earnings. Define the nature of the relation between the common factors of returns on assets and returns on stocks. Theoretical Background: This study is based on the principal component analysis and the factor model. Methodology:There have been derived 10 principal components for returns on assets and returns on stocks. By estimating... (More)
Title: Returns on Assets and Returns on Stocks: Based on Swedish Market. Authors:Tatiana Studyanikova and Eirini Sarantopoulou. Advisor:Hossein Asgharian. Key Words: Returns on assets (ROA), returns on stocks (ROS), variation, principal component analysis, firm-specific level. Purpose: Examine whether common factors of returns on stocks and returns on assets explain most of the variation in returns and earnings. Define the nature of the relation between the common factors of returns on assets and returns on stocks. Theoretical Background: This study is based on the principal component analysis and the factor model. Methodology:There have been derived 10 principal components for returns on assets and returns on stocks. By estimating time-series regressions, the amount of the variance explained by those common factors, for ROA and ROS, has been calculated and the correlation between them has been computed. Empirical Outcomes and Conclusions: The outcomes revealed that, for the firm-specific level, principal components of returns on assets explain more of the ROA variance when compared to the size of the variance which is explained by common factors in case of ROS. The insignificant correlation between the principal components of ROA and ROS has been found. (Less)
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author
Studyanikova, Tatiana LU and Sarantopoulou, Eirini LU
supervisor
organization
course
NEKM03 20111
year
type
H1 - Master's Degree (One Year)
subject
keywords
returns on stocks (ROS), Returns on assets (ROA), variation, principal component analysis, firm-specific level
language
English
id
1974408
date added to LUP
2011-06-17 11:25:46
date last changed
2011-06-17 11:25:46
@misc{1974408,
  abstract     = {Title: Returns on Assets and Returns on Stocks: Based on Swedish Market. Authors:Tatiana Studyanikova and Eirini Sarantopoulou. Advisor:Hossein Asgharian. Key Words: Returns on assets (ROA), returns on stocks (ROS), variation, principal component analysis, firm-specific level. Purpose: Examine whether common factors of returns on stocks and returns on assets explain most of the variation in returns and earnings. Define the nature of the relation between the common factors of returns on assets and returns on stocks. Theoretical Background: This study is based on the principal component analysis and the factor model. Methodology:There have been derived 10 principal components for returns on assets and returns on stocks. By estimating time-series regressions, the amount of the variance explained by those common factors, for ROA and ROS, has been calculated and the correlation between them has been computed. Empirical Outcomes and Conclusions: The outcomes revealed that, for the firm-specific level, principal components of returns on assets explain more of the ROA variance when compared to the size of the variance which is explained by common factors in case of ROS. The insignificant correlation between the principal components of ROA and ROS has been found.},
  author       = {Studyanikova, Tatiana and Sarantopoulou, Eirini},
  keyword      = {returns on stocks (ROS),Returns on assets (ROA),variation,principal component analysis,firm-specific level},
  language     = {eng},
  note         = {Student Paper},
  title        = {Returns on Assets and Returns on Stocks: Based on Swedish Market},
  year         = {2011},
}