The occurrence of ferromagnetism in nanoparticles of otherwise non-magnetic oxides seems to be well established. It is, however, necessary to understand the origin of ferromagnetism in these materials. Herein, we present a combined study of the magnetic properties and photoluminescence (PL) behavior of nanoparticles of ZnO, ZrO2, and MgO annealed at different temperatures (and therefore of different sizes). We find that the magnetization and the intensity of the bands due to defects vary parallel in all these materials. The adsorption of ethanol leads to a decrease in the magnetization and to a reduced intensity of the defect PL band of ZnO nanoparticles whereas UV irradiation has the opposite effect. We have also examined the effect of the morphology of the ZnO on the properties.