National Repository of Grey Literature 17 records found  1 - 10next  jump to record: Search took 0.00 seconds. 
Predictability of stock returns using financial ratios in Prague Stock Exchange
Brada, Jiří ; Pěkná, Martina (advisor) ; Benčík, Daniel (referee)
This paper studies whether financial ratios can predict stock return and change of indexes PX and PX-TR in Prague Stock Exchange for the period from 2008 to 2014. We select price to earnings ratio (PE), market to book ratio (MB), dividend yield (DY) and size of the company (S) as the explanatory variables because of its common application in investment practice. The obtained results indicate that above mentioned ratios have some predictive power, where the PE and MB ratios demonstrate the strongest relationship with the explained variables.
Does solar energy have a future in Central Europe?
Tůma, Ladislav ; Janda, Karel (advisor) ; Benčík, Daniel (referee)
The thesis evaluates the prospects of use of the solar energy in the Czech Republic. The thesis contains the estimation of merit-order effect caused by renewable sources. Its value is 5.74 EUR/MWh in 2014 out of which 2.37 EUR/MWh is attributable to the solar energy. Three hypothetical scenarios about the deployment of new solar power plants are construed. Results indicate that proliferation of such plants would increase the merit-order effect and make solar energy less competitive even if possible decrease in costs of generation is taken into account. Thus the thesis' conclusions do not support solar energy as the reasonable choice in the Czech Republic. In the last part, the effect of photovoltaic output on the system imbalance is examined. Solar production has the influence on the magnitude of the system imbalance but the decisive evidence about the impact on the volatility is not found. Powered by TCPDF (www.tcpdf.org)
Does the choice of method of forecast of index stock returns and the choice of investment strategy depend on index's industry affiliation?
Dobryashkina, Victoria ; Moravcová, Michala (advisor) ; Benčík, Daniel (referee)
Bibliography Reference DOBRYASHKINA, Victoria. Does the choice of method of forecast of index stock returns and the choice of investment strategy depend on index's industry affiliation? Prague 2015. 57 pages. Bachelor thesis (Bc.) Charles University, Faculty of Social Science, Institute of Economic Studies. Supervisor Michala Moravcova. Author's Email: Dobryashkina@gmail.com Supervisor's Email: Moravcovamichala@gmail.com Abstract The purpose of this thesis is to analyze and reveal if there is any dependence of index stock return valuation method on index's industry affiliation. The question about profitable strategy to react to valuation method's forecasts is also investigated. I focus on three methods of valuation: technical analysis, time series forecast and combination of rules from both technical and times series forecast rules, and test them on 10 Dow Jones Industrial Indices. Double-or-out strategy is compared to buy-and-hold strategy by estimation of its excess return. I found no dependence of choice of method on index's industry affiliation. However, the double-or-out strategy was proved to outperform buy-and-hold strategy in all of the industries. Keywords Stock Valuation Methods, Trend Prediction Analyses, Technical analysis, Fundamental analysis, Methods of valuation, Time series forecast,...
Credit default swaps
Veselý, Vladimír ; Pečená, Magda (advisor) ; Benčík, Daniel (referee)
The objective of this bachelor thesis is to analyze the credit default swap market and the current situation at the market. The paper could be divided into three parts. In the first part it introduces the basic concepts, principles and key products. The next section deals with the historical development of credit default swaps, regulatory actions taking place in recent years and market changes. Finally, the study points out the possibilities of the credit default swap pricing either by Hull-White model, par asset swap or linear regression. The thesis should help the reader to understand basic issues concerning credit default swaps. Keywords Credit default swap, credit risk, credit event, central counterparty, asset swap spread Length of the thesis 65 231
How to Identify Domestic Systematicaly Important Institutions (D-SIFI)
Melichar, Matěj ; Seidler, Jakub (advisor) ; Benčík, Daniel (referee)
1 Abstract The 2007 financial crisis has highlighted the problem of so-called "too-big-to-fail" financial institutions. These institutions are so large, interconnected and complex that their failure can cause significant distress in the financial system or even trigger a systemic crisis. In order to address the systemic risk posed by these institutions it is first necessary to identify them. BCBS has proposed a methodology to assess the systemic importance of global banks. This paper presents a methodology for identification of Czech domestic systemically important banks. The method is based on balance sheet indicators of banks. The assessment is using the data for years 2008-2012 and identifies four banks as systemically important for the Czech banking sector. Keywords Systemic importance, systemically important banks, SIFI Author's e-mail matej.melichar@seznam.cz Supervisor's e-mail seidler@fsv.cuni.cz
Are More Liquid Stocks Also More Efficient?
Kupka, Petr ; Krištoufek, Ladislav (advisor) ; Benčík, Daniel (referee)
Liquidity and informational efficiency are closely watched features of financial markets. Together with stock exchange size effect, captured by market capitalization, this thesis examines the triple of relationships among these three stock market properties. Applying methods of sequences and reversals ratio test, autocorrelation coefficient test and variance ratio test provided us with 14 proxy measures of efficiency for each stock. Daily prices and volumes traded for period 2003 - 2013 of 206 stocks sampled from 22 stock exchanges were used. The same data were used for Amihud illiquidity measure. The positive relationship between stock efficiency and liquidity was not strongly supported neither rejected. It turned out that stock liquidity is very strongly positively dependent on size of stock exchange where is that particular stock listed. It was also concluded that there are more efficient stocks listed in larger stock exchanged. JEL Classification: G12, G14, G15 Keywords: stock liquidity, stock exchange size, stock efficiency Author's e-mail: kupkapetr@gmail.com Supervisor's e-mail: kristoufek@ies-prague.org
Relationship between liquidity and volatility of selected exchange rate pairs
Kotek, Martin ; Krištoufek, Ladislav (advisor) ; Benčík, Daniel (referee)
The thesis explores relationship between volatility and liquidity of ten selected exchange rate pairs. Several volatility and liquidity measures are computed and the relationship between volatility-liquidity pairs is tested for cointegration and Granger causality; impulse response functions are computed as well. We find that volatility measures provide similar information (are cointegrated), while volatility measures differ to a large extent. A few cointegrating relationships between volatility and liquidity are found, but they are specific to only some currency pairs. Granger causality tests give different results for different currency pairs, but in general, the relationship between volatility and liquidity is two-way (feedback). Shocks in volatility or liquidity have little impact on the other and quickly fade away, usually within one or two days. Powered by TCPDF (www.tcpdf.org)
Exchange Rate Pass - Through to Domestic Prices: The Case of the Czech Republic
Hájek, Jan ; Horváth, Roman (advisor) ; Benčík, Daniel (referee)
In this thesis, we examine the exchange rate pass-through phenomenon in the Czech Re- public over 1998:1-2014:1 period. As our vector autoregression results indicate, short-term pass-through effect slowed down and prolongated its duration substantially. Consequently, the accumulated value to be transmitted increased compared to previous findings. In the case of exchange rate pass-through effect to CPI, the accumulated response after 18 months accounts for about 40-60 per cent. In this regard, our time-varying results using unique Chebyshev Time Polynomials points to period 2008-2014 to be the leading cause. It seems that during macroeconomically less stable periods the exchange rate pass-through in the Czech Republic tends to increase. Even though the consensus on the pass-through lev- els and its development over time is rather scarce, we find support for our conclusions. More interestingly, having in mind November's currency interventions of the Czech Na- tional Bank to weaken koruna (and thus avoiding deflation), our results reveal that this measure has become much more effective in the latest years (as consequence of the crisis) than previous literature suggested. Following up on that, it seems that exchange rate regained some of its rather historical importance while conducting monetary policy...
Exchange Rate Pass-Through to Domestic Prices: The Case of the Czech Republic
Hájek, Jan ; Horváth, Roman (advisor) ; Benčík, Daniel (referee)
In this thesis, we examine the exchange rate pass-through phenomenon in the Czech Re- public over 1998:1-2014:1 period. As our vector autoregression results indicate, short-term pass-through effect slowed down and prolongated its duration substantially. Consequently, the accumulated value to be transmitted increased compared to previous findings. In the case of exchange rate pass-through effect to CPI, the accumulated response after 18 months accounts for about 40-60 per cent. In this regard, our time-varying results using unique Chebyshev Time Polynomials points to period 2008-2014 to be the leading cause. It seems that during macroeconomically less stable periods the exchange rate pass-through in the Czech Republic tends to increase. Even though the consensus on the pass-through lev- els and its development over time is rather scarce, we find support for our conclusions. More interestingly, having in mind November's currency interventions of the Czech Na- tional Bank to weaken koruna (and thus avoiding deflation), our results reveal that this measure has become much more effective in the latest years (as consequence of the crisis) than previous literature suggested. Following up on that, it seems that exchange rate regained some of its rather historical importance while conducting monetary policy...
Are the more popular stocks also the more risky ones?: Google and Wikipedia searches in portfolio optimization
Brunová, Kristýna ; Krištoufek, Ladislav (advisor) ; Benčík, Daniel (referee)
This thesis studies if the web search data provided by Google Trends and Wikipedia can be utilized for portfolio diversification. We build up on the empirical results indicating that the surge in online attention paid towards a specific stock is associated with an increase in the stock price volatility. Therefore, we employ a diversification strategy that discriminates for the popularity of a stock by assigning it a lower portfolio weight. Conversely, the least searched stocks are preferred in the portfolio. To measure the popularity of a stock, we focus on Google search volume for stock-related terms as well as on Wikipedia pageviews of the corresponding company's page. Our results show that the search-based strategies outperform the benchmark index and the uniformly distributed portfolio, reaching lower risk level and higher standardized average returns. Moreover, these strategies are successful even in the out-of-sample.

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