National Repository of Grey Literature 140 records found  1 - 10nextend  jump to record: Search took 0.00 seconds. 
The Effect of M&A on Competitors' Performance in China and the US
Wojnarová, Renáta ; Kukačka, Jiří (advisor) ; Teplý, Petr (referee)
We examine the effect of merger announcements on the stock performance of acquirers' industry rivals in the context of Chinese and US deals between 1994 and 2017. Our analysis reveals that investors of rivals are able to earn abnormal returns during days around merger announcement, meaning that markets are not fully efficient as implied by the Efficient market hypothesis. We conclude that in a reaction to the announcement, US rivals achieve generally negative abnormal returns with higher magnitude and volatility compared to Chinese rivals. Additionally, we observe that Chinese investors' perception of mergers turned out to be more conservative after the Global financial crisis. During days around the merger announcement, signs of rivals' abnormal returns also differ on whether the target is public or private in both countries. Rivals operating in industries that are substantially supported by Chinese government such as real estate, pharmaceuticals, and chemicals experience positive reaction on mergers of their competitors. Furthermore, we find that industries with increasing im- portance in Chinese developing economy such as banking, telecommunications, and cyclical consumer products show a positive reaction of rivals' returns on merger announcements while in the developed US economy, a negative...
Determinants of Non-Performing Loans in Eurozone and Non-Eurozone Countries
Rruga, Alisa ; Teplý, Petr (advisor) ; Novák, Jiří (referee)
This paper represents an empirical analysis of the determinants of Non- performing loans in Eurozone and Non- Eurozone countries. We contribute to the literature by including a comprehensive literature review and examining a large sample of annual data on 534 banks from both euro and non- euro member countries during the time period from 2012 to 2017. The timeline taken into study includes also the period of zero and negative rates in EU. By applying System GMM methodology, we find the empirical evidence to draw the conclusions regarding our four hypotheses as it follows. First, a better loan quality is found to be in Eurozone countries compared to the Non-Eurozone countries. We found out that both macroeconomic and bank related variables significantly impact the levels of NPLs. Second, the bank size resulted to have a non significant impact on loan quality during the studied period. Third, we considered also three industry related variables which also resulted to not have any impact in the fluctuations of bad loans. Finally, we show that the prolonged period of low interest rates has shaped the expectations for the future and has changed the slope of the yield curve thus significantly impacting the quality of loans. JEL Classification C33, E43, E52, E58, G21F12, F21, F23, H25, H71, H87 Keywords...
Collateralized Debt Obligation: Valuation and Sensitivity Analysis
Benešová, Petra ; Teplý, Petr (advisor) ; Dědek, Oldřich (referee)
A collateralized debt obligation (CDO) is a highly leverage structured credit product linked to credit events of a pool of underlying debt securities. CDO can be understood as an insurance against a credit risk of the pool where its issuer is a protection buyer and its investor is a protection seller. Whereas a CDO issuance has boomed in recent years, by the end of 2008 two thirds of CDOs were in a formal state of default. The aim of this thesis is to clear up the course of events which lead to the suspension of the CDO market and to deduce recommendations for its future development. To do so we develop a valuation program in MS Excel VBA based on a One Factor Gaussian Copula model. Using the program we first apply a sensitivity analysis, than we model value of a CDO tranche before the financial crisis stroke and after it to value a loss of investors based on a change in expected cash- flows. We detect four main deficiencies. First, the market was not properly diversified. Second, the valuation model was often not deeply understood which led to a mispricing of CDO tranches. Third, this resulted in a mispriced base correlation. We also numerically demonstrate the fourth deficiency, i.e. the mark-to-market valuation obligation which can have destructive effects. Recommendations to remove these...
Central Banks' Gold Holdings and Independence
Kamenská, Monika ; Havránek, Tomáš (advisor) ; Teplý, Petr (referee)
In this thesis, we aim to unveil potential relation between gold in the reserves of central banks and the independence of these institutions. As a reaction to several statements of central bank representatives, we assume that gold might be a determinant of central banks' independence. Following these statements, the key contribution of this thesis was defined: to verify these declarations and the general belief of gold's role within central banks' reserves in the relation to their independence, using empirical data. For that purpose, we examine panel data consisting of information from 145 countries between years 1970 and 2012. As for the control variables, economic variables such as GDP per capita, inflation, exchange rate regime, current account to GDP and broad money and political variables from the range of word governance indicators are employed. The regression results of basic model obtained by fixed effects estimation suggest that, indeed, there might be a significant effect of share of gold on the central bank independence index. However, as the results imply negative relation, we cannot confirm if the effect is real due to endogeneity problem. Moreover, the effect of gold reserves on the central bank independence was not confirmed when employing a different estimation technique -...
Macroeconomic factors of bank profitability in the EU
Lukášková, Karolína ; Kuc, Matěj (advisor) ; Teplý, Petr (referee)
This thesis focuses on a sample of banks operating in the European Union during 2010-2017. Using econometric analysis, the impact of government spending was examined as well as fiscal freedom and monetary freedom on bank profitability. The GMM system method was employed as the main instrument of empirical analysis and data from analysis was obtained from the BankScope database and from The Heritage Foundation. The results of the analysis show a significant negative impact from government spending and monetary freedom on the bank's profitability. However, the impact of fiscal freedom is insignificant.
Impact of zombie firms on the weak post-crisis growth of the Slovak Republic
Bosák, Martin ; Pleticha, Petr (advisor) ; Teplý, Petr (referee)
Productivity growth is diminishing among OECD countries, coupled with increased differences in productivity development among enterprises and misallocation of resources. A recent literature focuses on the role of zombie firms, defined as old firms that have persistent problems meeting their interest payments, to explain these developments. This thesis examines the extent to which zombie firms are stifling labour productivity performance. Using a rich firm-level dataset for Slovakia, we assess the role of zombies on firm dynamics. We confirm the results that prevalence of zombie firms curbs the growth of healthy firms and thus dragging aggregate productivity down. Controlling for cyclical effects, our analysis shows that zombie firms over the period 2003-2013 are significantly less productive within industries than their healthy counterparts. Furthermore, a higher share of industry capital or employment sunk in zombie firms is associated with lower labour productivity, investment and employment growth of the typical non-zombie firm, which results in less productivity-enhancing capital reallocation. These results highlight the role of public policy in addressing prevalence of zombie firms, fostering a more efficient resource allocation and enabling productivity growth.

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4 Teplý, Pavel
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