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Analysis of German Electricity Market
David, Vojtěch ; Kracík, Jiří (advisor) ; Čornanič, Aleš (referee)
Bachelor thesis analyses situation at electricity market in Germany. It shows historical development of liberalization of monopolist market. Structure of market is investigated. Thesis comments other legislation and its dependency. Granger causality test did not derive any causality between real GDP and electricity consumption. There was used data from 1970 to 2009. Thesis comments environment in point of German view. Thesis predicts next development.
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Seasonal Effects on Stock Markets in Europe
Rosol, Jaroslav ; Kukačka, Jiří (advisor) ; Čornanič, Aleš (referee)
This thesis researches the problem of stock market efficiency and market anomalies. Specifically, we look on European stock markets and possible presence of four seasonal effects - January, Halloween, Turn-of-the-month and Monday effects. These seasonal anomalies imply that returns for specific period are unusually higher or lower than returns for the rest of the time, which presents a challenge for the Efficient Market Hypothesis. The empirical side of this problem is the possible opportunity for excessive profit from trading on stock markets that could be based on the seasonal anomalies. Firstly, we summarize previous research in the field and attempts of explanation of individual effects. Further, we present the tools needed for our analysis - Ordinary Least Squares regression with dummy variables and few extensions. Data used for the analysis consists of 32 European stock indices. The actual analysis is performed as a comparison of returns on stock for certain specified periods. The evidence on January and Monday effects is found not strong enough to confirm the presence of such anomalies. On the other side, there is enough significant evidence on the presence of Halloween and Turn-of-the-month effects. Moreover, we are unable to explain the Halloween effect as manifestation of January effect. Powered...
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How the Composition of Siblings Affects Child Health Quality
Šubáková, Dominika ; Chytilová, Julie (advisor) ; Čornanič, Aleš (referee)
The core of the presented bachelor thesis is to determine the effects of sibling's composition on child health quality. The first part of the thesis is focused on the microeconomic description of Model of Human Capital Investment, the Gender-Specific Model in particular. Also other findings and the health system of the examined countries are presented. In the second part, based on the findings from the theoretical model, three hypotheses are stated. Methodology is explained and econometric model is presented. How the gender, ratio of sisters and birth order affect health of children are subsequently tested for chosen Asian countries, namely, Bangladesh, India and Nepal. The last part is devoted to the description of empirical results and the occurred differences are discussed. The sibling's composition has shown to be an influential factor, mainly gender and ratio of sisters. Key words child health, sibling structure, allocation of household resources, human capital investment
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Working capital management in retail
Dibon, Michael ; Čornanič, Aleš (advisor) ; Novák, Jiří (referee)
This master thesis is focused on operating working capital and its implication towards corporate performance in the retail industry in a relevant business framework that takes into account structural changes in the industry. Our results suggest that there is a negative relationship between cash conversion cycle and corporate performance. Therefore, the management of retail companies should focus on shortening the cash conversion cycle to create value. However, in the apparel retail industry, companies with exceptionally long cash conversion cycles are better off keeping working capital investments high as those companies generate on the WC higher profitability than are the opportunity costs for this allocated capital. Finally, we have not found enough evidence to conclude that investment strategies based on the cash conversion cycle are able to generate alpha. However, there seems to be a sign of persistence for value-weighted portfolios. JEL Classification G31, G32 Keywords Working capital, Working capital management, Cash Conversion Cycle, Retail Author's e-mail michael.dibon@gmail.com Supervisor's e-mail ales.cornanic@gmail.com
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Demand for Cash and Negative Interest Rates
Slouková, Eliška ; Havránek, Tomáš (advisor) ; Čornanič, Aleš (referee)
The literature related to both money demand and negative interest rates is rich in general. However, a piece of work covering the intersection of those two topics is missing. Thus, this thesis focuses on differences in the demand for cash once NIRP is implemented. Using data of real GDP, inflation, interest rates and currency in circulation for economies functioning under negative rates - Denmark, Sweden, Switzerland, The Euro Area, and Japan - VAR models and respective impulse response functions (IRFs) are estimated. Then we compare the response of real money balances to an exogenous one standard deviation shock to interest rate before and after NIRP is implemented. Furthermore, we carried out Johansen test for cointegration, suggesting the existence of cointe- grating relations. Thus, VECMs are employed. Consequently, cumulative IRFs and long-run relations are investigated. Due to only limited sample size avail- ability resulting from still very recent implementation of NIRP, the analysis is rather indicative. Nevertheless, our results suggest that the reaction of real money balances to one standard shock in interest rate might be more substantial in the environment of negative rates. Moreover, all long-run money demands estimates using VECM suggest an increase in the magnitude of interest rates elasticity...
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State ownership and ownership concentration as determinants of dividend policy
Picálek, Jan ; Čornanič, Aleš (advisor) ; Malinská, Barbora (referee)
This bachelor thesis complements the existing research on implications of various ownership structures on dividend policy. It extends the literature focused on state ownership and its impact on dividend amount paid out to shareholders for testing such relationship in the environment of EU listed stock market and EU government agencies, scope so far lacking in the scientific literature. Moreover, it provides new way of testing agency theory of dividends by adopting Herfindahl's index as proxy of ownership concentration. Therefore, interaction between shareholders is accounted for as opposed to the commonly used proxy largest shareholder. As a result, this thesis helps to explain relations between various ownership structure characteristics and dividend policies. Primary econometric methods, panel data estimation methods, of this thesis found significantly positive relationship between state owned enterprises and the amount of profit distributed among shareholders. Compared to existing research on emerging economy of China, less evidence is found. Therefore, I argue that tunnelling tendencies in EU are substantially lower due to level of market development and minority investor protection in EU. The results also back up the agency theory, however, its influence is found to be lower than proposed by...
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The weather and stock returns
Černý, Patrik ; Kukačka, Jiří (advisor) ; Čornanič, Aleš (referee)
This thesis examines a behavioral finance topic, the effect of weather on stock returns. The research was performed with the aim to verify formerly published results of various weather variables like sunshine, precipitation or temperature influencing stock markets. For the analysis Ordinary Least Squares regressions were implemented to investigate the relationships of stock returns and weather variables proposed in the previous literature as well as other market efficiency effects, a Monday and a January effect. In addition, GARCH model was carried out to check the influence of weather conditions on stock return volatility. Data used for the analysis consists of 24 emerging and 23 developed markets worldwide in the period 2006-2017. The results are not in support of the theory of weather affecting market trading which corresponds to the market efficiency theory. There seems to be no difference between the developed and emerging countries, not even countries' land area plays a role. However, in the thesis repeatedly appears significant evidence of the presence of the Monday effect. Keywords Behavioral finance, Weather effect, Market efficiency, Anomaly, GARCH 1
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Impact of Size and Other Factors on SMEs Performance: Evidence from the Czech Republic
Parlásková, Eva ; Čornanič, Aleš (advisor) ; Malinská, Barbora (referee)
This bachelor thesis is focused on an analysis of the impact of the SME size on its performance. Return on assets and cash flow from operations used as the performance measures. Some other additional factors are included in the models such as firm age and liquidity to provide a closer look at the determinants of the firm performance. Although there have been many studies examining the factors influencing the firm performance, these studies were analysing this problem in general. Thus, our research is focused on the private small and medium-sized enterprises in the Czech Republic in years 2010 - 2016. Empirical methods using the panel data were applied to test the hypotheses. The results show that there is a significant and a positive relationship between the firm size and its performance. This relationship does not change with the different measures of the firm performance nor the different measures of the firm size.
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