National Repository of Grey Literature 27 records found  1 - 10nextend  jump to record: Search took 0.00 seconds. 
Portfolio investment for individual investors : (portfolio recommendations for three case studies)
Žigraiová, Diana ; Pečená, Magda (advisor) ; Baxa, Jaromír (referee)
The thesis focuses on the portfolio investment area with respect to individual investors. It discusses their investment possibilities and behavioural aspects that may be the cause of deviations in investors' behaviour from rationality and which as well have the impact on forming their investment objectives. On the three investor case studies two qualitatitive methods of asset allocation are studied, eventually dividing the content of their investment portfolios between stocks and bonds. Additionally, the extension to the traditional stock and bond allocation is performed by means of real estate, commodities and art and antiques and its appropriateness is analyzed for each case study investor. At the very end of the thesis a quantitative mean-variance optimization method of asset allocation is mentioned.
Financial earthquakes: Are volatility correlations related to Omori's law?
Bureš, Vlastimil ; Krištoufek, Ladislav (advisor) ; Žigraiová, Diana (referee)
The purpose of this thesis is to analyze the market dynamics in periods following a large financial shock. In order to do so, we compute the cumulative number of times the volatility is greater than a given threshold. Such a method is analogous to Omori's law from geophysics. We draw statistical evidence from three different events. The first one is concerned with the death of Steve Jobs and how it affected the evolution of Apple's share price. The second one focuses on the Flash Crash of 2010 when the Dow Jones Industrial Average experienced the largest drop of 900 points. And the last one is when IBM announced its 2013Q1 earnings which were significantly below expectations. By employing two different approaches to volatility calculation, we are able to compare the obtained results and thus draw a more definite conclusion. Our findings suggest that the decay rate of after-shocks for the considered earthquakes is well described by a power-law which is analogous to Omori's law. Powered by TCPDF (www.tcpdf.org)
Systemic Risks Assessment and Systemic Events Prediction: Early Warning System Design for the Czech Republic
Žigraiová, Diana ; Jakubík, Petr (advisor) ; Doležel, Pavel (referee)
This thesis develops an early warning system framework for assessing systemic risks and for predicting systemic events, i.e. periods of extreme financial instability with potential real costs, over the short horizon of six quarters and the long horizon of twelve quarters on the panel of 14 countries both advanced and developing. Firstly, Financial Stress Index is built aggregating indicators from equity, foreign exchange, security and money markets in order to identify starting dates of systemic financial crises for each country in the panel. Secondly, the selection of early warning indicators for assessment and prediction of systemic risks is undertaken in a two- step approach; relevant prediction horizons for each indicator are found by means of a univariate logit model followed by the application of Bayesian model averaging method to identify the most useful indicators. Next, logit models containing useful indicators only are estimated on the panel while their in-sample and out-of-sample performance is assessed by a variety of measures. Finally, having applied the constructed EWS for both horizons to the Czech Republic it was found that even though models for both horizons perform very well in-sample, i.e. both predict 100% of crises, only the long model attains the maximum utility of 0,5 as...
Housing Prices in the Czech Republic and Slovakia: Regional Comparison
Cempírek, Petr ; Hlaváček, Michal (advisor) ; Žigraiová, Diana (referee)
The objective of the present Bachelor's thesis is to compare the behavior of housing prices in the Czech Republic and Slovakia using econometric analysis. First, the author presents the historical context and basic housing indicators. After verifying that variables in dataset are cointegrated, a panel DOLS es- timator for modelling housing prices is employed. The author uses quarterly regional data in order to analyze the response of basic housing price fundamen- tals in the two countries that formed one federation until 1992. By forming a short run equation with an error-correction term the author checks for the existence of long run housing price equilibrium and for the speed of price rever- sion to equilibrium in case it is misaligned. The author then focuses on housing price misalignments as well as their dynamics in the individual regions.
Essays in Empirical Financial Economics
Žigraiová, Diana ; Jakubík, Petr (advisor) ; Witzany, Jiří (referee) ; Teplý, Petr (referee) ; Gächter, Martin (referee)
This dissertation is composed of four essays that empirically investigate three topics in financial economics; financial stress and its leading indicators, the relationship between bank competition and financial stability, and the link between management board composition and bank risk. In the first essay we examine which variables have predictive power for financial stress in 25 OECD countries, using a recently constructed financial stress index. We find that panel models can hardly explain FSI dynamics. Although better results are achieved in country models, our findings suggest that financial stress is hard to predict out-of- sample despite the reasonably good in-sample performance of the models. The second essay develops an early warning framework for assessing systemic risks and predicting systemic events over two horizons of different length on a panel of 14 countries. We build a financial stress index to identify the starting dates of systemic financial crises and select crisis-leading indicators in a two-step approach; we find relevant prediction horizons for each indicator and employ Bayesian model averaging to identify the most useful predictors. We find superior performance of the long-horizon model for the Czech Republic. The theoretical literature gives conflicting predictions on how bank...
Wage dynamics and financial performance: evidence from Czech firms
Babecký, Jan ; Galuščák, Kamil ; Žigraiová, Diana
This paper examines how the financial performance of a firm affects its wage policy. For this purpose, we match data on Czech firms from the Wage Dynamics Network survey covering the period 2010–2013 with balance sheet data. Controlling for a number of firm-specific characteristics and the environment in which firms operate, we find that financial performance matters for wage setting: contractual wages are more likely to grow in firms with a higher ratio of cash flow to total assets and in firms that invest more. Conversely, firms that froze or cut contractual wages during the survey period had lower cash flow over total assets, but not necessarily a lower investment ratio. The flexible wage component exhibits a similar pattern, but is more sensitive to demand shocks and firms’ financial conditions.
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Essays in Empirical Financial Economics
Žigraiová, Diana ; Jakubík, Petr (advisor) ; Witzany, Jiří (referee) ; Teplý, Petr (referee) ; Gächter, Martin (referee)
This dissertation is composed of four essays that empirically investigate three topics in financial economics; financial stress and its leading indicators, the relationship between bank competition and financial stability, and the link between management board composition and bank risk. In the first essay we examine which variables have predictive power for financial stress in 25 OECD countries, using a recently constructed financial stress index. We find that panel models can hardly explain FSI dynamics. Although better results are achieved in country models, our findings suggest that financial stress is hard to predict out-of- sample despite the reasonably good in-sample performance of the models. The second essay develops an early warning framework for assessing systemic risks and predicting systemic events over two horizons of different length on a panel of 14 countries. We build a financial stress index to identify the starting dates of systemic financial crises and select crisis-leading indicators in a two-step approach; we find relevant prediction horizons for each indicator and employ Bayesian model averaging to identify the most useful predictors. We find superior performance of the long-horizon model for the Czech Republic. The theoretical literature gives conflicting predictions on how bank...
Essays in Empirical Financial Economics
Žigraiová, Diana ; Jakubík, Petr (advisor) ; Witzany, Jiří (referee) ; Teplý, Petr (referee) ; Gächter, Martin (referee)
This dissertation is composed of four essays that empirically investigate three topics in financial economics; financial stress and its leading indicators, the relationship between bank competition and financial stability, and the link between management board composition and bank risk. In the first essay we examine which variables have predictive power for financial stress in 25 OECD countries, using a recently constructed financial stress index. We find that panel models can hardly explain FSI dynamics. Although better results are achieved in country models, our findings suggest that financial stress is hard to predict out-of- sample despite the reasonably good in-sample performance of the models. The second essay develops an early warning framework for assessing systemic risks and predicting systemic events over two horizons of different length on a panel of 14 countries. We build a financial stress index to identify the starting dates of systemic financial crises and select crisis-leading indicators in a two-step approach; we find relevant prediction horizons for each indicator and employ Bayesian model averaging to identify the most useful predictors. We find superior performance of the long-horizon model for the Czech Republic. The theoretical literature gives conflicting predictions on how bank...
The impact of electric vehicles on the automobile industry
Pavelková, Adéla ; Chytilová, Julie (advisor) ; Žigraiová, Diana (referee)
The main aim of this bachelor thesis is to identify the current and future importance of the electric vehicles. Apart from global situation, it also investigates the development in China, Europe, Norway and the U.S. To see the future position of electric vehicles on the automotive market, trend analysis and Bass Diffusion Model were used. The results showed that in the year 2035, the share of sales of electric vehicles will slowly approach a threshold of 50% in all analysed regions. The exception is Norway where the market of electric vehicles is already developed. Next, the correlation analysis was applied to measure the relationship between the sales of electric vehicles and internal combustion engine vehicles. It was shown that the correlation is relatively strong with the same direction. The sales are influenced by similar factors. Furthermore, the correlation analysis was used to detect the relationship between the sales of electric vehicles and price of gasoline. The coefficient was positive. At the end, the regression analysis was applied to measure the cross elasticity of demand between electric and internal combustion engine vehicles. It was proved that these vehicles are substitutes. That means that the price of internal combustion engine vehicle can affect the sales of electric vehicles.
Presidential rhetoric, sentiment and their relation to stock markets
Partelová, Mária ; Šopov, Boril (advisor) ; Žigraiová, Diana (referee)
This thesis intends to uncover the linkages between the emotions contained within remarks of the president of the United States expressed on Twitter and movements of the stock market indices. The daily comments of the two consecutive presidents, Barack Obama and Donald Trump are annotated with sentiment intensity values using the lexicon-based model called VADER. Our analysis further focuses on testing for Granger causality using the bivariate vector autoregression. Overall, three major stock market indices are employed in testing, namely DJIA, S&P 500 and NASDAQ. The results yield a statistically significant Granger causal relationship in the case of the first differences of DJIA and S&P 500 logarithms with time series of Barack Obama's sentiment values.

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