National Repository of Grey Literature 47 records found  previous11 - 20nextend  jump to record: Search took 0.00 seconds. 
Accounting-based credit scoring models - The Altman Z-score
Dibon, Michael ; Čornanič, Aleš (advisor) ; Kukačka, Jiří (referee)
This Bachelor thesis is focused on accounting-based credit scoring models, predominantly on Altman (1968) Z-score. We examine the relevance of the Z-score model on European publicly traded companies over the period 2012 - 2017. Moreover, we analyze whether it is important to calibrate original models as well as we test the performance of models given different misclassification costs. Our results suggest that Altman original Z-score model is still, after 50 years of existence, relevant in the European after-crisis environment. Further, we found evidence that re-estimation of the model is unnecessary and could even cause harm to model performance. Finally, the performance of models seems to be stable given not equal misclassification costs, as the more accurate models from ROC analysis reported better results in an economic test. Keywords Z-score, accounting-based models, credit score, Altman, financial ratios, bankruptcy, ROC, Europe
Extending Hotelling's location model into Agent-based domain
Vainer, Jan ; Kukačka, Jiří (advisor) ; Smutná, Šarlota (referee)
This thesis examines behaviour of adaptive agents in Hotelling's location model. We conduct an agent-based simulation in Hotelling's setting with two agents, where the agents use Nash-Q learning mechanism for adaptation. Traditional game-theoretic models often stand on strong assumptions imposed on players such as rationality and perfect information. We explore what alternations or re- finements of results this technique brings in comparison to the original analytical solution of the theoretical Hotelling's location model. We discover that under Nash-Q learning and quadratic consumer cost func- tion, agents with high enough valuation of future profits learn behaviour similar to aggressive market strategy, where both agents make similar products and lead a price war in order to eliminate their opponent from the market. This be- haviour closely resembles the Minimum differentiation principle from the original Hotelling's paper with linear consumer costs. This result is surprising because in our simulation, quadratic consumer cost functions are used, which should result in maximum differentiation of the products. Our results suggest that the Prin- ciple of minimum differentiation could be justified based on repeated interaction of the agents and long-run optimization. Additionally, suitability of...
Inflation Targeting Turns Ten in Georgia: Assessment of the Experience
Megrelishvili, Ketevan ; Baxa, Jaromír (advisor) ; Kukačka, Jiří (referee)
The paper evaluates transition of the monetary policy in Georgia to inflation targeting and the record of the first years of experience with this policy. The inflation targeting was officially announced in 2009; nevertheless, the National bank of Georgia ("NBG") was investigating and planning the transition since 2006. The NBG implemented new instrument the monetary rate - as a precondition for switching to the inflation targeting. The NBG has also improved the independence and transparency following its introduction. Then, we assess the success of the policy change by investigating the efficiency of the monetary transmission mechanism using vector auto-regression models with alternative identification schemes, in particular, the Cholesky decomposition and sign restrictions approach. Our findings suggest that the monetary transmission mechanism works primarily via the Tbilisi interbank rate while the effects of changes in the newly implemented monetary policy rate are bit weaker. The maximum price decrease is achieved after about 15-17 months and it somewhat coincides with the NBG's horizon (4-6 quarters). We have further established that the monetary policy supports the financial stability to a certain extent. JEL Classification E4, E52, P2 Keywords Inflation targeting, Monetary Transmission...
Agent-Based Analysis of Market Potential for Electric Vehicles in the Czech Republic
Wojnarová, Renáta ; Kukačka, Jiří (advisor) ; Chorna, Olena (referee)
This study explores the economical, ecological, and social impact of poten- tial rise of the number of electric vehicles in the Czech Republic. For this purpose, the methodology of agent-based modelling and cost-benefit analysis is used. Particularly, a simple agent-based model in the NetLogo software is created and calibrated to the Czech environment. It enables us to examine the impact of possible policies aimed at increasing electric vehicles' market potential. Results of the cost-benefit analysis suggest that under the current Czech conditions, over their whole life cycle, electric vehicles produce less CO2 emissions in comparison to conventional internal combustion engine vehicles and thus, are more ecological. With the actual policy without any financial incentives, however, electric vehicles' total costs connected to their purchase, usage and maintenance for an average Czech consumer are still higher com- pared to conventional vehicles. If the government would intend to signific- antly increase electric vehicles' market share, both financial incentives and policies making their everyday usage easier are suggested to be implemented. Purchase discounts together with accessibility advantages are, according to this analysis, the most effective ways. Charging infrastructure development and electricity...
Spillovers between low and high risk assets during business cycle
Matyáš, Jan ; Krištoufek, Ladislav (advisor) ; Kukačka, Jiří (referee)
1 Abstract This master thesis examines linkages among bond and stock markets in Ger- many, Austria and Italy. For the purpose of analysis of return spillovers, we use Spillover index framework which enables us to describe development of inter- market linkages over time. The data used in the study includes the period from January 2nd, 1998 to May 23rd, 2017 which allows us to estimate long- term development of spillovers among markets. We find unequal link between stocks and bonds and increase in co-integration of markets during the financial crisis of 2007-2008 with significant persistence after the crisis. Mechanism of transmission of financial shocks among European countries is affected by eco- nomic and political integration of countries. We identify strong interlinkages of markets with substantial influence of Italian assets in transmitting shocks to German and Austrian assets, especially during periods of economic distress. On the other hand, Germany represents an open economy that is increasingly integrated to other markets. Scale of return spillovers is highly dependent on economic situation which is evident from clustering of high spillovers during recessions and a great deal of persistence of these interdependencies. JEL Classification G01, G12, G15, C63, C67 Keywords return spillovers, asset...
Willingness to pay for electricity-driven passenger vehicles
Horváthová, Inés ; Ščasný, Milan (advisor) ; Kukačka, Jiří (referee)
This thesis analyses stated preferences for 4 different types of passenger ve- hicles (conventional, hybrid electric, plug-in hybrid, and battery electric vehi- cles). The discrete choice experiment survey was conducted in Poland in 2014. With the use of latent class model it was possible to identify and describe dis- tinct segments in the population with varying preferences for the propulsion technologies: groups with strong and weak preferences for conventional vehi- cles, segments preferring pure hybrid and plug-in hybrid electric vehicles, and a class in favour of battery electric vehicles. Even though it was found that on average consumers would require compensation up to 22,200zł (e5,311) to switch to using an electric vehicle, respective segments in the population would be willing to pay around 10,100zł (e2,417) for this change in case of pure hy- brid, around 21,400zł (e5,128) in case of plug-in hybrid, and around 92,800zł (e22,199) in case of battery electric vehicles.
Corporate Social Responsibility and Stock Market Performance: CSR Impact After the Financial Crisis and the Role of Primary CSR Activities
Pinteková, Aneta ; Kukačka, Jiří (advisor) ; Štěpánek, Martin (referee)
This thesis analyses the relationship between corporate social responsibility and com- panies' stock market performance in the post-financial crisis period. A new measure of social responsibility is used, called Thomson Reuters Environmental, Social, Governance, and Controversies Score. The results of the Fixed Effects regression show a significant, positive impact of the Score on the financial results of companies. Socially responsible activities are further divided into those closely related to the specific type of business of examined companies, called primary, and into those that are not dir- ectly related to the companies' business core, called secondary. Such distinction has not yet been made in the academic literature. Empirical results suggest that if companies aim at increasing their share prices also via the corporate social responsibility channel, they are encouraged to select their socially responsible initiatives strategically. The im- pact of the primary responsible activities on the corporate stock market performance is significantly positive, while the secondary responsible activities do not affect the financial results substantially. JEL Classification: A130, G110 Keywords: corporate social responsibility, CSR, business ethics, stock market perform- ance, fixed effects
Testing the Presence of Adaptive Switching Behavior in Equity Markets
Staněk, Filip ; Kukačka, Jiří (advisor) ; Švarcová, Natálie (referee)
In many financial agent based models, the concept of adaptive switching be- havior is employed as a substitute for the, elegant yet unrealistic, assumption of rational expectations. Studies estimating these models however frequently suggest that agents do not behave adaptively. To better understand the source of this discrepancy, we propose a test for the presence of switching which does not require us to specify beforehand the exact form of the switching mecha- nism nor the strategies among which agents can choose. We verify the ability of the test to detect switching by Monte Carlo simulations and then apply it to stock prices from the New York Stock Exchange. The null hypothesis of the absence of switching is strongly rejected. Furthermore, we assess robustness of this finding by applying the test individually to various sub-sets of the data-set. The switching is prevalent in all considered sub-periods and in all groups of stocks categorized by traded volume. JEL Classification G02, G12, G14, D83, D84 Keywords Bounded Rationality, Adaptive Switching, In- tensity of Choice, Market Efficiency Author's e-mail stanek.fi@gmail.com Supervisor's e-mail jiri.kukacka@fsv.cuni.cz
Forecasting Jump Occurrence in Czech Day-Ahead Power Market
Hortová, Jana ; Krištoufek, Ladislav (advisor) ; Kukačka, Jiří (referee)
The very specific features of the spot prices, especially occurrence of severe jumps, create a spot price risk for retailers who purchase electricity at unregulated highly volatile prices but resell it to consumers at fixed price. Therefore, it is of high im- portance to forecast whether jump is likely to occur during the next hour. However, to the best of our knowledge, such research has not been devoted to the Czech power market yet. Therefore, the aim of this thesis is to forecast the jump occurrence in the Czech day-ahead market. For this purpose we suggest four logit model spec- ifications, each containing various independent variables (for example, electricity demand, outside temperature, lagged price and various dummy variables) where the variable selection is supported by the previous literature and by the characteristic features of the spot prices. Within the in-sample period we compare the suggested models based on the values of pseudo-R squared and Bayesian information criterion. When evaluating the out-of sample performance of suggested models we apply jump prediction accuracy and confidence, but opposed to the previous literature we sug- gest a kind of sensitivity analysis which, to the best of our knowledge, has not be proposed by any other power research. JEL Classification C25, C32, C51,...
Momentum in Stock Returns: Analysis for European Countries
Drmotová, Kristýna ; Kukačka, Jiří (advisor) ; Maršál, Aleš (referee)
This thesis investigates one of the most pervasive anomalies in the behaviour of stock returns, the momentum. We analyse whether there is momentum in European stock returns that would generate profitable investment strategies. First, we compute the average monthly returns on strategies built in accordance with the existing literature. Next, we compare returns on momentum strate- gies between markets with different levels of capitalization and development. Further, we test whether these returns can be explained as the compensation for risk exposures through the Capital Asset Pricing Model. We find that even though the underlying risk has perceptible predictive power for stock re- turns, there still remains a substantial part of abnormal returns unexplained by this model. Therefore, we extend it with additional explanatory variables that might have a predictive power for stock returns according to the Fama & French (1993) three-factor model and Fama & French (2015) five-factor model. We find that stocks that performed best over the short-term past tend to con- tinue to outperform other stocks and stocks that performed worst tend to have one of the lowest returns in subsequent months. We find that strategies based on buying past winners yield statistically significant positive abnormal returns. Furthermore,...

National Repository of Grey Literature : 47 records found   previous11 - 20nextend  jump to record:
See also: similar author names
3 Kukačka, Jan
Interested in being notified about new results for this query?
Subscribe to the RSS feed.