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Corporate Acquisitions and Expected Stock Returns: A Meta-Analysis
Parreau, Thibault ; Havránek, Tomáš (advisor) ; Kukačka, Jiří (referee)
This thesis aims at investigating the puzzling relationship between cor- porate acquisitions and expected stock returns by reviewing numerous studies on this topic through the use of state of the art meta-analysis tools. Such an analysis is required because many papers examined this relationship but their results varied. We therefore collected 421 estimates from 20 papers and led multiple regressions to test for the presence of publication bias. Throughout this analysis we indeed found evidence supporting the existence of publication bias. Furthermore, we decided to apply Bayesian Model Averaging to reduce the model uncertainty and find out why our abnormal returns estimates greatly vary across stud- ies. Our results suggest that one of the most important drivers are the standard-error terms. This subsequently proves that publication bias is the most responsible for the heterogeneity amongst our estimates. Our analysis fails to demonstrate any positive effects from M&A activity on a firm post-acquisition performance. We suggest that other motives are under-represented in the underlying theory that aims to assess M&A outcomes. Keywords Mergers and Acquisitions, Stock Returns, Abnormal Re- turns, Meta-Analysis, Publication bias Author's e-mail thibault.parreau@gmail.com Supervisor's e-mail...
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Identification and determination of metalloproteins and metalloproteinases in experimental models and in groups of patients
Kukačka, Jiří ; Průša, Richard (advisor) ; Zima, Tomáš (referee) ; Stoklasová, Alena (referee)
Introduction: Matrix metalloproteinases (MMPs) are zinc-containing metalloproteins which take part in many processes associated with extracellular matrix (ECM) remodeling. These enzymes participate in most processes degrading connective tissue during ontogenesis. Changes in MMP expression and activity can be observed in most inflammato ry, degenerative, and malign processes. Methalothionein also belongs to the group of zinc-dependent metalloproteins and it is involved in metal trafficing, detoxification or protection of cells against reactive oxygen species. Aim: The aim of th is study was to analyze MMP and metallothionein in various experimental models of caridac tissue remodeling (under hypoxia and methamphetamine administration) and in groups of patiens with dislipoproteinemia and traumatic brain injury. Methods: Laboratory rats were exposed to 1) hypoxia for 3 weeks and treated with MMP inhibitor 2) hypoxia and hypoxic hypercapnia for 4 days. 3) ln another experimental set methamphetamine was aplicated to rats for 9 weeks. 4) A group of patiens with dyslipoproteinemia was investigated before and after 1 month therapy by diet or hypolipidemics. 5) Blood samples were collected from patiens with traumatic brain injury during hospitalization. MMPs were analysed by zymography, immunochemical method, and...
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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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Structure of the Invisible Hand: Hierarchy and Others
Vondra, Aleš ; Krištoufek, Ladislav (advisor) ; Kukačka, Jiří (referee)
This thesis explores theoretical underpinnings of one particular branch of current thought on financial market crashes. It is focused on stock markets, but the theory is applicable to forex and commodity markets as well. Through discovery of log-periodic precursors found in stock market prices in advance of almost all major crashes, we are led to search for possible abstract mechanisms leading to this phenomenon. Most prominent of these mechanisms is discrete scale invariance, which in turn is hallmark of hierarchical structure of underlying network. JEL Classification C16, C53, C58, C65, G01 G17, Keywords financial crashes, discrete scale invariance, log- periodicity, hierarchical structures Author's e-mail alesak23@gmail.com Supervisor's e-mail kristoufek@ies-prague.org Lenght of the thesis: 67 000 characters
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Ising model in finance: from microscopic rules to macroscopic phenomena
Dvořák, Pavel ; Krištoufek, Ladislav (advisor) ; Kukačka, Jiří (referee)
The main objective of this thesis is to inspect the abilities of the Ising model to exhibit selected statistical properties, or stylized facts, that are common to a wide range of financial assets. The investigated properties are heteroskedasticity of returns, rapidly decaying linear autocorrelation, volatility clustering, heavy tails, negative skewness and non-Gaussianity of the return distribution. In the first part of the thesis, we test the presence of these stylized facts in S&P 500 daily returns over the last 30 years. The main part of the thesis is dedicated to the Ising model-based simulations and to discussion of the results. New features such as Poisson process governed lag or magnetisation dependent trading activity are incorporated in the model. We conclude that the Ising model is able to convincingly replicate most of the examined statistical properties while even more satisfactory results can be obtained with appropriate tuning. 1
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Good volatility, bad volatility, and the cross-section of stock returns at different investment horizons
Sako, Tony Ryan Hlali ; Baruník, Jozef (advisor) ; Kukačka, Jiří (referee)
Starting with the assumption that different investors have different investment time preferences and different risk tolerances within their given investment time-frames, this paper investigates the value of employing multiresolution analysis to model volatility and risk-pricing. In terms of estimation and fore- casting performance we were able to reduce by at least half the volatility fore- casting errors, with even better results at longer horizons. In regards to risk pricing we learn that extreme aggregate volatility (i.e. tail risk) is priced but regular volatility is not. Additionally we find that whilst aggregate volatility is generally more important over the long-horizon, during periods of market turmoil it is much more significant over the short-horizon. Finally we show that stocks with high sensitivity to aggregate volatility have lower subsequent returns supporting the idea that they become attractive as a hedge against market volatility. JEL Classification C12, C13, C21, C22, C31, C32, C51, C52, C53 Keywords Realized Volatility, Wavelet, Long-Memory Models, Cross-Section, Volatility Forecast, High-Frequency Data Author's e-mail tony sako@yahoo.com Supervisor's e-mail barunik@fsv.cuni.cz
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Economic Aspects of Blood Donation
Hanus, Luboš ; Janotík, Tomáš (advisor) ; Kukačka, Jiří (referee)
Sufficient blood supply is a continuous problem for health care systems around the world. The diversity of systems is also manifested as different methods of compensation and motivation of donors. During the last century the different types of compensation and motivation have brought about various high probabilities of transmission of infectious diseases. The goal of this thesis is to provide a sufficient description of donors' motivations in the Czech Republic and elsewhere. The first part aims to compare the risk of financially compensated blood donors and those who are not compensated. The second part gives a description of characteristics of the sample donors from the Institute of Hematology and Blood Transfusion in Prague. A probit model is used to analyse the sensitivity of donors to two benefits provided by the state, these benefits are either a paid working day-off on the day of donation or the possibility of deduction of 2000 CZK from one's taxable income for each donation.
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GDPNow for the Czech Republic
Kutman, Jan ; Havránek, Tomáš (advisor) ; Kukačka, Jiří (referee)
The gross domestic product (GDP) is an essential measure of the state of economic activity and serves as a crucial tool for policymakers, investors, or businesses. However, the official GDP estimate in the Czech Republic is only available with a lag of approximately 60 days, and the Czech National Bank (CNB) announces its GDP forecast once in each quarter. This thesis focuses on predicting GDP growth in the current quarter, referred to as nowcasting. I employ several methods to nowcast the real GDP growth in the Czech Republic in a pseudo-real-time setting and compare their performance. Additionally, I investigate the possibility of creating an ensemble model by using a weighted average of several nowcasting models. The results suggest that the Dynamic Factor Model (DFM) performs best in the GDP nowcasting task, and its predictive accuracy is comparable with the official CNB nowcast. Furthermore, the model averaging process yields accuracy close to the best individual model while addressing model uncertainty. The GDP nowcast of the DFM will be made available to the public in real-time on a website and updated with a daily frequency.
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Herd Behaviour in Financial Markets: Evidence from the Technology Sector
Máca, Jaroslav ; Kukačka, Jiří (advisor) ; Hronec, Martin (referee)
This thesis provides an evidence of herd behaviour in financial markets with an emphasis on the technology sector. The adjusted closing prices for the NASDAQ-100 index constituents are analysed on a daily basis during the period 2011-2020. Regarding methodology, the commonly utilized measures of cross-sectional standard deviation of returns and of cross-sectional absolute deviation of returns are considered. The examination reveals no evidence of herd behaviour, even when filtering trading sessions based on extraordinary market volatility or trading volume. However, a closer look at 2020, in which financial markets movements were heavily affected by the ongoing COVID-19 pandemic, shows that herd behaviour contributed to the sharp and significant crash as well as to the subsequent skyrocketing recovery. Furthermore, this thesis presents an innovative way of using an external factor in regression models. Due to their dominant position, the so-called technology giants are excluded from the US stock market and they newly constitute the world market. This specification reveals that the dispersions of the technology giants are contagiously amplified to the rest of the technology sector. Therefore, investors should be aware of the risks associated with a possible cooling of the entire technology sector following...
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The influence of watching videogame streams on purchase decisions of gamers and their willingness to pay, evidence from the Czech Republic
Mertová, Veronika ; Polák, Petr (advisor) ; Kukačka, Jiří (referee)
This thesis aims to understand the relationshipbetween viewership of video game streams and purchase decisions players make. Furthermore, the price they are willing to pay is explored. The emphasis is on understandingthe difference in these effects for big blockbuster games and small independentlydevelopedtitles. The data was collectedusingan online survey distributed in gaming-focusedgroups on social media. The data on purchase decisions was analysedusing a logit model. It showed that trust in streamer's recommendations increases the chance of purchase along with the number of preferred genres and games bought for indie titles. Moreover,it showed a positive relationshipbetweenbeing a student and purchasinga big game after watching. A standard ordinary least squares model was used to analyze the price and showed that hardcore gamers, people who buy on release day, and people with a wider range of interest in games tend to pay more. On the other hand, older people, students, and people who prefer to buy games on sale are willing to pay less. Keywords Video games, streaming,indie, AAA, willingness to pay, logit,Czech Republic Title The influence of watching videogame streams on purchase decisions of gamers and their willingness to pay, evidence from the Czech Republic
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