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IPO underpricing and sentiment of investors
Scheerová, Lucie ; Dědek, Oldřich (advisor) ; Lupusor, Adrian (referee)
The thesis investigates investor sentiment, proxied by grey market prices, being a common source for IPO underpricing, long-term underperformance of IPOs, and cycles in IPO volume. The paper contributes to the field of research by an updated German dataset from 2000 to 2010, and by investigating all main IPO market anomalies together with their common trigger. The results show evidence of a positive relationship between the investor sentiment and IPO underpricing, indicating the investor sentiment being an explanation for it. Moreover, the study shows investor sentiment being positively linked to offer prices - an evidence of issuers exploiting that sentiment. However, the long-term underperformance relative to the aftermarket price of IPOs from high underpricing periods - another evidence of investor sentiment being a source for IPO underpricing - has not been confirmed. Other hypotheses have also not been verified. They include higher IPO volume following high underpricing periods and long-term underperformance relative to the offer price of IPOs from high underpricing periods. Both these hypotheses would represent another confirmation of firms exploiting the investor sentiment. The statistically significant results are consistent with other papers. The insignificance might have been caused by the method...
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Development of Structured Financial Products during the Crisis
Bratršovský, Martin ; Rippel, Milan (advisor) ; Lupusor, Adrian (referee)
Structured finance has already attracted trillions of dollars and despite significant losses continues to attract more investment in increasingly complex structures. In this thesis, I use new data available to analyze the development of structured products in three main categories: ABS, CDO and MBS. The thesis is focused on the rapid development of structured finance in the years leading up to the credit crunch, the extent of its role in the crisis, and how credit-rating agencies and regulatory bodies are involved in the feasibility and future potential of the main products. As data clearly showed, the recent crisis heavily hit the US non-agency MBS securitization (especially the RMBS and the CMBS market) and the global CDO market as well, mainly due to the subprime collateral.
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Development of Structured Financial Products during the Crisis
Bratršovský, Martin ; Rippel, Milan (advisor) ; Lupusor, Adrian (referee)
Structured finance has already attracted trillions of dollars and despite significant losses continues to attract more investment in increasingly complex structures. In this thesis, I use new data available to analyze the development of structured products in three main categories: ABS, CDO and MBS. The thesis is focused on the rapid development of structured finance in the years leading up to the credit crunch, the extent of its role in the crisis, and how credit-rating agencies and regulatory bodies are involved in the feasibility and future potential of the main products. As data clearly showed, the recent crisis heavily hit the US non-agency MBS securitization (especially the RMBS and the CMBS market) and the global CDO market as well, mainly due to the subprime collateral.
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IPO underpricing and sentiment of investors
Scheerová, Lucie ; Dědek, Oldřich (advisor) ; Lupusor, Adrian (referee)
The thesis investigates investor sentiment, proxied by grey market prices, being a common source for IPO underpricing, long-term underperformance of IPOs, and cycles in IPO volume. The paper contributes to the field of research by an updated German dataset from 2000 to 2010, and by investigating all main IPO market anomalies together with their common trigger. The results show evidence of a positive relationship between the investor sentiment and IPO underpricing, indicating the investor sentiment being an explanation for it. Moreover, the study shows investor sentiment being positively linked to offer prices - an evidence of issuers exploiting that sentiment. However, the long-term underperformance relative to the aftermarket price of IPOs from high underpricing periods - another evidence of investor sentiment being a source for IPO underpricing - has not been confirmed. Other hypotheses have also not been verified. They include higher IPO volume following high underpricing periods and long-term underperformance relative to the offer price of IPOs from high underpricing periods. Both these hypotheses would represent another confirmation of firms exploiting the investor sentiment. The statistically significant results are consistent with other papers. The insignificance might have been caused by the method...
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Growth Enhancing Policies under Fiscal Austerity
Rott, Robert ; Mertlík, Pavel (advisor) ; Lupusor, Adrian (referee)
Currently, there have been two opposing views on how governments should support economic growth - either by fiscal stimulus or by fiscal consolidation. The most heated discussion has been over the question of whether a decrease in government expenditure can be expansionary and support economic growth. The objectives of this thesis are to provide a broader discussion of the economic theory behind the optimal design of fiscal policy, to analyse some opposing views on fiscal consolidation, and to present an overview of the policies that were implemented by selected Eurozone countries in response to the current situation. From the literature review we conclude that there is no significantly dominant view on the preferable approach to fiscal policy, which we confirm via the comparison of countries' expenditures.
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The Impact of Electoral Cycles on Monetary Policies in Advanced and Developing Economies
Lupusor, Adrian ; Horváth, Roman (advisor) ; Havránek, Tomáš (referee)
The thesis provides a comparative estimation of the electoral cycles' influence on the monetary policies among a group of developed and developing countries. We use a non-linear central bank's reaction function which captures the regime switching behavior of the monetary authority depending on the proximity of elections. Moreover, we compare the reaction function with partial adjustment, which controls for policy inertia, with a non-inertial policy rule with serially correlated errors which takes into account other shocks determining the central bank to deviate from its policy rule. The estimation was performed via OLS, 2SLS and 3SLS, the preference being given to the last one due to correction of endogeneity problem and efficiency gains. Robust evidence about election induced monetary policies was found in 2 out of 10 developed economies and 4 out of 10 developing economies. In these countries, the central banks tend to be less inflation averse and/or less counter-cyclical (or even pro- cyclical) during electoral periods in comparison with normal times. Additionally, we find that the legislative framework, in these countries, incorporates significant deviations from the best practices of central bank independence. Finally, following the dynamic inconsistency problem, we document a strong...
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