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Liquidity and Predictability of Cryptoassets
Mjartanová, Viktória ; Krištoufek, Ladislav (advisor) ; Čech, František (referee)
The relationship between liquidity and return predictability may be an im- portant aspect to consider when investing in cryptoassets. We examine this relation using both cross-sectional as well as panel data. First, we calculate a set of predictability measures and aggregate the results into four variables. We then regress the predictability variables on a set of controls and two measures of liquidity, specifically the Amihud illiquidity ratio and the Corwin-Schultz spread estimate. The other independent variables include the logarithm of volume, turnover ratio and Garman-Klass volatility. Results from the cross- sectional analysis indicate that liquidity negatively impacts the degree of return predictability. Moreover, findings from a subset of panel data, including only 50 cryptoassets with the largest market capitalization, provide some evidence in favor of this relationship. Results from full panel data, however, present contradictory evidence. For these regressions, liquidity is found to be either in- significant or to possess a positive impact on the degree of return predictability. Altogether, we obtain mixed evidence about the effect of cryptoasset liquidity on return predictability. JEL Classification C53, C58, G14 Keywords Cryptoassets, Predictability, Liquidity, Panel data Title...
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Determinants of Web-Based CSR Disclosure in the Retail Sector of the Czech Republic
Mjartanová, Viktória ; Gregor, Martin (advisor) ; Poláková, Nikol (referee)
A b s tra c t Corporate social responsibility (CSR) is an engaging, momentous aspect of current business practices. Firm s may build and reinforce stakeholder relationships by taking part in CSR projects. Companies, operating in the retail trade sector, may be of special interest as they aim to communicate w ith the general public, as potential customers. One may thus concentrate on observing their corporate social responsibility disclosure from commonly available inform ation. Furthermore, to the best of our knowledge, only few studies document the corporate social responsibility efforts of firm s in the Czech Republic. More research w ith this regard can hence provide new insights. We thus investigate the determinants of web-based CSR effort disclosure of retailing firm s in the Czech Republic. The linear probability model, probit as well as logit are used in the analysis, together w ith a set of sub-sector, organizational, legal and financial explanatory variables. We find evidence of a positive relationship between the probability of CSR effort disclosure and E B IT . We also find some evidence th a t net debt, net profit, RO A as well as firm age are positively related to firm CSR effort reporting.
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