National Repository of Grey Literature 180 records found  previous11 - 20nextend  jump to record: Search took 0.01 seconds. 
Size and Value Premiums in Returns of the Central and Eastern European (CEE) Stocks
Rolevski, Borche ; Novák, Jiří (advisor) ; Vacek, Pavel (referee)
This thesis provides evidence of size and value premiums in returns in the Central and Eastern European (CEE) region, through its analysis of financial markets in 12 countries. Following the portfolio construction methodology of Fama and French (1996) we use a sample of 1245 stocks and record that small stocks outperform big stocks (size premium) and value stocks outperform growth stocks (value premium). In addition, we create nine portfolios to test the Fama and French three-factor model and show that the factor-mimicking portfolios that have been documented in the developed markets, SMB (small minus big) and HML (high minus low), also capture most of the cross-section variation in average stock returns in the CEE region. We demonstrate a similar pattern in terms of size return as documented in the U.S. market, but with small differences in the value returns found. Although the Gibbons-Ross-Shanken (GRS) test does not reject the null with 95%, we do not agree that the model completely explains the variation in average returns across the portfolios. The GRS rejects the null at 90% and implies that other factors are omitted from the model. Nevertheless, this thesis contributes to the literature applying asset pricing models to the CEE region, and should provide insights to investors active in the CEE...
The Effect of Litigation Risk on Earnings Management in the Proximity to Debt Covenant Violation
Britskiy, Andrey ; Novák, Jiří (advisor) ; Červinka, Michal (referee)
This bachelor thesis aims to establish a relationship between earnings management in proximity to debt covenant violation and the presence of litigation risk. Central testable concept is Watts and Zimmerman (1990) debt covenant hypothesis according to which managers tend to manipulate earnings to reduce the possibility of violation of their company's debt agreement. This setting allows investigating whether the risk of litigation is an effective regulatory mechanism which improves the contracting usefulness of accounting numbers and better align the interests between creditors and company managers, thus making debt covenants more reliable as monitoring mechanisms. Due to inconclusive results, this thesis was unable to establish whether the threat of litigation can discipline managerial reporting practices and deter misreporting for the companies with substantial debt covenant incentives.
The Impact of Mergers and Acquisition Activity on the Time Series Variation in the Stock Size Premium
Kaplan, Robert ; Novák, Jiří (advisor) ; Geršl, Adam (referee)
This work studies whether intertemporal variation in future takeover activity explains intertemporal changes in stock size premium. Taking into account that takeover activity involves 2-9% of firms every year and building upon existing research stating that small firms are more likely takeover targets, receive 40% higher takeover premium than large firms, we argue that small firms benefit from high takeover activity more than large firms and size premium should be more pronounced in the time of high takeover activity. We study takeover activity as well as stock size premium on aggregate level and test whether size premium can be explained by the expected takeover activity, i.e. its change compared to past. We find that change in takeover activity in the next six months versus last six months is positively correlated with size premium. Additionally, we construct a simple predictive model for estimating future takeover activity. The relation between size premium and change in takeover activity remains significant when we use forecasted values given by the predictive model instead of true future values in the model.
Effects of the acquisition-based majority ownership: Evidence from the Czech firms
Gábrišová, Nela ; Kočenda, Evžen (advisor) ; Novák, Jiří (referee)
The thesis analyses Czech limited liability and joint stock companies, where a change of majority shareholder occurred between 2005 and 2011, from the per- spective of their performance 3 and 5 fiscal years after acquisition. The main objective of the research is to compare realised acquisitions between them- selves according to the target's size, and to the industrial relatedness of the acquisition target and acquirer as divided to: horizontal, vertical, financial acquisitions, and acquisitions completed by natural persons. Furthermore, var- ious financial variables potentially affecting operating profitability expressed as EBITDA margin, and other performance indicators are explored. Application of OLS regression on cross-sectional data structure for the two observed post-acquisition periods, and OLS with fixed effects on two-period panel data, provide similar results leading to conclusion that optimisation of variable costs relative to revenue after acquisition has the largest positive im- pact on EBITDA margin. No evidence is found for influence of types of acqui- sitions. Contribution to the research in M&A field is brought thanks to the fo- cus on Czech acquisitions that so far have not been systematically examined, and thanks to analysis from the perspective of acquisition targets' financial...
The Impact of Just-in-Time Inventory Management on Business Cycle Severity
Chalupová, Karolína ; Novák, Jiří (advisor) ; Hanus, Luboš (referee)
This thesis examines the impact of the just-in-time management (JIT) on volatility of inventory and the magnitude of inventory recessionary cuts. Firms' inventory is an important macroeconomic variable - prior research shows that a decrease in inventory volatility is likely an important source of the Great Moderation and that inventory cuts are a crucial part of GDP decreases during recessions. My results show that JIT decreases volatility of inventory change and makes the recessionary inventory cuts milder. Combined with previous research, the results imply that likely, JIT is an important source of the Great Moderation and mitigates recessions. I test the hypotheses with quarterly 1975-2014 data on U.S. publically traded manufacturing firms, consisting of 116 JIT adopters and 116 matched control firms.
Bias and Accuracy in Equity Research: The Case of CFA Challenge
Hloušek, Pavel ; Novák, Jiří (advisor) ; Máková, Barbora (referee)
This thesis analyses drivers of optimistic bias in equity research and substance of ability in explaining differences in accuracy among equity analysts. I have shown the existence of a relevant reason for optimistic bias in equity research, which is not related to conflict of interest - the usually referred driver of the bias. Then I have supported the stream of literature showing that analyst's ability is not a strong determinant of analyst's accuracy. A new perspective on the topics is offered by using a sample of equity reports from valuation competition CFA Research Challenge. Contribution of the thesis lies (i) in working with a sample of analysts who do not face the conflicts of interest proposed by the literature to be causing optimistic bias, which offers a unique opportunity to test whether such conflict-of- interest-free analysts issue biased recommendations and in (ii) using success in CFA Challenge as a new proxy for ability of equity analysts. The methods used are an analysis of bias and accuracy of target prices, hit-ratio of investment recommendations, and analysis of returns - estimated by CAPM, Fama French three-factor model and Carhart four-factor model.
Revenue Management around Seasoned Equity Offerings
Habětínek, Jan ; Novák, Jiří (advisor) ; Džmuráňová, Hana (referee)
This bachelor thesis enhances existing research about unusual operating performance of firms that are subject to Seasoned Equity Offerings. It uses modern tools of estimation of earnings management by discretionary revenues measured as portion of account receivables that cannot be explained by revenues and credit policy. Therefore, it helps to discriminate between two existing explanations of the unusual operating performance, market timing and earnings management, with greater precision. Apart of finding evidence in favour of the earnings management theory, the results additionally, in contrast to previous research, suggest downward-oriented adjustment of revenues in the year before SEO and therefore provide evidence in favour of newly proposed "revenue buffer" hypothesis. Implicitly, combined with the past results, also a shift from dominance of expense management before SEO to dominance of revenue management at the time of SEO is suggested.
Cost of Equity Estimation Techniques used by Valuation Experts
Kolouchová, Petra ; Novák, Jiří (advisor) ; Mejstřík, Michal (referee)
Cost of equity is crucial information that enters business valuation. Yet, even after decades of academic research, consensus has not been reached regarding the appropriate cost of equity estimation. The aim of our thesis is to investigate the cost of equity estimation in practice. In other words, we aim to provide data on the popularity of individual cost of equity models and evidence on what techniques are used for the estimation of parameters entering the models. For this purpose, we use a specifically developed program and obtain a unique dataset of cost of equity values, estimation methods and parameters used by valuation experts in the Czech Republic in the period between 1997 and 2009. Our findings suggest that the most popular model for cost of equity estimation is CAPM, which is followed by the heuristic build up model. In the case of CAPM, risk premiums for unsystematic risks are often applied. Such premiums depend to large extent on expert's own experience and as such are rather qualitative in nature. Overall, in most points of the analysis, our results are consistent with previous, survey-based research on the US and the Western European data.
Yield curve dynamics: Co-movements of latent global and Czech yield curves
Šimáně, Jaromír ; Šopov, Boril (advisor) ; Novák, Jiří (referee)
This thesis focus on a yield curve modelling. It estimates unobserved "global" yield curve factors which drives changes in individual real yield curves. Yield curves of USD, GBP, JPY and EUR are considered and global factors are able to explain substantial part of their variances. The method is built on the Nelson-Siegel model which is implemented in a state-space form to be able to extract the unobserved yield factors. The estimated global yield factors are further used for explaining the evolution of the Czech yield curve. Their impact to the Czech yield curve is estimated in a time-varying regression which results show that the impact of the global factors is stronger during the years of the interventions of the Czech National Bank and thus suggests that the interventions help to transmit the global low interest rates to the Czech economy.

National Repository of Grey Literature : 180 records found   previous11 - 20nextend  jump to record:
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