Original title: Může model dual-beta s pěti faktory vysvětlit proměny středoevropského burzovního trhu?
Translated title: Can a Dual-beta Five-Factor Model Explain Stock Market Variation in CEE?
Authors: Lu, Shuhong ; Čech, František (advisor) ; Chondrogiannis, Ilias (referee) ; Paulus, Michal (referee)
Document type: Master’s theses
Year: 2022
Language: eng
Abstract: The study applies a dual-beta five-factor model to investigate how return is correlated with market factor, size, value, profitability and investment factors in the CEE region. Dual betas are employed in a pooled regression to account for different behaviour in different market conditions. The results show that market factor is significant across the sample period from 2003 to 2017, and the coefficient of the market factor is lower in bearish market and higher in bullish market. By employing dual betas, the explanatory power of a model has increased. However, the effect is limited, and we do not recommend using the dual-beta model due to the loss of simplicity. Post-regression diagnosis has confirmed the appropriateness of using our model by checking the key assumptions of Ordinary Least Square. Limitations are presented at the end to suggest future study.
Keywords: CAPM; Central and Eastern Europe; dual-beta; Financial Crisis; five-factor model; CAPM; Finanční krize; model dual-beta s pěti faktory; středovýchodní Evropa

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/176674

Permalink: http://www.nusl.cz/ntk/nusl-509040


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses