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The impact of foreign and domestic M&A on acquirer's stock prices in Central and Eastern Europe
Lukashova, Anna ; Kočenda, Evžen (advisor) ; Novák, Jiří (referee)
The primary objective of this thesis is to investigate the value implications of the mergers and acquisitions deals initiated by the firms from the CEE region. We examine the sample of the 203 M&A announcements made by the bidder firms from the two major economies in the region-Poland and Russia-over the period 2006-2016. We apply the event study methodology to investigate the effect of the M&A announcement on the wealth of the acquirers' shareholders. The results demonstrate that on average investors of the Polish acquirers receive positive short-term wealth effect, while the investors of the Russian firms lose in short-term value. Our empirical findings provide partial support for the positive wealth effect when acquirers target the strategically important asset. Our results hold after controlling for the number of firm and transaction-specific characteristics. JEL Classification G14, G32, G34 Keywords mergers and acquisitions, event study, bidder gains, shareholder wealth effects, Central and Eastern Europe Author's e-mail lukashova.a.v@gmail.com Supervisor's e-mail kocenda@fsv.cuni.cz
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Baltic Stock Market Integration
Stulga, Šarūnas ; Kočenda, Evžen (advisor) ; Novák, Jiří (referee)
1 Abstract In this thesis, we present an empirical analysis of integration between the Baltic and global stock markets during the period between 2000 and 2018. This research is spurred by the fact that all three Baltic countries displaying similar positive economic developments over the studied horizon. Using the theoretical and empirical findings from similar research papers, we ground our work for the analysis. Our methodology is based on three different models: DCC-GARCH, total and frequency connectedness, and the Engle-Granger cointegration test. Using these methods, we are able to determine both short- or long-term relationship dynamics. Based on the results from our empirical analysis we were not able to reject the null hypotheses, that the Baltic states have become more integrated between themselves and the global market. At best, our results would suggest a weak form of integration given that there were indeed some notable dynamic changes. Following these results, we provide insight on interdependencies between the Baltic states and their relationships with the global stock markets. Most notable dynamics are captured by the total connectedness measure, which indicates that the Baltic stock markets show a significantly increased connectedness with the global indices, during turbulent times in the...
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Connectedness and spillover effects between forex and stock markets: Evidence from Scandinavia
Mkhitaryan, Arman ; Kočenda, Evžen (advisor) ; Geršl, Adam (referee)
In this thesis, we study the return and volatility spillovers between forex and stock markets in Scandinavian countries employing recently developed method- ology of spillover indices. Those measures are based on forecast error variance decomposition of generalized vector autoregressive (GVAR) model. This allows us to estimate both total and directional spillovers. Moreover, frequency connect- edness analysis is conducted by decomposing the spillover indices into frequency bands, corresponding to short-, medium- and long-run connectedness. We used daily data for major stock market indices and exchange rates of domestic cur- rency towards US dollar for Norway, Sweden, Denmark and Finland. Our data spans from February 2002 till July 2018 that covers turmoil periods of global fi- nancial crisis in 2007-2009, European sovereign debt crisis 2010-2013 and Brexit referendum in mid 2016. Our empirical analysis reveals that Norwegian financial markets do not contribute much to both return and volatility spillovers. On the other hand, euro and Danish FX market perform very similarly, by exhibiting the highest spillover contributions for both returns and volatility. Furthermore, distinct increasing trends in spillovers are revealed during the turmoil periods for most of the markets. From frequency...
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(How) Does low inflation in euro area affect inflation in the Czech Republic?
Veselý, Vladimír ; Horváth, Roman (advisor) ; Kočenda, Evžen (referee)
The goal of this thesis is to identify domestic and foreign shocks that mostly explain variation in the Czech price level. This goal is accomplished by the use of structural vector autoregression. As the Czech Republic is considered to be a small open economy, it is crucial to include foreign variables into the model which are represented by shocks in euro zone. Furthermore, a block exogeneity restriction is imposed because it is unlikely that shocks in the Czech economy can influence macroeconomic development in euro zone. The results of the thesis indicate that foreign shocks explain 70% variability in Czech price level out of which 50% is explained by euro zone's price level shocks. It is likely that in near future Czech economy will experience deflation for a while. Nevertheless, by 2018 Czech inflation rate should be in 1-3% band.
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Wavelet-based Realized Variation and Covariation Theory
Baruník, Jozef ; Vošvrda, Miloslav (advisor) ; Kočenda, Evžen (referee) ; Di Matteo, Tiziana (referee) ; Veredas, David (referee)
English Abstract The study of volatility and covariation has become one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This dissertation contains a complete theory for realized variation and covariation estima- tion, generalizing current knowledge and taking the estimation into the time-frequency domain for the first time. The first part of the theory presents a wavelet-based realized variation theory, while the second part introduces its multivariate counterpart, a wavelet- based realized covariation theory. The results generalize the popular realized volatility framework by bringing robustness to noise as well as jumps and the ability to measure realized variation and covariation not only in the time domain, but also in the frequency domain. The theory is also tested in a numerical study of the small sample performance of the estimators and compared to other popular realized variation estimators under dif- ferent simulation settings with changing noise as well as jump level. The results reveal that our wavelet-based theory is able to estimate the realized measures with the greatest precision. Another notable contribution lies in the application of the presented theory. Our time-frequency estimators not only produce more efficient...
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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...
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Essays on Interest Rates and Credit Risk
Vojtek, Martin ; Kočenda, Evžen (advisor) ; Palda, Filip (referee) ; Čihák, Martin (referee)
This dissertation addresses inefficiencies and problems in the financial markets of post-transition countries, which denies the use of standard estimation techniques. It focuses on interest rate markets and empirically analyzes the situation in the countries that joined the EU in May 2004. These countries underwent significant changes over the last two decades and markets in these countries are often not stable and not developed. In my dissertation I am conducting research in the areas where the empirical results are very scarce. A deeper understanding of the specifics in the markets of post-transition countries can be very helpful for example in designing policy measures touching these markets.
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High Frequency Identification of Monetary Policy Shocks in Sweden
Němčík, Erik ; Baxa, Jaromír (advisor) ; Kočenda, Evžen (referee)
Current effectiveness and functioning of one of the key instruments of monetary policy, the interest rate, has been debated around the world with an increasing intensity. Sweden, specifically, characterized by a recent low inflation period coupled with an experimental approach to monetary policy (utilizing both negative interest rates and quantitative easing) presents a peculiar case of interest. This thesis presents new evidence on the monetary policy transmission in Sweden during the low inflation period. To convey this, it utilizes the Proxy-SVAR method, where data from financial markets are used to identify monetary policy shocks and their propagation through the financial and macroeconomic variables. In particular, STINA-swaps are used as an instrumental variable in our main model of interest. The results strongly suggest dampened effectiveness of the repo rate, the Riksbank's main interest rate tool, in achieving the inflation target over the past decades. Price puzzle is present in all model variations applied and hence hints at the inability of the Swedish central bank to effectively control inflation via interest rate decisions. It is important to state that the results are robust to multiple econometric specifications, different inflation setups or estimation methods. Furthermore, the...
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Asset pricing: Downside risk across U.S. industries
Palovič, Peter ; Nevrla, Matěj (advisor) ; Kočenda, Evžen (referee)
This thesis investigates the comparative relationship between the traditional CAPM and the downside risk CAPM. It proposes an asset pricing model in which the traditional CAPM beta and DR-CAPM beta are the risk factors. The goal of this thesis is to examine whether DR-CAPM beta represents a significant risk factor that could be used when computing the risk premium of the portfolio in the market. Therefore, this thesis referred to the Fama- MacBeth two-stage regression model that was applied over monthly data of 48 US industries' realized returns ranging from January, 1970 to January, 2021. Results indicate a non-significant relationship between the risk fac- tors (traditional and downside beta) and expected return. Hence, there is no evidence that both factors have any significant explanatory power in the cross-section of stock returns. Moreover, we performed a robustness check of the results using univariate models, relative beta and unconditional approach. All of these models confirmed our results from the conditional approach. Keywords: Asset pricing, CAPM, DR-CAPM, Downside risk, Fama-MacBeth two-stage regression Author's email: 64770339@fsv.cuni.cz Supervisor's email: matej.nevrla@gmail.com
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The US Financial Market Uncertainty and Its Spillover to European Stock Markets
Karolík, Richard ; Horváth, Roman (advisor) ; Kočenda, Evžen (referee)
This thesis studies the spillover of the financial market uncertainty arising from the United States to three major European stock markets by analyzing the impulse response functions that were estimated using the local projections method. European stock markets are represented by their corresponding in- dices: the DAX 30 index for Germany, the CAC 40 for France, and the FTSE 100 for the United Kingdom. The results prove the existence of uncertainty spillover from the United States into Europe with the negative relationship be- tween the performance of a particular stock market and the uncertainty shock emerging from the US. Additional analysis examines the response to uncer- tainty shock for the two subsamples based on the Lehman Brothers collapse. The results show a possible interesting improvement in the ability to recover from uncertainty shock since the collapse of Lehman Brothers and can serve as a starting point for the further analyses in the field. JEL Classification F12, F21, F23, H25, H71, H87 Keywords Uncertainty, financial market, stock market, United States, Europe Title The US Financial Market Uncertainty and Its Spillover to European Stock Markets
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