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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.
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Business Model Analysis of the Czech Peer-to-Peer Insurance Carrier
Doležalová, Radka ; Polák, Petr (advisor) ; Hanus, Luboš (referee)
This thesis provides comprehensive description of a new phenomenon of peer-to-peer in- surance focusing on the classification of its main tendencies. The extended overview is accompanied by the original and unique analysis of the business model of The First Club Insurance Carrier, the only Czech peer-to-peer insurance company. The suitability of the concept developed by The First Club Insurance Carrier is tested using five different scenarios derived from its competitors on the Czech insurance market. The profitability and ability to produce payable bonuses for clients in an appropriate amount as proposed by the founders of the company are considered on the ground of scenarios simulating the future development of The First Club Insurance Carrier. On the basis of the created prediction scenarios, the research concludes that the company could achieve a positive economic result in next few years. The amount of givebacks (payable bonuses) has not accomplished the expected amount of 15% of the gross earned premium but it ranges between 9% and 10% in most scenarios. This thesis offers also some requirements for more favorable outcomes (such as a better distribution of gross earned premium between reinsurance and claims expenses). The subsequent what-if analysis showed the insignific- ance of the potential...
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Valuation of financial instruments (e.g. in the context of market liquidity)
Veselá, Jana ; Pečená, Magda (advisor) ; Hanus, Luboš (referee)
Tato práce se zabývá likviditou jako důležitým parametrem, který ovlivňuje cenu finančních nástrojů. Na začátku je představena teorie likvidity a tři různé přístupy, jak ji lze hlediska této práce pak nejdůležitějším přístupem bude, že s projevuje jako určitá srážka z Dále se práce zaměřuje na hodnotu likvidity, a jelikož každé aktivum je ve své podstatě likvidní, neboť všechno lze někdy prodat, budou se různá aktiva vyznačovat různým stupněm likvidity. Ta se pak projeví jako výše transakčních nákladů, kde u méně likvidních aktiv budou tyto náklady vyšší než u těch více likvidních. Transakční náklady jsou pak tvořeny ou a poptávkou, tržním dopadem a náklady obětované příležitosti. Diskont za nelikvidnost reflektuje výši těchto nákladů a lze ho určit jako rozdíl mezi cenou likvidní a nelikvidní akcie. Lze jej vypozorovat dvěma způsoby. První působem je studování transakcí s dočasným pozastavením obchodovatelnosti a neregistrovanými akciemi společnosti, která je plánuje v zveřejnit, nebo upsat nové akcie. Práce se zabývá, čím jsou hodnoty diskontu ovlivněny, a je v ní prověřeno několik modelů na vlastním datovém vzorku, který sestává z transakcí s omezenými právy. Nakonec je vytvořen vlastní odhad, který došel k výsledku, že diskont je ovlivněn velikostí společnosti a její finanční stabili likvidností aktiv...
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Do crypto-currencies form a new asset class?
Mayr, Samuel ; Krištoufek, Ladislav (advisor) ; Hanus, Luboš (referee)
This paper examines statistical properties of crypto-currencies' price variations in comparison with statistical properties of price variations in common financial markets. Price data of Bitcoin, ripple and Litecoin have been directly compared with price data of euro currency and stock index S&P500. Additionally, and compared with set of stylized facts of asset returns. The properties in scope of this work include an autocorrelation of day-to-day returns, a shape of return distributions, a volatility clustering, a leverage effect and a volume/volatility correlation. To answer the question of this thesis, we have tried to find unique differences in the way prices of crypto-currencies behave. After every point of the data analysis has been checked, we have concluded that the only major difference is in the shape and the significance of autocorrelation in day-to-day returns. While crypto-currencies seem to autocorrelate, there has been no such a cross-autocorrelation found in the benchmark values. Therefore, we argue that it is the most distinctive sign of crypto-currencies and the reason for crypto-currencies to be regarded as separate asset class. Powered by TCPDF (www.tcpdf.org)
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The least weighted squares and its asymptotics
Raušová, Magdaléna ; Víšek, Jan Ámos (advisor) ; Hanus, Luboš (referee)
When there are some influential observations present in a data set (such as outliers or leverage points), the use of some robust method may be desirable for being able to draw relevant conclusions from an econometric analysis. In order to use these methods properly, we need some diagnostic tools. To be able to derive these tools theoretically, we first need to know the form of the asymptotic representation of corresponding estimator. This thesis derives the asymptotic representation of the estimator obtained by the method of least weighted squares under the assumption of heteroskedastic residuals. The tight- ness of the estimator and its asymptotic representation under several levels of contamination is also shown in a simulation study.
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Economic Aspects of Blood Donation
Hanus, Luboš ; Janotík, Tomáš (advisor) ; Kukačka, Jiří (referee)
Sufficient blood supply is a continuous problem for health care systems around the world. The diversity of systems is also manifested as different methods of compensation and motivation of donors. During the last century the different types of compensation and motivation have brought about various high probabilities of transmission of infectious diseases. The goal of this thesis is to provide a sufficient description of donors' motivations in the Czech Republic and elsewhere. The first part aims to compare the risk of financially compensated blood donors and those who are not compensated. The second part gives a description of characteristics of the sample donors from the Institute of Hematology and Blood Transfusion in Prague. A probit model is used to analyse the sensitivity of donors to two benefits provided by the state, these benefits are either a paid working day-off on the day of donation or the possibility of deduction of 2000 CZK from one's taxable income for each donation.
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