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The housing bubble in China
Ba, Lei ; Novák, Jiří (advisor) ; Princ, Michael (referee)
Language: English Title: The Housing Bubble in China Abstract: This paper studies the housing price boom in recent decade since 2003 in China. The study focuses on four municipalities of China, Beijing, Shanghai, Tianjin and Chongqing. Despite the fact that the whole country is suffering a sky soaring housing boom, this paper reveals a regional difference between two types of big cities. Better developed cities such as Beijing and Shanghai are experiencing greater volatility in the boom and economic fundamentals have less explanatory power to the price increases. Oppositely, less developed cities such as Tianjin and Chongqing have relatively sustainable housing prices which are better supported by economic fundamentals. Finally, this paper concludes that Beijing and Shanghai are experiencing a bubble in the housing prices, if the public expectation on economic growth cannot maintain, the bubble will burst.
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Empirical Analysis on Multiple Mergers of US Banks
Le Thi Hong, Minh ; Novák, Jiří (advisor) ; Serdarevič, Goran (referee)
We use logistic analysis to predict the probability of making non-programmed merger in a data sample of 45 US banks. Non-programmed merger is the merger that happens next to the subject merger but has at least three years apart from the subject merger. We apply logistic regression of the occurrence of the non-programmed merger on main characteristics of the subject merger. We first examine the effects of each of three explanatory variables, which are firstly abnormal return around the approved date, secondly hubris management hidden in the subject merger, and thirdly the value of asset acquired, on the dependent variable. We then try to find the best prediction model by controlling some variables both confounding and rescaling. Our final prediction model shows that the probability of making a next merger at least three year after the subject merger will significantly decrease if there is abnormal return realized in the subject merger. On the other hand, using event study methodology to search for the abnormal return of the acquirer's stock price around the approved date, we prove that the information of FDIC s' merger decision is not totally confidential to public and has significant impact on the stock price of the acquirer
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Gambling in Stock Markets: Empirical Evidence from Europe
Vokatá, Petra ; Novák, Jiří (advisor) ; Jánský, Ivo (referee)
Motivated by the recent evidence of investors' preference for stocks with lottery- type payoffs documented on the U.S. stock markets, I investigate preferences for stocks that appear to be like lotteries in Europe. Across 14 markets, lottery- type stocks, characterized by high idiosyncratic skewness, high idiosyncratic volatility and low price, underperform and exhibit a "lottery premium". Fur- thermore, preferences for lottery-type stocks can help to explain the puzzling negative relation between past idiosyncratic volatility and returns, which does not persist after controlling for past extreme positive returns. Examining the relation between national revenues from gambling and "lottery premium" I find that countries featuring higher gambling revenues also exhibit a higher "lottery premium". Overall, the results indicate that lottery preferences might impact investment decisions and stock prices. JEL Classification G11, G12 Keywords gambling, lottery-type stocks, idiosyncratic volatility, maximum returns Author's e-mail p.vokata@gmail.com Supervisor's e-mail novakji@fsv.cuni.cz
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The Feltham-Ohlson Model: Goodwill and Price Volatility
Janský, Michael ; Novák, Jiří (advisor) ; Baruník, Jozef (referee)
This paper derives and tests the hypothesis that there exists a positive relationship between the amount of unrecognized goodwill a company has in relation to the book value of its equity, and the volatility of the price of its stock and the average trading volume of its shares, and that further this relationship is stronger when the source of that goodwill cannot be traced to items recognized in accounting. The hypothesis is derived from the theory of residual income valuation and the Feltham-Ohlson model of company valuation, and is tested on the accounting and market data of 92 companies listed on the New York Stock Exchange. While the results do not offer sufficient reason to reject any of the paper's hypotheses, they provide only partial support to them, and further research is required.
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Financial Risk and Models of its Measurement: Altman's Z-score Revisited
Kruchynenko, Ihor ; Svoboda, Svatopluk (advisor) ; Novák, Jiří (referee)
Master thesis touches upon the interesting spheres of risk classification, measurement and management of financial institutions. Modern banks have numerous credit risk measurement models at their disposal. However, agreement about performance of those models is not that unanimous and to some point the models are blamed for breaking out of 2007 financial crisis. In the theoretical part of the thesis we provide survey of risk measurement practices in banks. We investigate the main types of risk of banks in their day-to-day activities. Special focus is paid on the credit risk and on the models and techniques of its measurement; Practical part of thesis then contains construction and accuracy estimation of particular credit-risk-model (Altman Z-score). In it we construct and compute Altman Z-score for sample of firms from two chosen sectors in United Kingdom. Main goals of the work are a) testing accuracy of the model by comparing its outputs to real development, and b) econometric testing of the specification of the model itself.
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Relationship between Executive Compensation and Bank Performance of TARP Recipients
Zamrazilová, Marta ; Janský, Petr (advisor) ; Novák, Jiří (referee)
The objective of this diploma thesis is to examine the relationship between executive compensation and bank performance. We study the executive pay structure of the U.S. largest 100 bank holding companies during period 2002-2009. Our data analysis describes differences between behaviour of TARP recipients and the banks that did not receive state financial help with consideration of financial crisis effect. We use econometric model to test the dependence of bank performance measures and particular elements of executive remuneration - total sum, bonus, stock award and option award. The relationship is generally considered as weak, but we also find linkage between TARP recipients' compensation and Market Capitalisation and on the other hand non-TARP bank appeared to define compensation according to earning per share. A special attention is devoted to executive remuneration structures of TARP recipients with weakest results and their comparison with Dodd-Frank Financial Reform Act and TARP standards. JEL Classification: G21, G35, G38, K23 Keywords: Executive compensation, bank performance, Troubled Asset Relief Program, performance-related pay, corporate governance, financial crisis, executives
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Improving Investment Timing
Málek, Petr ; Novák, Jiří (advisor) ; Cingl, Lubomír (referee)
This masters thesis is based on study of technical analysis of financial markets, i.e. analysis of dependencies between past and present price data, especially when it comes to "supports" and "resistances" or historical price levels where price recently tended to stop and reverse. First of all, summary of the most relevant literature on technical analysis is presented, together with literature on psychology of investing, behavioral finance and market efficiency. Following that, theoretical arguments in favor of possible edge in trading of technical levels are introduced and possible objections are addressed. This theory - in the form of several thousands of unique but similar trading strategies - is then tested on historical data of the most important financial assets. Results are compared to those of conservative buy-and-hold strategy and random trading. We reached the conclusion that trading based on technical price levels brings positive capital gains which are better than those achieved by random trading and buy-and-hold strategy. Parameters of our strategies influence the results in expectable manner more often than not.
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Handwritten character clustering
Novák, Jiří ; Mrázová, Iveta (referee) ; Štanclová, Jana (advisor)
This diploma thesis deals with comparision of di erent method for handwritten character recognition. A goal is analysis of this problem, comparision of several pattern classi cation methods and methods for feature extraction. In details there are discussed three algorithms for data clustering. These algorithms are following: k-means clustering, k-neighbors algorithm and algorithm of iterative optimalization. Another three algorithms are using neural networks. These are algorithm of competition learning, back propagation algorithm and Kohonen selforganising maps. These method are tested and compared according to percentage of correctly recognized characters. A summary of our own results is included.
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Strašín - village in Šumava
Novák, Jiří ; Beneš, Zdeněk (referee) ; Maur, Eduard (advisor)
In his thesis Jiří Novák is interested in a small villade Strašín naer Sušice. A concise history of Strašín is focused on modern age. The author is concerned with national architecture, special characteristics of this landscape, it means a special naming of houses and people (so called names after houses) and the art of music of local inhabitants, who worked like musicians and worker (so called men of the world) by world - famous circuses. Strašín was also a place of pilgrimage in the baroque period. Different points of view are added with a demografy study for years 1668 - 1698. Jiří Novák tries to combinate many sources with regional literature, belles - lettres and maps. Advantage of the author is a good personal knowledge of a describing place.
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