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Corporate Acquisitions and Expected Stock Returns: A Meta-Analysis
Parreau, Thibault ; Havránek, Tomáš (advisor) ; Kukačka, Jiří (referee)
This thesis aims at investigating the puzzling relationship between cor- porate acquisitions and expected stock returns by reviewing numerous studies on this topic through the use of state of the art meta-analysis tools. Such an analysis is required because many papers examined this relationship but their results varied. We therefore collected 421 estimates from 20 papers and led multiple regressions to test for the presence of publication bias. Throughout this analysis we indeed found evidence supporting the existence of publication bias. Furthermore, we decided to apply Bayesian Model Averaging to reduce the model uncertainty and find out why our abnormal returns estimates greatly vary across stud- ies. Our results suggest that one of the most important drivers are the standard-error terms. This subsequently proves that publication bias is the most responsible for the heterogeneity amongst our estimates. Our analysis fails to demonstrate any positive effects from M&A activity on a firm post-acquisition performance. We suggest that other motives are under-represented in the underlying theory that aims to assess M&A outcomes. Keywords Mergers and Acquisitions, Stock Returns, Abnormal Re- turns, Meta-Analysis, Publication bias Author's e-mail thibault.parreau@gmail.com Supervisor's e-mail...
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Gold in Central Bank Reserves and Price Stability
Melnychuk, Olena ; Havránek, Tomáš (advisor) ; Dědek, Oldřich (referee)
There is a traditional view that central banks should hold enough gold in their reserves to be considered financially secure and keep low inflation. However, after the fall of the Bretton-Woods system, many central banks have been decreasing its gold reserves by converting gold into other assets and still they do not experience high inflation. This thesis aims to answer the question if gold reserves of central banks indeed positively affect price stability. We use the panel data for 110 countries for the period from 2000 to 2016. We find that there is a significant negative effect of central banks' gold reserves on inflation but only if we control the proxy variables for the financial strength of central banks. Furthermore, the significance holds only for the inflation-targeting countries, there are no significant effects for the whole data sample. JEL Classification: E31, E52, E58, F41, G11, G21 Keywords: Gold reserves, Central Banks, Inflation rate, Price Stability Author's e-mail: 73099909@fsv.cuni.cz Supervisor's e-mail: tomas.havranek@fsv.cuni.cz
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Meta-Analysis in Economics: Application to Measuring the Euro's Trade Effect
Polák, Petr ; Havránek, Tomáš (advisor) ; Havránková, Zuzana (referee)
Meta-analysis is a very strong and effective tool designed for the synthesis of results of empirical research. It provides a possibility to make reliable conclusions and offers more systematic and unbiased view at empirical studies than do narrative reviews. This thesis begins with description of meta-analysis from the theoretical point of view and, therefore, is the first Czech-written methodology of modern meta-analysis suitable for economics. This part is followed by an applied meta-analysis that investigates the euro effect on common trade exchange, and the analysis is focused on publication bias and the use of the multilevel random effects model. The empirical part is based on 2580 estimates gathered from 33 studies that investigate the relationship between euro and trade volume. The meta-analysis reveals the presence of publication bias, confirms the economic research cycle hypothesis and estimates, according to the available literature, that the true Rose effect lies probably between 2 and 6 percent.
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Subsidy competition for spillovers from inward foreign direct investment
Havránek, Tomáš ; Cahlík, Tomáš (advisor) ; Benáček, Vladimír (referee)
The first part conducts a meta-analysis of literature on intra-industry productivity spillovers from foreign direct investment. Apart from the traditional approach, robust meta-regression, random effects model, and probit meta-regression are employed. Results of combined significance analysis are mixed but it is apparent that papers published in leading academic journals tend to report rather insignificant results. Our findings suggest that cross-sectional and industry-level studies are likely to find relatively strong spillover effects, and that the choice of proxy for foreign presence is important. The pattern, however, seems to weaken over time. Contrary to previous studies, evidence for publication bias was not detected. The second part examines the microeconomic motivation of governments to provide tax incentives for foreign direct investment. The author applies the classical models of oligopoly to subsidy competition, endogenousing investment incentives, but leaving tax rates exogenous. According to the conventional wisdom, subsidy competition leads to overprovision of incentives. The results suggests that, in the oligopolistic framework, supranational coordination can either decrease or increase the supply of subsidies. Further, in the setting of subsidy regulation, the host country's corporate...
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A Gravity Approach to Modelling German Exports: The Role of Institutions
Hadrová, Petra ; Bobková, Božena (advisor) ; Havránek, Tomáš (referee)
The purpose of this thesis is to implement the gravity model approach to identify and quantify determinants of bilateral trade flows of Germany and its trading partners, while focusing on the effect of institutions. Based on various gravity model techniques (clustered pooled OLS, Poisson Pseudo-Maximum Likelihood estimation, Hausman and Taylor estimation and Instrumental Variables regression), we have confirmed that the quality of institutions have a signifiant and positive effect on German exports. Depending on model specification and estimation technique, some institutions seem to effect German export more than others. We see the Hausman and Taylor estimator advisable for addressing endogeneity of institutions.
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The Interest Rate Pass Through during the Crisis: Evidence from Slovakia
Ševcech, Marián ; Havránek, Tomáš (advisor) ; Pečená, Magda (referee)
The effectiveness of interest rate pass-through is crucial when shaping monetary policy. In this paper we use error correction framework in order to estimate the speed and the completeness of pass through in Slovakia. Our thesis brings a unique research on how the financial crisis and Euro adoption affect the pass-through. In Slovakia those events occur at the same time; we attempt to distinguish between what phenomenon has greater impact. We also distinguish between what bank characteristics have impact on individual bank's spread during financial crisis. Our results suggest that the interest rate pass-through completeness increases in long term. We however found evidence of decreasing pass-through in case of deposit rates during crisis. Banks are unwiling to lower them and hence harm their competitve position. The pass-through in Slovakia is found to be relatively fast and consistent throughout periods. With the crisis, the speed for mortgages rates however decreases. We conclude that the impact of financial crisis outweights the impact of Euro adoption. Concerning the banks' characteristics, we conclude that higher portion of loans on assets, higher costs over income and better liquidity position decrease the spread. This is explained by the size of Slovakian banking market; banks lower their spread to...
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Various Estimation Techniques of the Gravity Model of Trade
Davidová, Lucie ; Benáček, Vladimír (advisor) ; Havránek, Tomáš (referee)
This diploma thesis deals with alternative estimation possibilities of the gravity model in trade. We provide the reader with a synthetic methodological overview of the technical problems with the estimation of gravity equations. Consequently, we test for the heterogeneity of data sets used in gravity models of trade which leads us to a conclusion that behavioural patterns of exporters and importers built in the datasets are very complicated and a single generalized specification of gravity equation can lead to bias in estimates and/or to similarly generalized conclusions that hide important robust idiosyncrasies in behavior present in some subsamples of economic agents. Both the theory of estimation techniques and dataset heterogeneity are applied in the empirical part estimating Austria's export function.
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Price Elasticity of Water Demand: A Meta-Analysis
Thoma, Richard ; Havránek, Tomáš (advisor) ; Janotík, Tomáš (referee)
Meta-analysis is a statistical method that allows us to combine results of em- pirical research. A theoretical summary helped to select appropriate model for the empirical part of this thesis - a meta-analysis focused on the price elas- ticity of residential water demand. A mixed-effects multilevel model, which corrects for selection bias, heteroskedasticity and within-study correlation, was employed. Publication bias was found only for subsample excluding data from the western part of the United States. Heckman meta-regression shows that the true price elasticity of water demand is -0,246. Finally variation in results across studies is explained. Using average price instead of margi- nal, the discrete-continuous choice model and data from the western part of the United States for water demand modelling will result in higher values of estimated elasticity. 1
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Subsidy competition for spillovers for inward FDI
Havránek, Tomáš ; Cahlík, Tomáš (advisor) ; Benáček, Vladimír (referee)
Chapter 2: Meta-Analysis of Intra-Industry FDI Spillovers: Updated Evidence The present paper conducts a meta-analysis of literature on intra-industry productivity spillovers from foreign direct investment. Apart from the traditional approach, robust meta-regression, random effects model, and probit meta-regression are employed. Results of combined significance analysis are mixed but it is apparent that papers published in leading academic journals tend to report rather insignificant results. Our findings suggest that cross-sectional and industry-level studies are likely to find relatively strong spillover effects, and that the choice of proxy for foreign presence is important. The pattern, however, seems to weaken over time. Contrary to previous studies, evidence for publication bias was not detected. JEL Classification C42, D62, F21, F23, O3 Keywords Meta-analysis, Productivity spillovers, Technology transfer, Foreign direct investment, Multinational corporations Chapter 3: On the Determinants of Foreign Direct Investment Incentives This paper examines the microeconomic motivation of governments to provide tax incentives for foreign direct investment. Author applies the classical models of oligopoly to subsidy competition, endogenousing investment incentives, but leaving tax rates exogenous....
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Determinants of Economic Growth: A Bayesian Model Averaging
Kudashvili, Nikoloz ; Horváth, Roman (advisor) ; Havránek, Tomáš (referee)
MASTER THESIS Determinants of Economic Growth: A Bayesian Model Averaging Author: Bc. Nikoloz Kudashvili Abstract The paper estimates the economic growth determinants across 72 countries using a Bayesian Model Averaging. Unlike the other studies we include debt to GDP ratio as an explanatory variable among 29 growth determinants. For given values of the other variables debt to GDP ratio up to the threshold level is positively related with the growth rate. The coefficient on the ratio has nearly 0.8 posterior inclusion probability suggesting that debt to GDP ratio is an important long term growth determinant. We find that the initial level of GDP, life expectancy and equipment investments have a strong effect on the GDP per capita growth rate together with the debt to GDP ratio.
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