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Using the CAPM model for trading on the capital market
VOSTALOVÁ, Marie
This work aims to evaluate the current development of financial markets, analyze selected sectors of the stock exchange in terms of profitability and risk and evaluate selected titles using the CAPM model. Five sectors of energy, financial services, real estate, industry and healthcare were selected for the analysis. Each industry is represented by five joint-stock companies whose shares are traded on the New York Stock Exchange and are also listed in the S&P 500 index. The analysis was performed for five years from 2017 to 2021. First, the development of closing prices was evaluated for companies, selected industries and the market. This was followed by an assessment of overall profitability, average profitability, standard deviation and coefficient of variation. As part of the identification of undervalued and overvalued stocks through the CAPM model, the values of the alpha coefficient, the beta coefficient, the determination coefficient and the p-value for the alpha and beta coefficients are calculated. The results of the work showed that the profitability was higher in all monitored areas compared to the market except for the energy sector. The absolute level of risk was characterized by a higher standard deviation in all sectors compared to the market except for real estate. Only healthcare and real estate had a lower coefficient of variation compared to the market, the energy sector was the worst. Based on the beta coefficient, the healthcare and real estate sectors can be described as less risky than the market. Determining undervalued and overvalued shares using the CAPM model proved to be problematic, as the calculated alpha coefficients are statistically significant for only three companies according to the p-value. According to the results, the most advantageous investments were made in real estate and healthcare, while the worst investments were made in the energy sector.
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Investment opportunities of small investor on the capital market in CR and their comparison
VOSTALOVÁ, Marie
The main aim of the thesis is to characterize the possibilities of investing a small investor in the Czech capital market and to compare these possibilities. The thesis is focused on stocks traded through the RM-SYSTEM or the Prague Stock Exchange. In the first part, we find an explanation of important terms, description of basic investment possibilities and presentation of yield, risk and liquidity as the main concepts of investment strategy. The second part first describes trading on the Prague Stock Exchange and the RM-SYSTEM. This is followed by a stock exchange comparison according to yield, risk, liquidity and cost. These characteristics are calculated for four specific stocks traded on both exchanges. A five-year time horizon is chosen for the calculation. The return is compared using the average monthly return and the total return for the selected shares. The risk is calculated over the standard deviation. Cost is calculated using a model situation. The analysis results are first compared for each characteristic separately and then summarized and compared as a whole. Based on the results, we recommend a stock exchange stat is more suitable for a small investor.
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