National Repository of Grey Literature 123 records found  1 - 10nextend  jump to record: Search took 0.01 seconds. 
Alternative Investment in Art Assets
Kruja, Mirela ; Horváth, Roman (advisor) ; Červinka, Michal (referee)
This thesis investigates the influence of market uncertainty on investments in alternative asset classes, specifically art collectibles, wine, and stamps, over a span of 50 years leading up to the economic downturn of the 2000s, from 1960 to 2007. It explores the premise that such investments can hedge risk during times of financial instability, thus complementing traditional investment strategies. The study aims to provide empirical evidence of the relationship between the price of these alternative asset classes and macroeconomic variables. This paper should serve as an update to the existing body of literature on alternative investments in collectibles, providing valuable insights into how market uncertainty shapes investment behavior. Overall, the results of the study show that wealth and income dynamics play a significant role in shaping the prices in the art market, and by extension, other alternative investment markets, while the analysis of this study emphasizes the role of macroeconomic conditions such as interest rates, inflation rate, and the EPU Index more. JEL Classification D81, G11, Z11 Keywords alternative investments, art price index, wine price index, stamp price index, investment, cointegration model, collectibles Title Alternative Investment in Art Assets
Comparison of LSTM and random forest on forecasting small-cap stocks from different regions
Michalski, Jakub ; Šíla, Jan (advisor) ; Červinka, Michal (referee)
The following thesis focuses on using machine and deep learning on predicting small-cap stock index returns. Namely, Random forest and LSTM models are tested on indices from different regions, which are Russell 2000, FTSE Smallcap, Nifty Smallcap 100, S&P/AXS Small Ordinaries, and B3 Smallcap Index. By writing this thesis I want to emphasise possible benefits that come with machine learning implementation in small-cap stocks indices analysis, and show which method is better. The R2 , which was used as the main metric, indicates that LSTM performs better than Random forest for every index. Indexwise the best results was achieved by the FTSE Smallcap with 61.1% R2 . We can also see some possible improvements in results by optimizing each index separately, or by including more features that are not that easy to get. JEL Classification C01, C45, C49, C51, C53 C67 C88 Keywords excess returns, LSTM, random forest, machine learning, deep learning, forecasting, small-cap stocks, small-cap index, financial market, neural network Title Comparison of LSTM and random forest on forecasting Small-cap stocks from different regions
DeFi Tokens: Stylized Facts
Francia, Nina Luz ; Krištoufek, Ladislav (advisor) ; Červinka, Michal (referee)
This thesis examines the price and return properties of the four major cryp- tocurrencies (Bitcoin, Ethereum, Binance, and Ripple), five DeFi coins (Uni- sawp, Chainlink, Maker, Pancakeswap, Aave), along with the two conventional financial assets (Euro/USD exchange rate, and S&P500 index). The daily data to January 2023 is used, with different starting dates for each asset depending on the data availability. The main focus of the examination is to examine whether the new class of financial assets show the statistical properties consistent with the stylized facts of the conventional financial assets. This exercise is important and have strong implications to many stakeholder and decision-makers in the finance in- dustry, in relation to whether these new assets show basic statistical properties consistent with those of the conventional financial assets. The properties exam- ined include return predictability (or information efficiency in the weak-form), departure from normality, volatility clustering, leverage effect, and return-risk relationship. Results show that the cryptocurrencies as well as DeFi coins exhibit the properties that are consistent with the stylized facts of the price and return financial assets, except that they show a substantially high degree of volatility and little degree of...
Gambler's Fallacy in Investors' Decision-making
Javůrková, Tereza ; Kukačka, Jiří (advisor) ; Červinka, Michal (referee)
This thesis focuses on the Gambler's Fallacy and its effect on the behavior of investors operating in the stock market. The aim is to incorporate the psychological findings about this behavioral phenomenon to the field of finance. This allows us to analyze the dynamics of the stock market that results from human misconceptions about the probabilities of independent events. More specifically, we analyze the profitability of two types of virtual investors whose decision-making is affected by distorted probabilities based on the Gambler's Fallacy. We further define two other trivial benchmark investors' strategies with different levels of randomness. We examine investors' gains in a simulated efficient market as well as in the real S&P 500 index constituents. Our analysis builds on three different approaches: simulation analysis, empirical frequency analysis, and asset pricing models. By applying the simulation approach together with frequency analysis on the historical stock prices, we find that investors affected by the Gambler's Fallacy gain statistically higher returns than a random investor. Then, we ap- ply both the three-factor and five-factor Fama & French asset pricing model to stocks sorted into portfolios based on their previous earnings per share evo- lution. Our findings reveal a negative...
Analysis of the advantage arising from the swing laterality on the PGA Tour
Šuráň, František ; Červinka, Michal (advisor) ; Chadimová, Kateřina (referee)
Focusing on golf stances, the study examines if left-handed players possess advantages due to factors like golf course architecture. Examining a dataset from a prestigious male professional golf tour, we assess laterality's impact on earnings. A dummy variable is established to evaluate the influence of left- handedness, equaling one if a golf player is left-handed and 0 otherwise. The results confirm the underrepresentation of left-handed golf players, which con- trasts with the overrepresentation of left-handers in other sports. The analysis also reveals that strokes gained and driving distance are significant factors in golf player earnings, while the percentage of greens in regulation and our new variable is not. Interestingly, a randomly selected left-handed player tends to earn more and outperform a right-handed player in driving distance but not in the average number of fairways hit in regulation. The findings suggest that left-handers' advantages may be more significant at lower performance levels, where errors and bad shots are more common, leading to greater variations in outcomes between right and left-handed players. JEL Classification C10, C12, C23, L83, Z20 Keywords golf, PGA Tour, laterality, regression analysis, performance analysis, earnings determination Title Analysis of the...
The socioeconomic effects of microeconomic teaching
Štěpánová, Sára ; Červinka, Michal (advisor) ; Zeynalova, Olesia (referee)
The field of microeconomics has quite strong assumptions of rational and self-interested behaviour on which it builds its mathematical models. As such, it may be presented to the students of microeconomics as a norm and students may then behave more selfish in their decision-making, which would make the assumptions of microeconomics self-fulfilling. This study investigates whether the current teachings of microeconomics promote self-interest. It focuses on the influence that different forms of wording have on decision-making. It further compares students of economics and students of non-economic fields and inspects whether the exposure to microeconomics courses affects the decision-making of students. It replicates the experiment of Buchter (2020) and compares the results. The data was collected through three differently worded versions of an online questionnaire, randomly distributed among the students of the Faculty of Social Sciences, Charles University, both from economic and non- economic fields of study. The results showed that wording is the most significant factor for the decision-making of individuals. Field of study or the number of semesters of microeconomics did not have a significant effect on the respondents choices. Year of study had some effect on the decision-making of respondents,...
Benefits of a concurrent planning of the long-term distribution and business strategies
Petřík, Theodor ; Červinka, Michal (advisor) ; Bajgar, Matěj (referee)
Business and distribution strategy planning is usually carried out in a sequence. A company first devises a business plan and then a distribution strategy to ac- commodate it. The separation in planning can lead to a sub-optimal choice. We propose a method to concurrently plan both strategies using a Bayesian network. We present three modifications of our concurrent optimization model based on different optimization objectives - distribution strategy costs mini- mization, revenue maximization, and profit maximization. The derivation of all model modifications and the collection process of the required inputs are described in detail. The presented model is tested on a business case of the company Pilsner Urquell. Using the company's historical data from 01/2017 and 06/2017, we design the optimum cost distribution strategy in the Czech market for 2018 - 2020. Our results are then compared with the real company development over the same period. Our model shows that the company could have selected a more cost-effective distribution strategy in 2017. Furthermore, we present a range of options for further research. JEL Classification C02, C11, C61 Keywords Bayesian Networks, Business plan, Concurrent planning, Distribution strategy Title Concurrent Business and Distribution Strategy Planning Using...
New Evidence on Abnormal Stock Returns and Abnormal Trading Volume Associated with Inclusions in S&P 500 and FTSE 100
Bartůněk, Jan ; Červinka, Michal (advisor) ; Šíla, Jan (referee)
This thesis analyses abnormal returns and volume around the inclusion of stocks in S&P 500 and FTSE 100 in the 2011-2022 period. The paper contributes to existing research by providing a daily abnormal return analysis for additions to S&P 500 and a thorough study of abnormal returns and trading volume for additions to FTSE 100, a study that has not been recently conducted. For the first time, this thesis provides a comparison of the inclusion effect on the two indices. This thesis reports new results compared to earlier research. The results show that despite the apparent redistribution of stocks one day before the inclusion, there are no abnormal returns on either index on this day. The analysis reports a negative price reaction for additions from S&P 400 and a positive price reaction for additions from outside of S&P 1500. The analysis of FTSE 100 additions shows a negative price effect of the announcement and no daily abnormal return one day after the announcement. Additionally, a different price and volume reaction is observed between the stocks already once added and stocks newly added to the index, as the latter faces a stronger abnormal reaction.
Analysis of Investments and Market Value of Football Clubs
Podzemský, Lukáš ; Polák, Petr (advisor) ; Červinka, Michal (referee)
In the most recent times, success in football competitions and huge money in- vestments became almost synonyms. This thesis investigates to what degree the market value of a team impacts their success in modern European football. Furthermore, this work extends the existing literature by focusing on the in- dividual in-game positions' effect on success based on the market values. This thesis uses correlation analysis and OLS regression in its empirical part. Data sample covers last six seasons starting in 2015/2016 and three major competi- tions - Premier League, LaLiga and Serie A. The first important finding comes from the Pearson correlation coefficient for the position in standings and posi- tion by market value of a team, and it is that the Serie A has the highest level of correlation between those two variables equal to 0.87. On the other hand, from the OLS regression, we found out that the least amount of extra investment is required in Serie A to get extra points. The most expensive competition in this way is Premier League. Finally, this work finds an evidence that the most important position for success with the highest returns on investment is defense for Premier League, midfield for Serie A, and offense for LaLiga. Fur- thermore, the importance of goalkeepers was not found to be...

National Repository of Grey Literature : 123 records found   1 - 10nextend  jump to record:
See also: similar author names
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4 Červinka, Martin
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4 Červinka, Miroslav
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