National Repository of Grey Literature 236 records found  1 - 10nextend  jump to record: Search took 0.02 seconds. 
Mispricing in leveraged value small-capitalization stocks
Picálek, Jan ; Hronec, Martin (advisor) ; Novák, Jiří (referee)
We study returns in the universe of leveraged value small-capitalization stocks, a universe with historically significant exposure to common risk factors. We sep- arate future winners and losers within this universe of risky stocks by adopting machine-learning-based mispricing strategy. The strategy considers 34 stock- level characteristics to predict 1-month-ahead returns and construct a long- short portfolio accordingly. The portfolio yields abnormal risk-adjusted re- turns of 0.42% per month out-of-sample, uncovering statistically significant mispricing. The machine-learning algorithm is trained on leveraged value small- capitalization stocks, so it captures universe-specific nonlinearities and variable interactions. The nonlinear effects and predictive power of individual variables are extracted and presented as well. We found no evidence of a relationship between the magnitude of the mispricing and credit cycles, or market volatility. JEL Classification G11, G12, G14, Keywords Anomalies, Predictability of returns, Asset pricing tests, Leveraged equities, Value stocks Title Mispricing in leveraged value small-capitalization stocks
Game for Oculus Quest
Kryštůfek, Jakub ; Novák, Jiří (referee) ; Pomikálek, Jiří (advisor)
The aim of this bachelor thesis is to create a prototype of a videogame in virtual reality for target platform Oculus Quest 2. The game was created with game engine Unity with emphasis on optimalization and extensibility of implemented systems. Within the implemented game was created system of autonomous agents via finite state machines and planning architecture goal-oriented action planning. One of the most insteresting game mechanics is fire propagation system implemented with cellular automaton.
When two do the same, it is not the same: cost of equity estimation techniques used by valuation experts
Kolouchová, Petra ; Novák, Jiří (advisor) ; Mejstřík, Michal (referee)
Cost of equity is crucial information that enters business valuation. Yet, even after decades of academic research, consensus has not been reached regarding the appropriate cost of equity estimation. The aim of our thesis is to investigate the cost of equity estimation in practice. In other words, we aim to provide data on the popularity of individual cost of equity models and evidence on what techniques are used for the estimation of parameters entering the models. For this purpose, we use a specifically developed program and obtain a unique dataset of cost of equity values, estimation methods and parameters used by valuation experts in the Czech Republic in the period between 1997 and 2009. Our findings suggest that the most popular model for cost of equity estimation is CAPM, which is followed by the heuristic build up model. In the case of CAPM, risk premiums for unsystematic risks are often applied. Such premiums depend to large extent on expert's own experience and as such are rather qualitative in nature. Overall, in most points of the analysis, our results are consistent with previous, survey-based research on the US and the Western European data.
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
Visualization of the Chemical Space
Škoda, Petr ; Hoksza, David (advisor) ; Novák, Jiří (referee)
Exploration of chemical space is an important part of the drug discovery pro- cess and its importance grows with computation power which permits to explore greater parts of the chemical space. One of the possibilities of the exploration is vi- sualization. Currently, several method for visualization are implemented but there exists no framework focusing primarily on support of the development of new me- thods. In this work we summarized requirements for such framework and with respect to these requirement we implemented such framework. The framework is modular and offers easy implementation of every single part of the visualization pipeline. The framework incorporates an application that provides graphical in- terface for modules' manipulation and presentation of visualization results. For simple utilization of the application without the necessity of implementation of one's own module, several visualization methods have been implemented. These visualization methods were employed in experimental evaluation on both real and artificial datasets 1
Efektivita českého trhu během finanční krize
Horný, Michal ; Bartůňková, Hana (advisor) ; Novák, Jiří (referee)
Efficient market hypothesis belongs among controversial economic concepts. Existence of regularly repeated financial crisises is a certain challenge to this concept. Some economists consider the existence of financial crisises as a proof of market inefficiency. Another explanation is contrary, that financial crisises balance previous market deviation back to equilibrium. We introduce a problem of market efficiency by presenting its theoretical concept. The major goal of the presented work is set on evaluation of change in market efficiency assumptions fullfillment during a financial crisis in conditions of a financial market of the Czech Republic.
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.
Leveraged buyouts in Central and Eastern Europe : relationship lending and its impact on leveraged loan terms
Malatinská, Ingrida ; Geršl, Adam (advisor) ; Novák, Jiří (referee)
This thesis complements existing literature in two main research areas: First, the Thesis provides a comprehensive overview of the evolution of leverage lending in the CEE region, describe loan structures which are common in regional deals, analysis of size and volume of CEE deals follows and special attention is paid to current trends and changes associated with the impact of financial crisis on the LBO market in CEE. Second, the Author analyzes the impact of tighter relationship between a private equity firm and a lending bank on terms of European syndicated LBO loans provided by the bank for financing an LBO transaction from 1995-2005. The main finding of this analysis unveiled that banks with stronger long lasting realtionship with private equity firm tend to charge higher interest rates on LBO loans. This supports the exitence of theoretical concept called a hold-up phenomenon and its stronger presence in Europe compared to the USA.
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
ECB Monetary Policy: "One Size Doesn't Fit All" Problem and Its Impact on Credits Volume
Nedvěd, Petr ; Baxa, Jaromír (advisor) ; Novák, Jiří (referee)
In this work, I analyse inappropriateness of single monetary policy in the euro area and its impact on credit growth for the oldest twelve euro members and a time period spanning 1999Q1-2013Q3. The inappropriateness is expressed by deviations of actual interest rate from Taylor rule prescriptions. The obtained results are in line with a majority of existing literature since they show that the ECB's single interest rate was the least suitable for the so called PIIGS countries prior to the recent economic crisis. The impact of the deviations on credit growth is estimated econometrically by dynamic panel data estimation. The findings confirm my hypothesis that the deviations from the Taylor rule have a significant positive effect on credits volume, i.e. the higher is the Taylor rule prescription above the actual rate, the higher is the credit growth.

National Repository of Grey Literature : 236 records found   1 - 10nextend  jump to record:
See also: similar author names
55 NOVÁK, Jakub
87 NOVÁK, Jan
9 NOVÁK, Jaromír
23 NOVÁK, Jaroslav
8 NOVÁK, Jindřich
94 NOVÁK, Jiří
45 NOVÁK, Josef
87 Novak, Jan
45 Novak, Josef
2 Novák, J.
55 Novák, Jakub
1 Novák, Jakub Štěpán
87 Novák, Jan
9 Novák, Jaromír
23 Novák, Jaroslav
8 Novák, Jindřich
39 Novák, Jiří Karel
2 Novák, Jiří,
45 Novák, Josef
87 Novák, Ján
94 Novák, Jíří
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