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Cost of Equity for Market Valuation in the Czech Republic with an Emphasis on Market Risk Premium
Novotný, Tomáš ; Maříková, Pavla (advisor) ; Brabenec, Tomáš (referee)
The aim of the work is to analyze the theoretical basis of determination of the market risk premium in conditions of the national market in the Czech Republic with CAPM and practical procedures of its determination using the market data provided by Bloomberg. The work addresses some open problems of practical determination of market risk premium as a choice between historical and implied risk premium, determination of credit spread as a representative of country risk and accurate determination of the equity and bond market volatility ratio. The thesis also contains research on the cost of equity and single-factor sensitivity analysis demonstrating the significant influence of a small change in one parameter entering the calculation of the discount rate on the resulting value.
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Využitelnost fundamentální analýzy na kapitálovém trhu v USA
Večerka, Josef
The goal of this thesis is to apply selected methods of fundamental analysis on selected stock sample and to assess in what way fundamental analysis methods' application can be used for determining future stock values. For this purpose, dividend discount models, profit models and cash flow models are employed. For dividend models it is namely Gordon's model, two-tier dividend discount model and H-model, as for profit models methods based on P/E ratio and regarding cash flow models Free Cash Flow to Equity model was chosen. The selection is done with respect to "popularity" of these models within investment theory and practice. Models were applied on companies from American capital market from neutral as well as cyclical sectors. For neutral sector, pharmaceutical company Pfizer, telecom Verizon and producer of nonalcoholic beverages Coca-Cola were picked. As for cyclical sectors, I have chosen Bank of America and industrial goods producer General Electric.
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History of mathematical modelling on financial markets
Cigán, Martin ; Brada, Jaroslav (advisor) ; Langer, Miroslav (referee)
The main goal of this thesis is to introduce the reader to the evolution of some of the well-known mathematical models used in the valuation of investment instruments. The first chapter deals with some of the basic terms used in the following text. The next chapters introduce mathematical models, which are used to valuate stocks, bonds and derivatives. Each chapter contains also a brief description of the instrument itself and in some cases the methods used to evaluate the instruments before the introduction of models. The thesis contains a chapter on concept of portfolio due to its importance in the development of mathematical modelling in this field.
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Analysis of methods for valuing of banks
Juráš, Dalibor ; Mařík, Miloš (advisor) ; Hrdý, Milan (referee)
The diploma thesis deals with the bank valuation and this theme is viewed on in terms of standard as well as brand new approach. In its first part, the thesis focuses on understanding of the difference between the valuation of non-financial companies and banks in particular. The following section describes the above mentioned basic method which is represented by the dividend discount model and it also analyzes some partial problems associated with it. The core of this thesis represents the Sonntag model,that solves the evaluation by closing of counter-positions arising from the individual business cases -- namely taking of deposits and lending. Another part of this thesis is devoted to the issue of the discount rate, respectively the discounted value. Here I concentrate on the evaluation of applicability of the CAPM model in domestic conditions and compare it with the certainty equivalent concept based on the Black-Scholes theory of option valuation. Finally, the thesis presents a practical example -- i.e. valuation of Banco Popolare ČR (nowadays Equa Bank), application and comparison of the both mentioned models and formulation of the final recommendations for appraisers
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Fundamental and technical analysis of Telefonica O2 Czech Republic, a.s. share
Kálal, Tomáš ; Veselá, Jitka (advisor) ; Musílek, Petr (referee)
First part of this graduation theses "Fundamental and technical analysis of the Telefonica O2 Czech Republic, a.s. equity" concern more about the teoretical approach of the characteristics of the company Telefonica O2, his competitors on the country level as well as on the regional level. This description should prepare the reader to know better the telecomunication sector. The second part is a empirical study. Primarily from the fundamental approach and then from the technical one. These two parts concern about discovering the "buy" os "sell" recommendation for a real investor. Each of the methods are first described and then a brief comment of the results is made.
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