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Evaluation of stock market efficiency and selection of appropriate investment strategy
JAKLOVÁ, Kamila
The main assumption of market efficiency theory is that stock price developments are random. The first mention of this theory comes from the 1950s. The aim of this diploma thesis is to determine the degree of market efficiency based on market efficiency testing. The market can achieve weak forms of efficiency, medium forms of market efficiency and strong forms of efficiency, depending on how quickly stock responds to all information in the market. Market efficiency is tested based on Correlation Test and Runs Test. These are tests focused on the independence of changes in stock prices. The aim of these tests is to describe the relationship between stock prices at time t and t-1. The tests are performed on daily returns of 60 stocks from the five most important areas of the US stock market in the period 1/2015 to 12/2016. These are the areas of Information Technology, the Financial industry, the Pharmaceutical industry, the Food industry, and the Automotive industry. Furthermore, the presence of market anomalies is tested. If these special effects are confirmed, the presence of an efficient market can be refuted. These are the Monday and January effects. Based on the determined market efficiency, investment strategies are assigned to selected areas of the US market. Investment strategies can be divided into two groups of active strategy and passive strategy. The passive strategy assumes of long-term shareholding. An active strategy responds to market signals based on which the investor decides to buy or sell a stock in order to achieve above-average profits. Market buy / sell signals are calculated based on exponential moving averages. These are short-term, medium-term, and long-term moving averages applied to 60 selected stocks.
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Comparison of investment opportunities in the financial markets
ZÁRUBA, Tomáš
This thesis deals with the characteristics of investment opportunities of an investor and compares them according to selected indicators, profitability, risk and liquidity. Firstly, the basic terms of investment characteristics and selected indicators are explained and characterized. This thesis examines various investment options and their suitability for specific types of investors. Then it is focused on evaluation of profitability, risk and liquidity of the selected investments. The specific rating methods based on the indicators are applied to some investment products. Based on the performed calculations, the suitability of individual investment products as well as the creation of a portfolio for selected types of investors are evaluated and the ideal investment strategy is chosen in the final part.
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Investment strategies
Mašát, Filip ; Hurt, Jan (advisor) ; Večeř, Jan (referee)
The goal of the thesis is to explain the portfolio diversification with graph theory. It introduces needed terminology from financial mathematics and from graph theory. The described methods is used on real data and are compared with classic method where risk is measured by the standard deviation and mean absolute deviation and used criteria are based on the Markowitz approach and Sharpe ratio. The software Mathematica is used for computation and graph rendering. 1
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Evaluation of the Investment Efficiency
Hanus, Jan ; Martens, Radek (referee) ; Ptáček, Roman (advisor)
The diploma thesis deals with the evaluation of the investments realization and financing of the investment to build the new hall with production line to achieving the expansion of production. The thesis includes assessment of the company´s financial situation, evaluation of the effectiveness of the investment plan. The essence of the thesis is to appropriate way of realizing the investments and determine economic benefit.
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Zhodnocení investičních produktů dle způsobu jejich řízení
Maštalíř, Jiří
Bachelor thesis is focused on investments to mutual funds and exchange traded funds. Includes the characteristic of the most important concepts of collective investments from the legal forms through the identification of advantages and disadvantages to the presentation of the investments products themselves and their strategies. The primary objective of the thesis is to compare the various investment products according to the way of their management. Then are made recommendations on which investment style and strategy are best suited to retail investor.
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Využití rozkladu pákových ETF při tvorbě investiční strategie
Švábenský, Jakub
The diploma thesis deals with comparison performance of leverage and inverse exchange traded funds and their underlying assets in the USA. The theoretical part is focusing on the description of collective investment, mutual funds, exchange traded funds and overview of the main conclusions of empirical studies which are focused on the similar topic. The empirical part is focused on comparison performance of leverage and inverse ETF on given investment horizons according to the yield-risk indicator in 2014–2019. Based on result is recommended the most appropriate investment strategy for each underlying asset.
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Application of Mathematical and Statistical Methods in Company Management
Brančík, Jakub ; Janková, Zuzana (referee) ; Novotná, Veronika (advisor)
This master thesis deals with the investment recommendation for Czechoslovak Com- mercial Bank, a.s. The recommendation is based on business strategy based on Fibonacci retracement and analysis of the current risks of financial markets. The first part deals with the parameters and the results of the business strategy. Second part proposes investment and non-investment recommendations. At the end of the thesis are summarized all aspects of the research.
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