National Repository of Grey Literature 37 records found  1 - 10nextend  jump to record: Search took 0.00 seconds. 
Liquidity and Predictability of Cryptoassets
Mjartanová, Viktória ; Krištoufek, Ladislav (advisor) ; Čech, František (referee)
The relationship between liquidity and return predictability may be an im- portant aspect to consider when investing in cryptoassets. We examine this relation using both cross-sectional as well as panel data. First, we calculate a set of predictability measures and aggregate the results into four variables. We then regress the predictability variables on a set of controls and two measures of liquidity, specifically the Amihud illiquidity ratio and the Corwin-Schultz spread estimate. The other independent variables include the logarithm of volume, turnover ratio and Garman-Klass volatility. Results from the cross- sectional analysis indicate that liquidity negatively impacts the degree of return predictability. Moreover, findings from a subset of panel data, including only 50 cryptoassets with the largest market capitalization, provide some evidence in favor of this relationship. Results from full panel data, however, present contradictory evidence. For these regressions, liquidity is found to be either in- significant or to possess a positive impact on the degree of return predictability. Altogether, we obtain mixed evidence about the effect of cryptoasset liquidity on return predictability. JEL Classification C53, C58, G14 Keywords Cryptoassets, Predictability, Liquidity, Panel data Title...
Power markets and the EU ETS: How volatility propagates across Central Europe?
Jurka, Vojtěch ; Baruník, Jozef (advisor) ; Čech, František (referee)
The thesis deals with connectedness in the uncertainty of the carbon and power markets in Central Europe. While the drivers of power price were extensively documented in the literature, we investigate how uncertainty propagates between the German power market and its production factors using a recently developed framework of connectedness measurement. The connections in uncertainty on markets are insightful for the decision of the agents that require a premium for undertaking risk. The empirical results suggest that connectedness in uncertainty significantly varies over the studied period. The interdependence of power with coal decreases while the spillovers between gas and power rise on importance reflecting the changes in generation mix of Germany. For most of the period, the volatility of carbon and power markets is highly correlated. However, the share of volatility transmission spikes several times during the period of 2016-2019. In reaction to the reform of the EU Emission Trading Scheme, the uncertainty about emission allowance prices propagates to the German power market, increasing the uncertainty about power prices on the long horizon.
Marginal Effect of R&D Expenditures on Value of Technology Companies
Tuček, Lukáš ; Kočenda, Evžen (advisor) ; Čech, František (referee)
1 Abstract Research and development is an inseparable part of technology industry as technology companies, unlike most, rely on R&D not only as means of effi- ciency improvement to existing production, but rather as means of production itself. This thesis presents an alternative approach to R&D intensity measure and applies it in an empirical analysis on technology leaders company data from 2013 through 2018 measuring R&D intensity impact on company market value. Additionally, this thesis explores the differences in impact of R&D on company value dependent on the company's product cycle nature. The re- sults of this thesis are mostly conforming to existing academic literature and show diminishing returns to R&D intensity. A surprising negative effect of a variable comparing given company's R&D expenditures to ones of the segment leader of a given segment has been found. There has been found no lag dif- ference between the groups of companies with open and closed cycle product development. JEL Classification O31, O32, M21 Keywords research and development, technology, market value Title Marginal Effect of R&D Expenditures on Value of Technology Companies
Sector ETF portfolio optimization using differential evolution
Holešínský, René ; Čech, František (advisor) ; Kraicová, Lucie (referee)
This thesis examines the use of differential evolution in a real-world portfolio op- timization task based on US stock data. We empirically test the capability of the algorithm to find an inter-sector allocation that outperforms a broad-market stock index. Two constrained sector ETF portfolios are constructed to simulate realis- tic agent-based settings and performance of the competing portfolios is analyzed in terms of both return and risk. The results are further extended to include Markowitz' global minimum variance portfolio and a naive 1/N portfolio. We show that the con- structed portfolios are indeed capable of outperforming the market whilst simultane- ously maintaining lower tail risk, however, the performance significantly deteriorates if the portfolios are rebalanced based on rolling data windows. Overall the algorithm delivers satisfying results while providing the user with a relative freedom when choosing portfolio constraints. JEL Classification: C61, G11, G17, G19 Keywords: portfolio optimization, exchange-traded funds, differen- tial evolution, empirical analysis Title: Sector ETF Portfolio Optimization Using Differential Evolution Author's e-mail: rene.holesinsky@gmail.com Supervisor's e-mail: frantisek.cech@fsv.cuni.cz 1
Analysis of investor's portfolio diversification on the Czech peer-to-peer market
Juračková, Martina ; Polák, Petr (advisor) ; Čech, František (referee)
This thesis deals with the topic of peer-to-peer lending. Using the data provided by the Czech platform Zonky, we study the behaviour of investors on the peer-to-peer lending market. This paper aims to determine whether the demographic factors of investor and the structure of his portfolio have a significant impact on portfolio performance. Based on the quantity invested, a sample of "small" investors (with the quantity invested from 10 000 CZK to 50 000 CZK) and "big" investors (with the invested volume exceeding 1 000 000 CZK) was chosen. Those contrasting samples were analysed. It was discovered that several factors affect portfolio performance. In terms of the portfolio's structure, the size of the share invested in loans with very low and medium risk level and to borrowers from Prague was determined as significant. This is a common feature of both samples. On the other hand, compared to "big" investors, in the case of "small" investors, more variables were estimated as significant. This implies that the performance of a portfolio with lower amount invested is probably more sensitive to various loan's characteristics. These findings are partially consistent with the results of similar papers conducted in the Czech Republic or abroad.
Is Revenue Management to Meet Earnings Benchmarks Informative?
Habětínek, Jan ; Novák, Jiří (advisor) ; Čech, František (referee)
We propose and empirically test a new hypothesis that managers rationally choose between specific channels of earnings management to meet earnings benchmarks. Prior research documents that managers are ready to interfere with the neutrality of financial reporting process to report earnings above zero, earnings above last year's earnings, and earnings above analysts' forecast. However, there is a controversy over whether this earnings management to meet or beat earnings benchmarks is intended to distort investors' view by delaying the disclosure of bad news or whether it is intended to communicate managers' private information about the firm's strong future performance. We argue that the credibility of the earnings management signal crucially depends on the cost of its imitation. As revenue management is more costly to imitate than cost management, we argue that managers who intend to send a credible signal about their firm's future performance likely boost revenues rather than depress costs. To test this prediction, we use a recently developed model of discretionary revenues that is arguably more powerful in detecting earnings management than traditional techniques. The empirical results are consistent with our predictions for the most important earnings benchmark - the consensus of analysts'...
Financial Markets Comovements in Northern Europe
Tomek, Lukáš ; Čech, František (advisor) ; Brož, Václav (referee)
In this bachelor thesis, we study conditional correlation of various sector in- dices on the stock markets in Northern Europe, namely in Stockholm, Helsinki, Copenhagen and composite indices for Baltic countries. To model conditional correlations, we employ DCC-GARCH framework estimated by maximum like- lihood estimator. Validation of estimated models is based on residuals. We discovered that there is low level of correlation between Nordic and Baltic coun- tries and that some sectors exhibits very high level of correlation, while other tends to have correlation close to zero or even negative for some time peri- ods. Moreover, we observe that some industries have very persistent correlation structure, while others tends to react to the price shocks drastically. 1
A Dynamic Approach to Fuel Hedging with Reference to the 2020 International Maritime Organization Regulations
Zítek, Michal ; Čech, František (advisor) ; Smutná, Šarlota (referee)
In this thesis, we examine how marine fuels could be used in asset allocation with respect to portfolio management in a multivariate modelling and cross- hedging framework. The territory that remains largely unexplored is the level of interdependence between bunker spot and five most actively traded energy futures contracts. This approach relies on the (A)DCC-GARCH models as a workhorse of financial applications. We investigate whether all correla- tions and volatilities show asymmetry of responses to positive and negative innovations during both normal and turbulent periods and whether patterns of correlations could be traced across the global ports. In doing so, time- varying conditional variance-covariance matrices estimated from these mod- els are used in calculating the optimal portfolio design. The analysis works as an umbrella term for the IMO 2020 sulphur cap regulations concerning oil refineries, marine industry and energy investors. Overall, this study has four main findings. Joint dynamics between return series matches overly volatile correlations with weak and positive links between commodities. Employ- ing four different hedging rules and performing a rolling window operation, we find that complex hedging strategies do not provide greater benefits in reducing portfolio variance...
Forecasting Election Results in the Czech Republic
Doskočilová, Kateřina ; Havránek, Tomáš (advisor) ; Čech, František (referee)
Forecasting Election Results in the Czech Republic Kateřina Doskočilová In this thesis, a forecasting model for the 2017 legislative election in the Czech Republic is built. As the Czech Republic has a multi-party system, the outcomes of the model are the expected vote shares for each party. There are two types of forecasts calculated. Firstly, a poll-based forecast using a dynamic linear model and Kalman filter to weigh the information in the polls. Secondly, the prices on betting markets are translated into probabilistic forecasts for the expected vote shares. This is a novel approach as prediction markets were previously used to forecasts only the probabilities of winning an election. Finally, the two types of forecasts are combined into one and weighed by their variance. Comparing the forecasts, we conclude that the betting market is able to predict the exact vote shares the most accurately right before the election.
The Effects of Monetary Policy on Real Estate Market: a SVAR Analysis
Stirba, Pavel ; Čech, František (advisor) ; Hlaváček, Michal (referee)
This thesis empirically investigates the effects of monetary policy instruments on the real estate market for the following countries: Germany, France, the Netherlands, Spain and the United Kingdom, using a Structural Vector Autoregression model (SVAR) with Choleski recursive identification. This was done from the three different aspects: interest rate, scale of credit, and output. The covered period lasts from the first quarter of 2005 and then varies, depending on the country. The Wu-Xia shadow rate was used as a proxy for the interest rate, households' debt was used as a proxy for scale of credit, and real GDP was used as a proxy for the output. As the output of the analysis, we used the impulse response functions (IRF) and forecast errors variance decomposition (FEVD). The results suggest that the Residential Property Prices (RPPI) in every country react positively to an output shock and negatively to interest rates (except Spain). The effect of household debt on RPPI and statistical significance of intervals depend on the country observed.

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