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Discount Rate Estimation Practices of Czech Valuation Experts in Minority Shareholder Squeeze-Outs
Bobysud, Jakub ; Novák, Jiří (advisor) ; Čech, František (referee)
This thesis examines the environment of expert appraisals in the Czech Republic and studies the conflict of interests arising from a setting when a valuation expert is contracted to provide valuation for the purpose of a minority shareholder squeeze-out. This underlying conflict of incentives stems from the fact the expert is paid by the majority shareholder and also from possible efforts relationship building (resulting in securing future engagements) from the expert's side with the majority shareholder that would arise from discretionary adjustments to discount rate calculations and decreased squeeze-out price. This opportunistic behavior is deterred by reputational and legal consequences upon discovery of such practices which can be facilitated by institutional barriers such as a requirement for an approval of the squeeze-out by the Czech National Bank. The previous quantitative research into fields of expert appraisals, methodologies used by valuation experts, and minority squeeze-outs is limited in both Czech and international setting. We rely on previous research into litigation and reputational risks and based on its findings introduce checks for structural differences in behavior of expert groups in discount rate estimation practices. We combine data provided by a valuation team of one of...
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The relationships among ESG, FDI and economic growth in CEE countries
Chen, Jingjing ; Janda, Karel (advisor) ; Li, Yating (referee) ; Čech, František (referee)
This research aims to investigate the causal relationships between ESG and economic growth and the link between ESG and foreign direct investment (FDI) in Central and Eastern European (CEE) countries, and compare the results between different income levels and with Organization for Economic Co-operation and Development (OECD) countries. The study uses panel analysis to examine 22 CEE countries and 26 OECD countries from 2007 to 2019. The three dimensions of ESG are measured by carbon emissions (environmental dimension) human development index (social dimension) and world governance indicators (social dimension). The economic growth and foreign direct investment are measured by GDP per capita and foreign direct investment inflows respectively. The findings indicate that carbon emissions and the level of human development are positively correlated with economic growth across both middle and high-income CEE countries. Governance has a negative effect on economic growth only in middle-income CEE countries, and it does not affect high-income CEE countries and OECD countries. Carbon emissions are generally positively associated with economic growth across all CEE countries, emphasizing the need for prudent environmental policies. Additionally, higher human development levels have a positive impact on...
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The correlation between the automotive industry output cycle and the business cycle in the Czech Republic
Yin, Shiqi ; Jeřábek, Petr (advisor) ; Merrino, Serena (referee) ; Čech, František (referee)
This paper aims to investigate the correlation between the output cycle and the business cycle of the Czech Republic's core industry, the automotive industry. The paper begins by analysing the volatility of each variable, and finds that the trends of the automotive industry output cycle and the business cycle align, while the automotive industry output cycle keeps lagging behind the business cycle. Secondly, this paper adopts the VAR model to examine the relationship between the Czech automotive output and its macroeconomic indicators, using the real GDP and the Gross Value added (GVA) to represent the macroeconomic situation. The results show that there is a correlation between Czech automotive industry output and the macroeconomy, but the correlation is asymmetric, which means the automotive industry is more sensitive to macroeconomic shocks but has weaker impact on the macroeconomy. Finally, this paper also measures the correlation between the automotive industry and monetary policy (M2) and finds that the monetary policy shows strong stability and independence, which can affect the progress of the automotive industry, but no reverse effect has been observed.
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Analyzing the Impact of Czech Economic Development on Carbon Emissions: VAR Model Approach
Shi, Xueyan ; Fiřtová, Magdalena (advisor) ; Akdogan, Idil (referee) ; Čech, František (referee)
The Czech Republic has experienced steady and continuous economic growth since acceded to the European Union. However, at the same time, the increasingly frequent global geological disasters are a constant reminder that the Earth's environment seems to be undergoing even more severe damage. Behind industrial development, technological progress and improving people's lives are increasing carbon emissions. The Czech Republic's carbon emissions are among the highest in Central and Eastern European countries, and the substantial carbon emissions bring serious consequences. The Czech Republic has gradually recognised the seriousness of this problem. It has started introducing a series of relevant policies, laws, and regulations to change the economic growth model, hoping to reduce carbon emissions and improve the natural environment. Based on this, this paper studies the impact of economic growth on carbon dioxide. This paper first selects GDP per capita, industrial structure, and foreign trade dependence as the indicators of economic growth. Then it discusses the theoretical basis and influence mechanism of the impact of economic growth indicators on carbon emissions. By collating the relevant data on economic growth and carbon emissions in the Czech Republic from 1990-2019, the relationship between...
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Economic Development and Pension Privatisation: Evidence from Central and Eastern European Countries and Visions for the Future
Zhang, Yunyang ; Jeřábek, Petr (advisor) ; Merrino, Serena (referee) ; Čech, František (referee)
Since the mid-1990s, to boost the macroeconomy, many countries in the Central and Eastern European region have implemented pension privatisation policies. They followed the recommendations of the World Bank and established a multi-pillar pension model, including a mandatory second pillar with the most privatised features. This paper reviews the literature on pension privatisation policy, summarising its history and development in Central and Eastern Europe, and providing a comparative analysis of privatisation reforms in individual countries. The promotion of economic development, as the most important driver of pension privatisation reforms, has not yet received a definitive conclusion. This paper aims to extend existing empirical research on the impact of pension privatisation on economic development by employing a time-varying difference-in-difference model with data from 1996 to 2022 for a sample of 11 EU countries in the Central and Eastern European region. The results of the study show that the pension privatisation policy significantly contributes to economic development and increases domestic savings, and that the contribution to economic development is greater in the long run than in the short run. As a result, the pension privatisation policy should continue to be promoted in the future.
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Evaluation of International Financial Integration on Growth in CEE Countries
Yang, Yang ; Jeřábek, Petr (advisor) ; Li, Yating (referee) ; Čech, František (referee)
The thesis examines the influence of international financial integration on growth in Central and Eastern European economies using a two-way fixed effects model with macroeconomic data for 16 Central and Eastern European countries from 2007 to 2021. The thesis draws several conclusions. First, the ratio of net FDI inflows and outflows to GDP does not present a significant effect on growth. Although the stock data on FDI is similarly not significant for the overall sample regression, the regression of the sample divided into developed and developing economies shows a positive effect of FDI liabilities on economic growth for developed economies and a negative effect of FDI liabilities on economic growth for developing economies. Second, for both the overall sample, developed economies, and developing economies, none of the portfolio investment asset variables are statistically significant, except for portfolio investment assets in developing economies. Third, both portfolio debt and other investment debt negatively affect economic growth in developing economies and the overall sample, while the result is not significant for developed economies.
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Impact of Market Uncertainty on Stock-Bond Return Relation
Rulíšek, Filip ; Čech, František (advisor) ; Teleu, Saida (referee)
In this thesis, we investigate the relationship between stock and bond returns in the US market from January 2018 to May 2023, with a specific focus on the impact of market uncertainty on this relation. Employing the rolling window cor- relation method, we examine the dynamic correlation between these two assets, using the S&P 500 Index and the US 10-Year Treasury Price Index. The results show, on average, a negative correlation on both monthly and quarterly basis. On a monthly basis we also observed highly fluctuating patterns. Additionally, the findings presented herein demonstrate that both the level and changes in stock market uncertainty, measured by the CBOE Volatility Index, negatively affect the relationship between stock and bond returns. On average, during times of increas- ing market uncertainty, investors tend to shift their funds from risky stocks toward safer bonds, while periods of low market uncertainty are usually characterized by the opposite trend. We carried out the same analysis for 11 stock market sec- tors separately. Interestingly, this analysis revealed that the relationship between the returns of these sectors and government bond returns varies. While the ma- jority of sectors exhibit the same negative correlation as the overall market, few sectors, such as Utilities and...
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Valuation of Companies in the Technological industry of Emerging Markets
Palovič, Peter ; Polák, Petr (advisor) ; Čech, František (referee)
This thesis aims to examine the relationship between various asset pricing fac- tors and the returns of IT stocks in the CEE region. Specifically, it investigates the significance of traditional CAPM beta, MMR (Micro Minus Rest), and ITMR (IT Minus Rest) as potential risk factors in explaining the variations in IT stocks' returns. To achieve this objective, we employed Fama-MacBeth two- stage regression analysis over a dataset comprising monthly returns of 50 CEE IT companies from February 2011 to June 2023. The results of our analysis re- veal that there is no statistically significant relationship between the proposed factors and the returns of IT stocks. Thus, there is no evidence that these factors possess explanatory power in the cross-sections of IT stocks' returns in the CEE region. To ensure the robustness of our findings, we applied both univariate and multivariate asset pricing models. Overall, our study does not support the notion that the investigated factors are significant risk factors for the IT sector in the CEE region, as they fail to predict the variations in IT stocks' returns. JEL Classification G12, G14, G15 Keywords Size premium, Emerging markets, CAPM, Fama-MacBeth regression, Asset pricing Title Valuation of Companies in the Technological in- dustry of Emerging Markets
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Price Dynamics of Automated Market Makers: Simulation-based Approach
Kubal, Jan ; Krištoufek, Ladislav (advisor) ; Čech, František (referee)
The aim of this thesis is to analyze the price dynamics implied by the Automated Market Makers used by Decentralized Exchanges of DeFi and to verify the presence of some behavioral patterns with a simulation-based approach. Returns from 10 representa- tive token pairs were collected over a 15-day period and their properties were compared against traditional stylized facts. A simulation that reproduces the observed price pro- cess was then developed, mimicking the realized swap orders and utilizing the constant product pricing equation of AMMs, incorporating two additional features that implement periods of hype and herding behavior. Analysis of the empirical data revealed that AMM token returns follow the stylized facts most of the time, with their distributional properties, autocorrelation patterns, and volatility clustering. No consistent trend in the leverage effect was found among tokens. The simulation then confirmed that a basic AMM model is sufficient in producing prices with similar returns, showing that this method of transaction settlement is robust and generates the expected price dynamics. The two behavioral mechanics added further increased the similarity between real and simulated return characteristics, indicating that the effects may also influence the actual price formation process. 1
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Connectedness between stocks of cryptocurrency-linked US companies and the Cryptocurrency market
Šamaj, Tomáš ; Šíla, Jan (advisor) ; Čech, František (referee)
This Bachelor's thesis studies connectedness effects between returns of US-listed cryptocurrency-linked stocks (CLS), the traditional US stock market, and ma- jor cryptocurrencies. We present results of connectedness measures obtained by utilizing the Dynamic Networks framework. Our dataset contains daily returns of 20 CLS, the stock market index S&P 500 and five major cryptocurrencies, with a time span ranging from September 2021 to July 2023. The connected- ness measures indicate a significant total connectedness among variables within the system, across the whole time span. We also present directional connected- ness measures for individual variables and decompose the total connectedness into time horizons. We report the short-term horizon of connectedness effects between 1-5 days to be the most significant. Finally, we build Ordinary Least Squares (OLS) regressions for CLS returns and find connectedness measures to influence returns of CLS with high exposure to the cryptocurrency market most significantly. Keywords Connectedness effects of returns, Cryp- tocurrencies, Bitcoin, Dynamic Networks, Cryptocurrency-linked stocks, Stock market Title Connectedness between Stocks of Cryptocurrency-linked US companies and the Cryptocurrency market.
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