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The role of bank management in the European banks' stability during the global financial crisis 2007-2008
Melnychuk, Olena ; Brushko, Iuliia (advisor) ; Červinka, Michal (referee)
During the crisis of 2007-2008, many banks had to improve their management because their previous models could not cope with the increase in the number of defaults on mortgage loans and new risks produced by credit derivatives. The goal of this study is to define what factors were the most significant determinants of the stability of large banks of Europe during the crisis of 2007-2008. This study concentrates mostly on the indicators of the management of loan portfolio in major banks of Europe. For this purpose, the thesis uses a balanced panel data of 69 banks in 18 largest European countries during 2006-2009. Furthermore, from the results of tests on the significance of used variables, the model that evaluates the distance from the insolvency for banks is constructed.
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Essays on Financial Markets
Brushko, Iuliia ; Hanousek, Jan (advisor) ; Bredthauer, Jeffery (referee) ; Payne, Brian (referee)
English This thesis studies financial markets and the information we can obtain from observing the actions of financial market participants. In the first chapter, I study how the combination of different accounting ratios, which are considered to be the financial signals of future performance, can affect the analysts' and managers' earnings forecast releases. The findings show that analysts treat the firms differently depending on whether the firms have only strong financial indicators (high signal group), weak financial indicators (low signal group), and those with both positive and negative signals (mixed signal group). The study also provides the evidence that the managers may realize the heterogeneity in analysts' treatment, and as the result the managers' earnings forecasts will be affected both by the signal group type of the firm and the analysts' bias characteristic for the appropriate signal group. At the same time, the findings show that the analysts sometimes fail to disregard the managers' forecast biases and are misled by the managers. This provides evidence of inaccuracy on the part of analysts and potential gaming on information disclosure between analysts and managers'. In the second chapter, I examine whether trading activity responds to the industry-related earnings announcement...
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Quality Investing: Combining the Gross Profitability with the Free Cash Flow Yield
Dopita, Jiří ; Brushko, Iuliia (advisor) ; Soudek, Jan (referee)
This thesis examined the predictive power of different strategies for future stock returns. The analysis was conducted using a data sample of 3976 firms traded on the New York Stock Exchange (NYSE) and NASDAQ during a 29 year time horizon, from July 1986 to June 2015. Predictive powers of different strategies were also tested during three sub-periods and during bull and bear markets using both long-only and long/short portfolios to check whether the predictive power is robust. It was found that the FCF yield is a better indicator of future stock returns than the gross profitability. The difference between average monthly returns was significant during all tested time periods and market situations using both long-only and long/short portfolios. The newly introduced FCF profitable value strategy proved to be a better predictor of future stock returns than the profitable value strategy. The FCF profitable value strategy presents also an improvement over the FCF yield strategy. It was found that the FCF profitable value has a better predictive power for future stock returns than the FCF yield at least during some time periods or market situations. JEL Classification G11, G14, G15, G17 Keywords value investing, quality investing, gross profitability, free cash flow yield Author's e-mail...
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Intra-industry transfer of information inferred from trading volume
Brushko, Iuliia ; Ferris, S. P. ; Hanousek, Jan ; Trešl, Jiří
This study examines the responsiveness of trading volume to a firm’s earnings announcements. We find that the volume and earnings surprise information generated at the first earnings announcement within an industry help to explain the stock returns of the non-announcing firm. Specifically, it explains their equity performance at the time of the first industry announcement and then again after their own earnings announcement. These results provide novel insights into how earnings announcements contain both firm specific as well as industry information that is value relevant for investors.
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Essays on Financial Markets
Brushko, Iuliia ; Hanousek, Jan (advisor) ; Bredthauer, Jeffery (referee) ; Payne, Brian (referee)
English This thesis studies financial markets and the information we can obtain from observing the actions of financial market participants. In the first chapter, I study how the combination of different accounting ratios, which are considered to be the financial signals of future performance, can affect the analysts' and managers' earnings forecast releases. The findings show that analysts treat the firms differently depending on whether the firms have only strong financial indicators (high signal group), weak financial indicators (low signal group), and those with both positive and negative signals (mixed signal group). The study also provides the evidence that the managers may realize the heterogeneity in analysts' treatment, and as the result the managers' earnings forecasts will be affected both by the signal group type of the firm and the analysts' bias characteristic for the appropriate signal group. At the same time, the findings show that the analysts sometimes fail to disregard the managers' forecast biases and are misled by the managers. This provides evidence of inaccuracy on the part of analysts and potential gaming on information disclosure between analysts and managers'. In the second chapter, I examine whether trading activity responds to the industry-related earnings announcement...
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The role of bank management in the European banks' stability during the global financial crisis 2007-2008
Melnychuk, Olena ; Brushko, Iuliia (advisor) ; Červinka, Michal (referee)
During the crisis of 2007-2008, many banks had to improve their management because their previous models could not cope with the increase in the number of defaults on mortgage loans and new risks produced by credit derivatives. The goal of this study is to define what factors were the most significant determinants of the stability of large banks of Europe during the crisis of 2007-2008. This study concentrates mostly on the indicators of the management of loan portfolio in major banks of Europe. For this purpose, the thesis uses a balanced panel data of 69 banks in 18 largest European countries during 2006-2009. Furthermore, from the results of tests on the significance of used variables, the model that evaluates the distance from the insolvency for banks is constructed.
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Quality Investing: Combining the Gross Profitability with the Free Cash Flow Yield
Dopita, Jiří ; Brushko, Iuliia (advisor) ; Soudek, Jan (referee)
This thesis examined the predictive power of different strategies for future stock returns. The analysis was conducted using a data sample of 3976 firms traded on the New York Stock Exchange (NYSE) and NASDAQ during a 29 year time horizon, from July 1986 to June 2015. Predictive powers of different strategies were also tested during three sub-periods and during bull and bear markets using both long-only and long/short portfolios to check whether the predictive power is robust. It was found that the FCF yield is a better indicator of future stock returns than the gross profitability. The difference between average monthly returns was significant during all tested time periods and market situations using both long-only and long/short portfolios. The newly introduced FCF profitable value strategy proved to be a better predictor of future stock returns than the profitable value strategy. The FCF profitable value strategy presents also an improvement over the FCF yield strategy. It was found that the FCF profitable value has a better predictive power for future stock returns than the FCF yield at least during some time periods or market situations. JEL Classification G11, G14, G15, G17 Keywords value investing, quality investing, gross profitability, free cash flow yield Author's e-mail...
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Bank's Liquidity in Ukraine shortly before and during Political Instability of 2013-2015
Efros, Ganna ; Brushko, Iuliia (advisor) ; Chytilová, Julie (referee)
This thesis discusses causes of the liquidity crises in Ukraine. The topic is covered from both theoretical and practical point of view. The discussions on the policies implemented by Central Bank are presented as well as the analyses for three liquidity ratios, using time series data and ordinary least squares. The main hypotheses of the thesis are: there is a positive correlation between the liquidity level and proportion of foreign capital to total bank capital; higher capital adequacy ratio leads to better liquidity ratios; liquidity is procyclic and thus depends positively on the economic growth of the country and we presume negative correlation between discount rate and liquidity. In addition to the aforementioned hypotheses, we also examine the effect of additional explanatory variables such as inflation, total assets of banking sector, spread between loans and deposits, ratio of non-performing loans to capital, unemployment rate, returns on assets and equity, and investment in securities. The quick liquidity ratio, short-term liquidity ratio, and current ratio are used as dependent variables and separate model is constructed for each of them.
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Switzerland as a Safe Haven: Does the Foreign News Matter?
Kühnl, David ; Brushko, Iuliia (advisor) ; Hayat, Arshad (referee)
David Kühnl, Bachelor Thesis Abstract This thesis investigates the relationship between financial news and Swiss franc exchange rate in the context of Switzerland being safe haven for European investors. We employ the ARMA-GARCH econometric model extended by our custom component called "Floating Returns" to estimate the reaction of the investors to particular financial news. We find out that the bad news lead to significant short-term appreciation of the Swiss franc. Furthermore, we find out that not only the real macroeconomic data but also the investors' expectations are important for exchange rate determination. Finally, our model quantify the reaction to the particular news depending on the expected values and the announced values. 1
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