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Performance of alternative portfolios during Financial Crisis 2007-2009
Zaydlar, Adam ; Geršl, Adam (advisor) ; Gapko, Petr (referee)
The main focus of the thesis was to analyze the performance of the alternative portfolio strategies with special attention to the period of Financial Crisis 2007 - 2009. In the thesis, we provide available literature based description of the Financial Crisis sources. For the analytical purposes, we have focused on dollar investor investing into the beta and contrarian trading strategy based portfolios analysis. We have analyzed portfolios consisting of US stocks with beta values equal to 1, 0.5 and negative betas (plus Contrarian portfolio). We provide description of 1$ investment development through the period from 1998 to 2009 with comparison of all strategies in the period from 10/2007 to 03/2009 that is falling into the Financial Crisis period. All portfolios are compared based on the 1$ investment price development, their volatilities and their Sharpe ratios.
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Finanční stabilita a fragilní bankové systémy
Svoboda, Svatopluk ; Geršl, Adam (advisor) ; Slavíček, Jan (referee)
Diploma thesis deals with questions about financial sectors stability assessment. Within the theoretical part, overview of current state of research is presented, along with so-far reached frameworks for such an analysis on international basis. It focuses mainly of results obtained by two most renowned international financial institutions, International Monetary Fund and European Central Bank. The practical part of diploma thesis is dedicated to construction of aggregated Banking Sector Fragility Index (BSFI), and comparison of its outputs to actual banking sector fragility development in chosen countries. Second underlying motivation is to test, whether evolution of BSFI for given countries coincide with "hypothetical banking sector crisis" model. The model is also introduced in the thesis. BSFI is constructed for 6 countries, and obtained results are discussed with respect to mentioned motivation in 3 of them, for banking sectors of Czech Republic, Estonia and Japan.
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Foreign direct investment spillovers and tax havens
Ehrlich, Matěj ; Janský, Petr (advisor) ; Geršl, Adam (referee)
Offshore activities of multinational enterprises challenged the traditi- onal measures of foreign direct investment. One of the consequences is that productivity spillovers from foreign direct investment likely differ for offshore and onshore investors. This heterogeneity is; however, vir- tually unexplored in the existing literature on productivity spillovers. The analysis in this thesis sheds light on the onshore/offshore hetero- geneity and finds compelling evidence that investments from offshore jurisdictions (commonly referred to as tax havens) are associated with fewer productivity spillovers to the supplier sectors.
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Macro-prudential policy and banks' cross-border capital flows
Rabinovich, Ilia ; Geršl, Adam (advisor) ; Teplý, Petr (referee)
This thesis analyzes spillover effects of prudential policies on cross-border capital flows in the period from 2000 until 2014 for 64 countries. It estimates the size of the effect, which 9 most common prudential policy tools had on capital flows based on BIS LBS. The findings show spillover effect of general capital requirements and consumer credit capital requirements on the cross-border capital flows. This work provides analysis of spillover effects in several groups of countries with special accent on CEE countries. JEL Classification F32, F34, G21 Keywords Macroprudential policies; Prudential and supervisory measures; Cross-border banking flows; Leakages; Regulatory arbitrage; CEE Author's e-mail ilyshar@gmail.com Supervisor's e-mail adam.gersl@gmail.com
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The Impact of Mergers and Acquisition Activity on the Time Series Variation in the Stock Size Premium
Kaplan, Robert ; Novák, Jiří (advisor) ; Geršl, Adam (referee)
This work studies whether intertemporal variation in future takeover activity explains intertemporal changes in stock size premium. Taking into account that takeover activity involves 2-9% of firms every year and building upon existing research stating that small firms are more likely takeover targets, receive 40% higher takeover premium than large firms, we argue that small firms benefit from high takeover activity more than large firms and size premium should be more pronounced in the time of high takeover activity. We study takeover activity as well as stock size premium on aggregate level and test whether size premium can be explained by the expected takeover activity, i.e. its change compared to past. We find that change in takeover activity in the next six months versus last six months is positively correlated with size premium. Additionally, we construct a simple predictive model for estimating future takeover activity. The relation between size premium and change in takeover activity remains significant when we use forecasted values given by the predictive model instead of true future values in the model.
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Liquidity creation and banks' capital casual effect: GIIPS countries case
Gjuzi, Gladiola ; Tůma, Zdeněk (advisor) ; Geršl, Adam (referee)
This study observes the impact of regulatory capital on liquidity creation of banks in GIIPS countries over the period 2006-2016. The results are estimated by conducting a panel data analysis and evaluating Fixed Effect model proceeded by a 2SLS regression method. The results show that there exists a negative relationship between regulatory capital and liquidity creation. They give support to policymakers of Basel III/CRD IV to be concerned about the consequences of imposing higher capital requirements. Furthermore, size of the bank is correlated negatively with liquidity creation, and financial crisis does impact the magnitude of the relationship between regulatory capital and liquidity creation. Nevertheless, we suggest that new buffers on liquidity and capital requirements should be accompanied by other prudential tools to ensure a stable financial system in GIIPS countries. JEL Classification E58,F33, G21, G28 Keywords Regulatory Capital, Liquidity creation, Bank Regulation, Fixed Effect Author's e-mail gladiolagjuzi@hotmail.com Supervisor's e-mail ztuma@kpmg.cz
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Interbank markets, monetary transmission and bank efficiency
Lešanovská, Jitka ; Geršl, Adam (advisor) ; Hlaváček, Michal (referee) ; Fungáčová, Zuzana (referee) ; Brei, Michael (referee)
The dissertation thesis comprises three essays which interlink monetary policy transmission and bank characteristics, particularly bank cost efficiency, in the light of recent financial crisis. The first essay focuses on the development of the interbank market risk premium in the Czech Republic during the global financial crisis. We explain the significant departure of interbank interest rates from the key monetary policy rate by a combination of different factors, including liquidity risk, counterparty risk, foreign influence, interbank relations, and strategic behavior. The results suggest a relevant role of market factors, and some importance of counterparty risk. The second essay examines the pass-through from financial market interest rates, directly influenced or targeted by central banks, to the rates that banks charge firms and households. It examines the pass-through mechanism using a unique data set of Czech loan and deposit products and focus on bank-level determinants of pricing policies, especially cost efficiency, which we estimate employing both stochastic frontier and data envelopment analysis. The main results are threefold: First, the long-term pass- through was close to complete for most products before the financial crisis, but has weakened considerably afterward. Second, banks...
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Macro-Financial challenges in Emerging Markets
Jašová, Martina ; Geršl, Adam (advisor) ; Schmieder, Christian (referee) ; Babecký, Jan (referee) ; Jakubík, Petr (referee)
This dissertation thesis consists of three essays on macroeconomics and finance. In these essays, I focus on events which adversely affect emerging markets and present challenges to economic policy and central bank thinking. My aim is to contribute to the existing empirical literature by providing new evidence on the role of private credit, effects of macroprudential policies and understanding of the exchange-rate pass-through. The first essay evaluates policy measures taken to curb bank credit growth in the private sector in the pre-crisis period 2003-2007. The analysis is based on an original survey conducted on central banks in Central and Eastern Europe. The findings reveal substantial policy intervention and indicate that certain measures - particularly asset classification and provisioning rules; and loan eligibility criteria - might have been effective in taming bank credit growth. The second essay contributes to the existing literature on early warning indicators as well as to the discussion on the appropriateness of credit-to-GDP gap as a leading variable for any country for activation of the countercyclical capital buffer instrument in Basel III. We exploit long-run credit series for 36 emerging markets and evaluate their quality to signal a crisis by using receiver operating characteristics...
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Bank lending surveys and financial cycles
Mayr, Samuel ; Geršl, Adam (advisor) ; Hlaváček, Michal (referee)
In 2003 European Central Bank issued a qualitative survey of financing condi- tions. Called bank lending survey (BLS) and including 22 questions on credit standards, credit terms and conditions, and loan demand, the BLS was supposed to act as an additional information stream for the European Central Bank to be able to differentiate between supply and demand effects. This thesis gathers available BLS answers and evaluates their potential use in an early warning system. According to AUROC analysis of various logit models, based partially on traditional early warning indicators (EWIs) and partially on the BLS data, the study picks 27 BLS variables that significantly improve performance of the current EWIs over the period of 2003-2017. JEL Classification C23, C40, F47, G01, G21, G28 Keywords EWIs, bank lending survey, ROC, financial cycle Author's e-mail mayr.samuel@gmail.com Supervisor's e-mail adam.gersl@gmail.com
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