|
|
Determinants of the Mode of Payment in Mergers & Acquisitions in the European Union
Maryniok, Adam ; Kočenda, Evžen (advisor) ; Teplý, Petr (referee)
Topic of mergers and acquisitions (M&A) is popular both in academia and financial circles and press. A great deal of research has been focused on the value creation side of M&A deals, nonetheless factors influencing the particular method of payment used in M&A transactions are equally interesting. This thesis focuses on number of factors influencing the choice of medium of exchange in M&A deals with European Union domiciled bidders. Using Bayesian model averaging and a relatively new dataset of transactions announced between 2010 and 2018, the analysis finds several bidder, target and deal specific characteristics to be of a provable effect on the choice of payment. Finally, several enhancements and research questions for a further research are identified.
|
|
|
Google Econometrics: Predicting Bond Prices
Krečmer, Marek ; Horváth, Roman (advisor) ; Kočenda, Evžen (referee)
1 Abstract The thesis analysed whether it is possible to improve on time-series forecasting models used to predict prices and volatility of government bonds by adding online search data. Previous research showed that Google trends data are an useful source of an additional information which could improve various fore- casting or nowcasting models. Our research expanded the area into government bonds and tested if the Google trends data could be of any use on this kind of data as well. We have analysed most of the government bond tenors of all the main English speaking countries and the Czech Republic and focused on one-day- ahead forecasting of yields and weighted volatility. To forecast the next day values, we have set up ARIMA-GARCH, GARCH(1,1), AR(1), mean, median and lagged values and compared their performance with the realized values. In addition, we have set-up augmented versions of ARIMA-GARCH, GARCH(1,1) and AR(1) that included online search data. The subsequent findings can be sometimes inconclusive but we have observed quite significant improvements for some of the models and tenors of United States, United Kingdom and Australian government bonds. We have arrived at the conclusion that Google trends data could be used to improve some of the models. It is also possible that the usability depends...
|
|
|
The impact of foreign and domestic M&A on acquirer's stock prices in Central and Eastern Europe
Lukashova, Anna ; Kočenda, Evžen (advisor) ; Novák, Jiří (referee)
The primary objective of this thesis is to investigate the value implications of the mergers and acquisitions deals initiated by the firms from the CEE region. We examine the sample of the 203 M&A announcements made by the bidder firms from the two major economies in the region-Poland and Russia-over the period 2006-2016. We apply the event study methodology to investigate the effect of the M&A announcement on the wealth of the acquirers' shareholders. The results demonstrate that on average investors of the Polish acquirers receive positive short-term wealth effect, while the investors of the Russian firms lose in short-term value. Our empirical findings provide partial support for the positive wealth effect when acquirers target the strategically important asset. Our results hold after controlling for the number of firm and transaction-specific characteristics. JEL Classification G14, G32, G34 Keywords mergers and acquisitions, event study, bidder gains, shareholder wealth effects, Central and Eastern Europe Author's e-mail lukashova.a.v@gmail.com Supervisor's e-mail kocenda@fsv.cuni.cz
|
|
|
Conventional vs. Shariah stock indices: Volatility, Financial Contagion, Interest Rate Risk and Gold as Safe Haven
Hashmi, Osaid ; Kočenda, Evžen (advisor) ; Baxa, Jaromír (referee)
The thesis aims at the comparison of volatility between conventional stock indices and their Shariah counterparts. We study the time-varying volatility and correlation of both categories using GARCH models, during Global Financial Crisis and afterwards, from January 2008 to March 2017. We analyze the Global stock indices drilling down into their Developed and Emerging market segments, and study the U.S. market; considering U.S. as the origin of the crisis. Extending traditional approach, we study difference of time-varying volatility between conventional and Shariah indices, and thoroughly study its dynamic development during the study period. Employing DCC-GARCH, we investigate the financial contagion within markets and find Shariah indices to be significantly affected by it. We find Shariah stocks to be less risky and a diversification opportunity during crisis, but based on market; unlike other markets, Shariah stocks are more volatile in Emerging markets. We also examine correlations of stock indices with interest rates and analyze the role of gold as a safe-haven for Shariah investors. We observe Shariah indices to be having correlation with interest rates similar to that of conventional indices, hence exposed to interest rate risk. Finally, we find that gold is less correlated to Shariah...
|
|
|
Effects of the acquisition-based majority ownership: Evidence from the Czech firms
Gábrišová, Nela ; Kočenda, Evžen (advisor) ; Novák, Jiří (referee)
The thesis analyses Czech limited liability and joint stock companies, where a change of majority shareholder occurred between 2005 and 2011, from the per- spective of their performance 3 and 5 fiscal years after acquisition. The main objective of the research is to compare realised acquisitions between them- selves according to the target's size, and to the industrial relatedness of the acquisition target and acquirer as divided to: horizontal, vertical, financial acquisitions, and acquisitions completed by natural persons. Furthermore, var- ious financial variables potentially affecting operating profitability expressed as EBITDA margin, and other performance indicators are explored. Application of OLS regression on cross-sectional data structure for the two observed post-acquisition periods, and OLS with fixed effects on two-period panel data, provide similar results leading to conclusion that optimisation of variable costs relative to revenue after acquisition has the largest positive im- pact on EBITDA margin. No evidence is found for influence of types of acqui- sitions. Contribution to the research in M&A field is brought thanks to the fo- cus on Czech acquisitions that so far have not been systematically examined, and thanks to analysis from the perspective of acquisition targets' financial...
|
|
|
Consumer Credit Risk Analysis: Evidence from the Czech Republic
Mittigová, Patricie ; Kočenda, Evžen (advisor) ; Hlaváček, Michal (referee)
An increase in the number of granted loans in last decades resulted in more attention paid to proper assessment of borrower's creditworthiness. For this purpose, credit scoring aims to classify good and bad applicants prior loan granting. In this thesis, I analyze a large real-world dataset of borrowers who were granted an unsecured consumer loan in the Czech Republic. The objec- tive is to determine core default predictors while employing seven classification methods. Additionally, a performance measure is computed for each method in order to compare their suitability for examined loan types. Using logistic regression as the core model, the results suggest that borrower's age, monthly income, region of residence, and the number of children substantially influence the probability of default. Conversely, borrower's gender and education level did not prove to be significant for assessing client's creditworthiness. Compar- ing the performance of employed classification methods, it can be concluded that all models produced almost identical results and can be used for the purpose of credit scoring. This thesis complements rather a limited number of credit scoring studies in the Czech Republic and provides new findings about default determinants for unsecured consumer loans. 1
|
|
|
Quoting behaviour of a market-maker under different exchange fee structures
Kiseľ, Rastislav ; Baruník, Jozef (advisor) ; Kočenda, Evžen (referee)
During the last few years, market micro-structure research has been active in analysing the dependence of market efficiency on different market character istics. Make-take fees are one of those topics as they might modify the incen tives for participating agents, e.g. broker-dealers or market-makers. In this thesis, we propose a Hawkes process-based model that captures statistical differences arising from different fee regimes and we estimate the differences on limit order book data. We then use these estimates in an attempt to measure the execution quality from the perspective of a market-maker. We appropriate existing theoretical market frameworks, however, for the pur pose of hireling optimal market-making policies we apply a novel method of deep reinforcement learning. Our results suggest, firstly, that maker-taker exchanges provide better liquidity to the markets, and secondly, that deep reinforcement learning methods may be successfully applied to the domain of optimal market-making. JEL Classification Keywords Author's e-mail Supervisor's e-mail C32, C45, C61, C63 make-take fees, Hawkes process, limit order book, market-making, deep reinforcement learn ing kiselrastislavSgmail.com barunik@f sv.cuni.cz
|
|
|
Does the Accrual Anomaly Persist? Evidence from the U.S. Stock Market
Kolář, Michal ; Kočenda, Evžen (advisor) ; Korbel, Václav (referee)
Understanding what drives stock returns is an essential question for investors, financial institutions, and economists. The question is important not only for individuals, but also for the overall economy, as forms of inefficiency such as bubbles can lead to stock market crashes that have a negative impact on the real economy itself. In contrast to the Efficient Markets Hypothesis, which posits that the stock market is efficient at correctly pricing stocks, the accrual anomaly is an example of one of the largest inefficiencies in the equity market. The aim of this thesis is to examine if the accrual anomaly has lessened in recent history. We analyze if the increasing trend of institutional funds trading on accrual mispricing, the increasing presence of cash flow forecasts, or earnings quality could be responsible for mitigating the accrual anomaly effect. A robust MM regression is used to assess the anomaly alleviation. The analysis focuses on the US stock market. We confirm the mitigation of accrual mispricing based on the increase in trading on the accrual anomaly and quality of earnings for the period from 1991 to 2015, but not the growing number of cash flow forecasts.
|
|
|
The Volatility Patterns and Correlation of Cryptocurrencies: Overcoming the Bitcoin's primacy
Šembera, Tomáš ; Čech, František (advisor) ; Kočenda, Evžen (referee)
The thesis focuses at the evolution of cryptocurrencies or more precisely at the competition process between them in expanding to broader usage. The first main goal of the work is to find out, whether Bitcoin, as the first and still most capitalized cryptocurrency, has an advantage of higher maturity than alternative cryptocurrencies. The second goal is to analyze whether the individual cryptocurrencies are perceived individually by market participants, which could grant the alternative cryptocurrencies an option to compete with Bitcoin by offering better features as safer technology or faster transaction. The analysis of volatility patterns in their exchange rates via various GARCH models suggests that Bitcoin still has advantage in higher maturity. The analysis of the correlation between various alternative cryptocurrencies and Bitcoin finds positive correlation and thus suggests that the cryptocurrencies are rather perceived together. JEL Classification G17, G19, E40, E41 Keywords cryptocurrencies, volatility, GARCH, money, correlation Author's e-mail 79828843@fsv.cuni.cz Supervisor's e-mail frantisek.cech@fsv.cuni.cz
|
|
|
Indian premier league- The value of a player
Denduluri, Arun ; Kočenda, Evžen (advisor) ; Bauer, Michal (referee)
The paper tries to examine and tries to estimate the importance of various characteristics based on the real international statistics of the game of cricket that go into defining and explaining specific monetary values for the cricketers. The auction process employed in the Indian premier league (IPL) enables one to associate players with such specific monetary values. The paper tries to evaluate the above using the data from the IPL auction till 2015 by incorporating the concepts of panel estimation and understanding the previous works in this field. In addition, the paper tests the hypothesis revolving around the significance of the nationality of the given player. JEL Classification C13, C33, C38, C57, Z29 Keywords IPL, Panel estimation, Mixed effects, Auction pricing Author's e-mail 43995848@fsv.cuni.cz Supervisor's e-mail evzen.kocenda@fsv.cuni.,cz
|
guest ::
