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Significance of different financial ratios in predicting stock returns: NYSE - cross-industry analysis
Coufal, Matěj ; Mejstřík, Michal (advisor) ; Kurka, Josef (referee)
The goal of this research is to investigate the power of following seven variables to predict stock returns on the New York Stock Exchange: price to earnings ratio (P/E), dividend yield (DY), debt to equity ratio (D/E), book to market ratio (B/M), return on assets (ROA), return on equity (ROE) and market capitaliza- tion (MC). Companies selected for the analysis are divided into five industries (airlines, computers and software, financial services, food and beverages, energy) which enables to observe the difference between the sectors as far as the statistical significance of regressors is concerned. The ability of six financial ratios and MC to forecast stock returns is examined between February 2010 and February 2020, whereas three investment horizons are considered: three months, one year, three years. Panel data regression models reveal different significant variables for each industry and show that the strength of the relationship between these regressors and expected stock returns increases with a longer investment horizon.
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Foreign-owned banks and host economies
Fišerová, Tereza ; Teplý, Petr (advisor) ; Mejstřík, Michal (referee)
In the past two decades, significant changes have been shaping and transforming the banking sectors worldwide. Among these trends we find an intensive surge in foreign bank ownership which is especially remarkable in the countries of the Central, Eastern and South-Eastern European region. Using the sample of 17 countries and filtering out more than 140 domestically-operating foreign-owned banks, we examine the determinants of their performance in relation to host country conditions and home country banking sector performance over the period of seven years between 2005 and 2011. Due to the topic's currency, we additionally provide an insight into the link between sovereign debt and bank ownership. By means of system GMM model, or fixed effects model, we reveal that macroeconomic fundamentals of the host country affect the foreign-owned banks' performance but do not suffice in explaining it fully. Moreover, the depth of the current crisis as demonstrated in the home country impacts negatively on the host-country-operating foreign-owned banks. We did not find any convincing evidence of the host sovereign debt and bank ownership nature of relationship.
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Option embedded in natural gas sales'contracts
Zlámal, David ; Mejstřík, Michal (advisor) ; Dědek, Oldřich (referee)
The paper analyses the unexplored contractual relationship among sellers and buyers in the natural gas business. In the majority of European natural gas contracts the seller commits to deliver the stated quantity of gas during the year and the buyer is obliged to offtake the main part of the agreed quantity. The difference between these two volumes represents the offtaking flexibility that the seller grants to the buyer, the embedded option. The paper focuses on the evaluation of this embedded option. Firstly the investigation is performed in the current market situation when the buyer doesn't have the access to the spot market with natural gas. Under this condition the buyer can't make a profit and he is using the option only to satisfy the changing demand of his consumers. Secondly, the option is evaluated in the future situation when the spot market with natural gas emerges. In this circumstance, the embedded option becomes a financial option with changing strike price and we can evaluate it using the spread option formulas.
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Integration of European Stock Markets
Bartůňková, Hana ; Mejstřík, Michal (advisor) ; Dědek, Oldřich (referee)
This thesis deals with the issue of integration of stock markets in the European Union. Theoretical background explaining the importance of developed stock market for the economy and the benefits of stock market integration is followed by the analyses of integration barriers: legislative framework of European stock markets, high costs of cross-border trading and currency risk. It is shown that the current legislative process is able to create integrated European stock market, even if the problems concerning coordination of regulation and enforcement of the directives continue. High costs of cross-border trading remain an important barrier of stock market integration as well as the currency risk. Nevertheless this thesis verifies the hypothesis of forthcoming integration of European stock markets.
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Development of investment opportunities for individual investor in the Czech Republic since 1990
Souček, Martin ; Mejstřík, Michal (advisor) ; Teplý, Petr (referee)
Purpose of this thesis is to describe historical development of the Czech capital market and collective investment market, to be able to analyse further investment opportunities of individual investor within these markets from the year 1990. In the first part of thesis we are describing institutional development of financial market from transition period through privatization until presence. In the second part we set up limiting conditions and theoretical presumptions for our analysis of investment opportunities of individual investor. We define also separate investment strategies and predictive models. In the third part of thesis we compare profitability of separate investment strategies in combination with various predictive models. Purpose of this analysis is to find out within our observed period optimal investment strategy based on historical data and econometric methods and verify usefulness of various investment rules.
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Financial intermediaries
Frühauf, Ladislav ; Mejstřík, Michal (advisor) ; Janda, Karel (referee)
This diploma thesis deals with the topic of financial intermediaries. These are specialized agents that enter between investors and borrowers on financial markets and facilitate the exchange of financial assets. Their activity increases savings rate and improves effectivity of allocation of resources and thus has a positive effect on economic growth. Financial intermediaries create no real value in the model of complete markets. Classic theories see their role as alleviating market imperfections and center around informational asymmetries, transaction costs and regulatory barriers. These imperfections diminish over time but intermediaries gain on importance. Classic theories seem not to provide sufficient explanation of current development. Several new approaches to the functioning of financial intermediaries are described in this diploma thesis. Powered by TCPDF (www.tcpdf.org)
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Operattional risk : scenario analysis
Rippel, Milan ; Teplý, Petr (advisor) ; Mejstřík, Michal (referee)
Operational risk management and measurement has been paid an increasing attention in recent years - namely due to the Basel II requirements that were to be complied with by all international active financial institutions by January 2008 and also due to recent severe operational risk loss events. This diploma thesis focuses on operational risk measurement techniques and on regulatory capital estimation methods. A data sample of operational losses provided by a Central European bank is analyzed using several approaches. Multiple statistical concepts for the Loss Distribution Approach are considered. One of the methods used for operational risk management is a scenario analysis. Under this method custom plausible loss events defined in a particular scenario are merged with the original data sample and their impact on capital estimates and on the financial institution as a whole is evaluated. Two main problems are assessed in this diploma thesis - what is the most appropriate statistical method to measure and model operational loss data distribution and what is the impact of hypothetical plausible events on the financial institution. The g&h distribution was evaluated to be the most suitable one for operational risk modeling because its results are consistent even while using scenario analysis method. The...
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When two do the same, it is not the same: cost of equity estimation techniques used by valuation experts
Kolouchová, Petra ; Novák, Jiří (advisor) ; Mejstřík, Michal (referee)
Cost of equity is crucial information that enters business valuation. Yet, even after decades of academic research, consensus has not been reached regarding the appropriate cost of equity estimation. The aim of our thesis is to investigate the cost of equity estimation in practice. In other words, we aim to provide data on the popularity of individual cost of equity models and evidence on what techniques are used for the estimation of parameters entering the models. For this purpose, we use a specifically developed program and obtain a unique dataset of cost of equity values, estimation methods and parameters used by valuation experts in the Czech Republic in the period between 1997 and 2009. Our findings suggest that the most popular model for cost of equity estimation is CAPM, which is followed by the heuristic build up model. In the case of CAPM, risk premiums for unsystematic risks are often applied. Such premiums depend to large extent on expert's own experience and as such are rather qualitative in nature. Overall, in most points of the analysis, our results are consistent with previous, survey-based research on the US and the Western European data.
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Efficiency of EU merger control
Serdarevič, Goran ; Teplý, Petr (advisor) ; Mejstřík, Michal (referee)
Main goal of this thesis is to provide analysis of the key regulatory changes of the European merger control and to evaluate their real impact on the efficiency of the merger regulation. Our main contribution is the empirical analysis of the unique representative sample of 161 mergers covering the final regulatory assessments in the period from 1990 to 2008. We use stock market data to identify mergers wrongly assessed by the Commission. PROBIT model is then used to further investigate the sources of these decision errors. Our results suggest that the Commission's decisions are not purely explained by the motive of protecting consumer welfare and that other political and institutional factors do play a role. We did not find evidence that the Commission protect competitors at the expense of consumers and foreign firms. Moreover, according to our results, the regulatory reform in 2004 has significantly enhanced efficiency of the European merger control. To the author's best knowledge, this is the first study using stock market data to evaluate the recent regulatory reform of the European merger control.
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Credit process and metohods of choice of approval level
Skála, David ; Mejstřík, Michal (advisor) ; Honnerová, Jana (referee)
This thesis analyses the credit process in banks. Specifically, it describes the credit process running from the very beginning when a client asks for a bank loan to the final moment when he/she pays the last installment. In addition, the author explains individual steps made by banks throughout the entire repayment period and their measures adopted at the moment when a client is unable to settle his/her loan. The thesis also includes calculations used in assessing the profitability of granted credits. Furthermore, it deals with methods of distributing credits to individual approval levels, i.e. if a credit can be approved directly in a client's branch or whether the approval must be given at a nationwide level. It offers a hypothesis that the standard method of determining these approval levels is ineffective and proposes a new distribution method. In the last part, both different methods are, at first theoretically, compared with each other to be later followed by an empiric analysis of effects of both methods based on an available data sample. Powered by TCPDF (www.tcpdf.org)
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