|
|
Stock Return Predictability and Model Uncertainty: A Frequentist Model Averaging Approach
Pacák, Vojtěch ; Havránek, Tomáš (advisor) ; Špolcová, Dominika (referee)
The model uncertainty is a phenomenon where general consensus about the form of specific model is unclear. Stock returns perfectly meet this condition, as extensive literature offers diverse methods and potential drivers without a clear winner among them. Relatively recently, averaging techniques emerged as a possible solution to such scenarios. The two major averaging branches, Bayesian (BMA) and Frequentist (FMA) averaging, naturally deal with uncertainty by averaging over all model candidates rather than choosing the "best" one of them. We focus on FMA and apply this method to our data from U.S. market about S&P 500 index, that I help to explain with the set of eleven explanatory variables chosen in accordance with related literature. To preserve a real-world applicability, I use rolling window scheme to regularly update data in the fitting model for quarterly based re- estimation. Consequently, predictions are obtained with the use of most recent data. Firstly, we find out that simple historical average model can be beaten with a standard model selection approach based on AIC value, with variables as Dividend Yield, Earnings ratio, and Book-to-Market value proving consistently as most significant across quarterly models. With FMA techniques, I was not able to consistently beat the benchmark...
|
|
|
The Salary Discrimination in NBA
Pacák, Vojtěch ; Korbel, Václav (advisor) ; Vach, Daniel (referee)
The Salary Discrimination in NBA Abstract in English Discrimination is commonly investigated throughout the labor market. This empirical study investigates salary discrimination in National basketball association. In last three decades, plenty of papers concerning this behavior have been published. However, results of them are not consistent. We use the most current data and adjusted previous models to reveal today's situation. We create a unique dataset based on statistics and personal qualities, both available on the official website of the league. We suggested two approaches that should capture different kinds of managers' thinking. The first approach controls for statistics from last three seasons, whereas the second approach covers all-career performance. For this study we used salaries from last five seasons with different sample in each period. As our sample is example of independently pooled cross sections, Ordinary Least Squares method can be used. By controlling for dummy variable white, we are able to immediately comment on salary differences between black and white players. We have not found any patterns of salary discrimination between blacks and whites variables. However, we found significant benefit given to centers. This may explain originally reported benefit for white players, as white...
|
guest ::
