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Valuation of Companies in the Technological industry of Emerging Markets
Palovič, Peter ; Polák, Petr (advisor) ; Čech, František (referee)
This thesis aims to examine the relationship between various asset pricing fac- tors and the returns of IT stocks in the CEE region. Specifically, it investigates the significance of traditional CAPM beta, MMR (Micro Minus Rest), and ITMR (IT Minus Rest) as potential risk factors in explaining the variations in IT stocks' returns. To achieve this objective, we employed Fama-MacBeth two- stage regression analysis over a dataset comprising monthly returns of 50 CEE IT companies from February 2011 to June 2023. The results of our analysis re- veal that there is no statistically significant relationship between the proposed factors and the returns of IT stocks. Thus, there is no evidence that these factors possess explanatory power in the cross-sections of IT stocks' returns in the CEE region. To ensure the robustness of our findings, we applied both univariate and multivariate asset pricing models. Overall, our study does not support the notion that the investigated factors are significant risk factors for the IT sector in the CEE region, as they fail to predict the variations in IT stocks' returns. JEL Classification G12, G14, G15 Keywords Size premium, Emerging markets, CAPM, Fama-MacBeth regression, Asset pricing Title Valuation of Companies in the Technological in- dustry of Emerging Markets
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Asset pricing: Downside risk across U.S. industries
Palovič, Peter ; Nevrla, Matěj (advisor) ; Kočenda, Evžen (referee)
This thesis investigates the comparative relationship between the traditional CAPM and the downside risk CAPM. It proposes an asset pricing model in which the traditional CAPM beta and DR-CAPM beta are the risk factors. The goal of this thesis is to examine whether DR-CAPM beta represents a significant risk factor that could be used when computing the risk premium of the portfolio in the market. Therefore, this thesis referred to the Fama- MacBeth two-stage regression model that was applied over monthly data of 48 US industries' realized returns ranging from January, 1970 to January, 2021. Results indicate a non-significant relationship between the risk fac- tors (traditional and downside beta) and expected return. Hence, there is no evidence that both factors have any significant explanatory power in the cross-section of stock returns. Moreover, we performed a robustness check of the results using univariate models, relative beta and unconditional approach. All of these models confirmed our results from the conditional approach. Keywords: Asset pricing, CAPM, DR-CAPM, Downside risk, Fama-MacBeth two-stage regression Author's email: 64770339@fsv.cuni.cz Supervisor's email: matej.nevrla@gmail.com
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