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Using Model Averaging Techniques to Examine Determinants of Stock Returns
Tóthová, Miriama ; Havránková, Zuzana (advisor) ; Jakubík, Petr (referee)
The predictability of stock returns has been a widely discussed topic in the fi- nancial literature. In the presented thesis, we examine the effect of 20 possible predictors on S&P 500 excess returns in the time period from June 1998 till December 2016. However, traditional models examining stock returns usually ignore the issue of model uncertainty. In order to explicitly incorporate uncer- tainty about the model into the analysis, we employ two model averaging tech- niques, in particular Bayesian model averaging (BMA) and frequentist model averaging (FMA). As a robustness check we use three different combinations of priors within BMA framework. We assess the quality of their predictions and compare the results with the traditional methods based on model selection cri- teria. We find out that among the most important variables explaining excess returns on S&P 500 stock index are three-month Treasury bill rate, dividend yield, term premium, payout ratio, excess returns lagged twice, and default risk premium. These are robust across all models we have estimated. Although fre- quentist model averaging provides in-sample predictions superior to BMA as the literature suggests and it also performs better than models selected accord- ing to popular statistical criteria, it fails to outperform the Bayesian...
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Maternal Education and its Impact on Child Health Outcomes
Tóthová, Miriama ; Chytilová, Julie (advisor) ; Korbel, Václav (referee)
The aim of the presented thesis is to examine the relationship between mater- nal educational attainment and child health outcomes. The study attempts to distinguish between child's nutritional status and mother's health-seeking behaviour which is measured by child's immunization status. Hypotheses are tested using a probit regression model based on the Demographic and Health Surveys data from two Sub-Saharan countries, namely Ethiopia and Kenya. The empirical results suggest that there is a strong significant relationship between maternal education and child's chronic malnutrition, while the ma- ternal education effect attenuates after inclusion of possible channels in the regressions explaining child's acute malnutrition and child's immunization status. The education effect on the probability of having diarrhea has shown to be insignificant. Furthermore, the effect does not differ either by the sex of the child nor by the place of residence. Lastly, we observe that secondary education represents the most important influence on the child health quality.
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