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National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
Vliv behaviorální pozornosti na cenu akcií bank
 Čajka, Ondřej
This diploma thesis is based on the theory of behavioral attention and examines the effect of the search for negative words in conjunction with the name of the bank on the price and on the yield of the shares of these banks. As a sample, 12 global, publicly traded and significant banks were selected. In this work, the behavioral attention is identified as the level of search on Google. The panel regression with random effects is used in the work, and Bayesian Model Averaging is used to identify suitable variables. The data proves the effect of negative behavioral attention, when an increased level of attention diminishes yield and share price. The results are then subjected to a robustness analysis where the impact of behavioral attention is examined before, during, and after the financial crisis. Furthermore, the effect of regulation and the level of behavioral attention itself is examined. The diploma thesis corresponds to the knowledge of behavioral economics and confirms a certain irrational behavior of investors on the market.
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Capital market models and tests of these models
 Čechová, Lenka ; Musílek, Petr (advisor) ; Fičura, Milan (referee)
This thesis deals with the description and testing of the capital market models. It consists of an analysis of the most famous models such as the CAPM, the three-factor Fama-French model, the four-factor Fama-French-Carhart model and an alternative multi-factor model that includes the current relevant risk factors. In the first part, one can find the introduction to the capital market theory that is essential for the definition of model assumptions. The second part is dedicated to the description and construction of the models in reference to the relevant research papers. The last part of this thesis contains the regression model estimates, taking into account the data set of the fifteen most profitable IT companies. A portfolio of these firms is expected to exhibit a positive and statistically significant alpha. Daily portfolio returns in the period 1990 -- 2014 are regressed on risk factors of particular models. The aim of this thesis is to test whether the capital market models are valid for the long-term portfolio returns composed of the selected shares.
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