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Management of free capital on the financial market
Malo, Dominik ; Dostál, Petr (referee) ; Budík, Jan (advisor)
This diploma thesis deals with the management of free capital of a selected company on the financial market with a focus on mutual funds and ETFs. The result is the construction and analysis of the potential appreciation of the investment strategy interpreted through historical data and a comparison of the results with alternative options for the appreciation of financial capital, especially in the form of mutual funds.
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Does trading strategy based on overreaction and stock-bond decoupling generate additional profits?
Bosák, Martin ; Čech, František (advisor) ; Baruník, Jozef (referee)
Studying whether new trading rules provide higher returns than the buy-and-hold strategy is relevant for both finance theory and the asset management field. In this thesis, we examine the profitability of the newly proposed trading strategy based on the concept of price overreaction on eight developed stock indices. In comparison to other studies, we extend a definition of price overreaction with an inclusion of a minimum volatility threshold. Based on the Ordinary Least Squares model, we find that a volatility condition significantly improves the predictability of return reversals after positive price overreaction. For comparison with the buy-and-hold, we use Hansen's Superior Predictive Ability test that corrects the data snooping bias. Despite better annualised returns during in-sample and out-of-sample periods, the results show that the proposed strategy is not superior to the buy-and-hold at any stock index due to heavy reliance on the predictions of the largest declines. Nevertheless, we confirm the effect of decoupling (flight to quality) that can positively affect our strategy, but only when we do not take into account transaction costs. In the end, we summarize behavioural concepts that lie behind our strategy as the overreaction and decoupling are mostly justified with cognitive biases.
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Management of free capital on the financial market
Malo, Dominik ; Dostál, Petr (referee) ; Budík, Jan (advisor)
This diploma thesis deals with the management of free capital of a selected company on the financial market with a focus on mutual funds and ETFs. The result is the construction and analysis of the potential appreciation of the investment strategy interpreted through historical data and a comparison of the results with alternative options for the appreciation of financial capital, especially in the form of mutual funds.
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Úloha suverénnych fondov v medzinárodných investičných aktivitách
Baluchová, Daniela ; Černohlávková, Eva (advisor) ; Kotková, Martina (referee)
The thesis deals with the growing importance of sovereign wealth funds in the international investment activities. It includes the definition of a sovereign fund, the history of the creation, the largest funds as well as the origin of their capital. While sovereign wealth funds have existed for decades, their profile has risen considerably since the credit crisis. Analyzing the potential benefits and risks related with their investments, the thesis further discusses the changing profile of sovereign wealth funds in the world economy. Despite the significant benefits to global capital markets, some governments expressed concerns regarding the political motivation of their investment activity in strategic sectors of other countries. It is obvious that the measures concerning limited transparency of sovereign wealth funds should be adopted at the multilateral level to avoid protectionism.
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