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Estimation of the Value of the ŽĎAS, a. s.
Štoll, Karel ; Mačejovský, Jaroslav (referee) ; Karas, Michal (advisor)
This thesis deals with the determination of the value of the joint-stock company ŽĎAS using the income approach. To determine the value of the yield method was used the DCF method in variant entity and EVA also in variant entity. The theoretical part is mainly focused on describing the procedure of determining the value of the company from the definition of the enterprise, the categories of value and purposes awards to description of methods and their specific process. The practical part is attended of determining the value of the company ŽĎAS at the level of an objective value that can be considered generally acceptable. Determining of the value is preceded by processing of strategic and financial analysis and compilation of value drivers and financial plan. Determination of value is made at the date of the first 1st 2014, and should be only used for internal needs of the stock company ŽĎAS.
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Technical Analysis
Kubíková, Lenka ; Doubravský, Karel (referee) ; Novotná, Veronika (advisor)
The bachelor's thesis deals with use of technical analysis to create the optimal portfolio of shares. There is primarily used the Capital Asset Pricing Model CAPM. In the first part of thesis there is stated the theoretical background which describes basic information about shares, capital market, technical analysis and CAPM model. The second part of thesis describes individual companies whose shares were chosen for analysis, and it focuses on the detection of buying and selling signals using moving averages. The last part of thesis applies of formation of optimal portfolio and description of application which attends to individual calculations.
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Design of Investment Portfolio for a Small Family Company on the Czech Capital Market
Řeháčková, Miroslava ; Marek, Jiří (referee) ; Doubravský, Karel (advisor)
This thesis describes the design of portfolio for the small family business in the Czech capital market conditions. It works with data from the Prague Stock Exchange and specifically from the Prime Market. The proposed based on Markowitz's portfolio theory and the CAPM model. From the historical data is created several portfolios, which are then compared with each other and have selected the one best suited to profitability and risk. Finally, the selected portfolio is tested under the conditions of the Czech capital market.
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Technical Analysis
Ondrušová, Denisa ; Žídková, Lucie (referee) ; Novotná, Veronika (advisor)
This master‘s thesis is focused on creating an application, which would suggest an optimal portfolio of shares from SPAD Stock Market Praha. The application is based on the CAPM model, which is also described in this paper. There is a calculation of securities characteristics and specific portfolio diversification is suggested. The application also allows a user to simulate investments based on his requirements.
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Using the CAPM model for trading on the capital market
VOSTALOVÁ, Marie
This work aims to evaluate the current development of financial markets, analyze selected sectors of the stock exchange in terms of profitability and risk and evaluate selected titles using the CAPM model. Five sectors of energy, financial services, real estate, industry and healthcare were selected for the analysis. Each industry is represented by five joint-stock companies whose shares are traded on the New York Stock Exchange and are also listed in the S&P 500 index. The analysis was performed for five years from 2017 to 2021. First, the development of closing prices was evaluated for companies, selected industries and the market. This was followed by an assessment of overall profitability, average profitability, standard deviation and coefficient of variation. As part of the identification of undervalued and overvalued stocks through the CAPM model, the values of the alpha coefficient, the beta coefficient, the determination coefficient and the p-value for the alpha and beta coefficients are calculated. The results of the work showed that the profitability was higher in all monitored areas compared to the market except for the energy sector. The absolute level of risk was characterized by a higher standard deviation in all sectors compared to the market except for real estate. Only healthcare and real estate had a lower coefficient of variation compared to the market, the energy sector was the worst. Based on the beta coefficient, the healthcare and real estate sectors can be described as less risky than the market. Determining undervalued and overvalued shares using the CAPM model proved to be problematic, as the calculated alpha coefficients are statistically significant for only three companies according to the p-value. According to the results, the most advantageous investments were made in real estate and healthcare, while the worst investments were made in the energy sector.
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Technical Analysis
Kubíková, Lenka ; Doubravský, Karel (referee) ; Novotná, Veronika (advisor)
The bachelor's thesis deals with use of technical analysis to create the optimal portfolio of shares. There is primarily used the Capital Asset Pricing Model CAPM. In the first part of thesis there is stated the theoretical background which describes basic information about shares, capital market, technical analysis and CAPM model. The second part of thesis describes individual companies whose shares were chosen for analysis, and it focuses on the detection of buying and selling signals using moving averages. The last part of thesis applies of formation of optimal portfolio and description of application which attends to individual calculations.
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Design of Investment Portfolio for a Small Family Company on the Czech Capital Market
Řeháčková, Miroslava ; Marek, Jiří (referee) ; Doubravský, Karel (advisor)
This thesis describes the design of portfolio for the small family business in the Czech capital market conditions. It works with data from the Prague Stock Exchange and specifically from the Prime Market. The proposed based on Markowitz's portfolio theory and the CAPM model. From the historical data is created several portfolios, which are then compared with each other and have selected the one best suited to profitability and risk. Finally, the selected portfolio is tested under the conditions of the Czech capital market.
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Estimation of the Value of the ŽĎAS, a. s.
Štoll, Karel ; Mačejovský, Jaroslav (referee) ; Karas, Michal (advisor)
This thesis deals with the determination of the value of the joint-stock company ŽĎAS using the income approach. To determine the value of the yield method was used the DCF method in variant entity and EVA also in variant entity. The theoretical part is mainly focused on describing the procedure of determining the value of the company from the definition of the enterprise, the categories of value and purposes awards to description of methods and their specific process. The practical part is attended of determining the value of the company ŽĎAS at the level of an objective value that can be considered generally acceptable. Determining of the value is preceded by processing of strategic and financial analysis and compilation of value drivers and financial plan. Determination of value is made at the date of the first 1st 2014, and should be only used for internal needs of the stock company ŽĎAS.
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|
|
Technical Analysis
Ondrušová, Denisa ; Žídková, Lucie (referee) ; Novotná, Veronika (advisor)
This master‘s thesis is focused on creating an application, which would suggest an optimal portfolio of shares from SPAD Stock Market Praha. The application is based on the CAPM model, which is also described in this paper. There is a calculation of securities characteristics and specific portfolio diversification is suggested. The application also allows a user to simulate investments based on his requirements.
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Cost of Equity for Market Valuation in the Czech Republic with an Emphasis on Market Risk Premium
Novotný, Tomáš ; Maříková, Pavla (advisor) ; Brabenec, Tomáš (referee)
The aim of the work is to analyze the theoretical basis of determination of the market risk premium in conditions of the national market in the Czech Republic with CAPM and practical procedures of its determination using the market data provided by Bloomberg. The work addresses some open problems of practical determination of market risk premium as a choice between historical and implied risk premium, determination of credit spread as a representative of country risk and accurate determination of the equity and bond market volatility ratio. The thesis also contains research on the cost of equity and single-factor sensitivity analysis demonstrating the significant influence of a small change in one parameter entering the calculation of the discount rate on the resulting value.
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