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Momentum trading strategy performance before, during, and after the COVID-19 crisis
Řeřicha, Dávid ; Fanta, Nicolas (advisor) ; Vácha, Lukáš (referee)
This thesis investigates the well-known momentum trading strategy from January 2013 to May 2022 on the US stock market. The goal of this thesis is to examine whether the phenomenal momentum anomalies occurred during COVID-19 crisis. The main part is addressed to the creation of momentum portfolios from the whole US stock market using daily data from 500 firms in the S&P 500 index and additional 11 sectoral momentum portfolios. Results confirm the power of momentum portfolios as the past winners accumulated the highest returns over the whole observed period and clearly outperformed the market. Focusing closely on COVID- 19 period we observed past losers outperforming past winners, which confirms another momentum anomaly on the US stock market. Therefore, this thesis referred to the Carhart Four - Factor Model model that is based on the Fama-French Three - Factor model with additional momentum factor. Unfortunately, results indicate no statistically significant power to explain the momentum behaviour during COVID-19 crisis.
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Momentum in Stock Returns: Analysis for European Countries
Drmotová, Kristýna ; Kukačka, Jiří (advisor) ; Maršál, Aleš (referee)
This thesis investigates one of the most pervasive anomalies in the behaviour of stock returns, the momentum. We analyse whether there is momentum in European stock returns that would generate profitable investment strategies. First, we compute the average monthly returns on strategies built in accordance with the existing literature. Next, we compare returns on momentum strate- gies between markets with different levels of capitalization and development. Further, we test whether these returns can be explained as the compensation for risk exposures through the Capital Asset Pricing Model. We find that even though the underlying risk has perceptible predictive power for stock re- turns, there still remains a substantial part of abnormal returns unexplained by this model. Therefore, we extend it with additional explanatory variables that might have a predictive power for stock returns according to the Fama & French (1993) three-factor model and Fama & French (2015) five-factor model. We find that stocks that performed best over the short-term past tend to con- tinue to outperform other stocks and stocks that performed worst tend to have one of the lowest returns in subsequent months. We find that strategies based on buying past winners yield statistically significant positive abnormal returns. Furthermore,...
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Physiotherapeutic techniques for a patient with the frozen shoulder syndrome
JIRSÁKOVÁ, Nikola
This thesis is focused on problematic of a syndrom of frozen shoulder and an effect of individual physiotherapeutic procedures applied during this diagnosis. There is an anatomy of the shoulder knit and a single muscle included in the theoretical part. Kinesiology of shoulder joint, distribution and clinical picture of the syndrome of frozen shoulder and also the treatment options of diagnosis using physiotherapy are described below. The practical part is composed by case reports of each patient with the syndrome of frozen shoulder and physiotherapy technique and method is further included. The aim of the thesis is to evaluate: an effect of physiotherapy on time of convalescence in the syndrome of frozen shoulder and an efficiency of established therapy. Per an individual examinations an individual physioterapeutic plan was created for each pacient. Qualitative researches applied to 5 patients have leaded to the results of this task. To collect data served especially input and output kinesiological analysis and an inventory of patient history in the next row, analysis of collected data was performed at the end. This bachelor thesis can find applied among medical staff in the specialized departments in the hospital as an educational material for students or as an educational source for patients with syndrome of frozen shoulder. It can also help to the general public to augment the knowledges in rehabilitation issues.
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Momentum in Stock Returns: Analysis for European Countries
Drmotová, Kristýna ; Kukačka, Jiří (advisor) ; Maršál, Aleš (referee)
This thesis investigates one of the most pervasive anomalies in the behaviour of stock returns, the momentum. We analyse whether there is momentum in European stock returns that would generate profitable investment strategies. First, we compute the average monthly returns on strategies built in accordance with the existing literature. Next, we compare returns on momentum strate- gies between markets with different levels of capitalization and development. Further, we test whether these returns can be explained as the compensation for risk exposures through the Capital Asset Pricing Model. We find that even though the underlying risk has perceptible predictive power for stock re- turns, there still remains a substantial part of abnormal returns unexplained by this model. Therefore, we extend it with additional explanatory variables that might have a predictive power for stock returns according to the Fama & French (1993) three-factor model and Fama & French (2015) five-factor model. We find that stocks that performed best over the short-term past tend to con- tinue to outperform other stocks and stocks that performed worst tend to have one of the lowest returns in subsequent months. We find that strategies based on buying past winners yield statistically significant positive abnormal returns. Furthermore,...
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Physiotherapy in patiens after fracture of the proximal end of humerus solved conservatively
Melounová, Helena ; Molnár, Petr (advisor) ; Němeček, Ondřej (referee)
The theoretical part of bachelor's thesis deals with the anatomy, kinesiology and biomechanics of the shoulder girgle. The view of the general fractures andof proximal humerus is described here, thein diagnosis surgical physiotherapical treatment. The practical part includes two detailed case reports of treated patients after fracture of the proximal humerus solved conservatively. There is also a comparison of kinesiotherapeutic treatment with the regard so the type of fracture, age and the incidence of complications.
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Available Financial Sources of Enterprise and Their Evaluation in Trading in the Stock Markets
KASANDA, Jan
My thesis is dedicated to the evaluation of available financial sources of enterprise traded in the stock market. Three kinds of foreign shares are traded in the stock market using some instruments of technical analysis. The trading in the stock market took place in a period of three years (from 2013 to the end of the year 2015). The technical analysis is applied to the historical closing prices of individual stocks. The technical indicators are used to generate buying and selling signals. For trading with share I have chosen the indicators: RSI, Momen-tum and MACD and I have chosen shares of Apple Inc., Allianz and BMW Group. In the theoretical part of my bachelor thesis I describe and explain key words such as Capital market, shares, Joint-Stock company, government bond, tools of financial market and types of analysis. In this part I deal with the types of analysis, especially technical analysis and three chosen technical indicators. The main aim of my thesis is the comparison of the effectiveness of used methods and amount of generated buying and selling signals. These methods are being used to maximize profits. The evaluations of shares are compared with the evaluations of the investments of free sources into government bonds and to a term deposit. According to my results it is not possible to choose the best trading method, because there are many circumstances which is the choice influenced by. The worst indicator of the compared ones is MACD. With Relative strength index I have achieved only trading profit. Most buying and selling signals generated the indicator Momentum. If I should recommend you one of these indicators, I would recommend the indicator RSI.
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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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