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Forks and airdrops in cryptomarkets: Investment opportunities or thin air?
Hotovec, Petr ; Krištoufek, Ladislav (advisor) ; Kurka, Josef (referee)
Cryptocurrencies present a relatively new field of study where not much re- search has been done on the effects of announcements on cryptocurrency re- turns. This thesis examines the effect of hard fork and airdrop announcements on cryptocurrency returns using the event study methodology. Fork and airdrop announcements are studied on 22 cryptocurrencies from the top 100 cryptocur- rencies ranked by their market capitalization and the results show that average abnormal returns are not statistically significant on the day of the announce- ment which is in stark contrast to most of the evidence from the stock markets and implies market inefficiency due to a 2 day lag before average abnormal re- turns become statistically significant. Our interpretation of the results is that information on cryptocurrencies are very confusing and unreliable and investors wait for their confirmation, hence the two day delay. Keywords cryptocurrency, airdrop, hard fork Title Forks and airdrops in cryptomarkets: Invest- ment opportunities or thin air? Author's e-mail hotovecpetr@gmail.com Supervisor's e-mail ladislav.kristoufek@fsv.cuni.cz
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Significance of different financial ratios in predicting stock returns: NYSE - cross-industry analysis
Coufal, Matěj ; Mejstřík, Michal (advisor) ; Kurka, Josef (referee)
The goal of this research is to investigate the power of following seven variables to predict stock returns on the New York Stock Exchange: price to earnings ratio (P/E), dividend yield (DY), debt to equity ratio (D/E), book to market ratio (B/M), return on assets (ROA), return on equity (ROE) and market capitaliza- tion (MC). Companies selected for the analysis are divided into five industries (airlines, computers and software, financial services, food and beverages, energy) which enables to observe the difference between the sectors as far as the statistical significance of regressors is concerned. The ability of six financial ratios and MC to forecast stock returns is examined between February 2010 and February 2020, whereas three investment horizons are considered: three months, one year, three years. Panel data regression models reveal different significant variables for each industry and show that the strength of the relationship between these regressors and expected stock returns increases with a longer investment horizon.
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Is ESG a resiliency factor for company stock returns during a crisis? Evidence from Europe during the covid-19 pandemic
Krameš, David ; Novák, Jiří (advisor) ; Kurka, Josef (referee)
The goal of this thesis was to examine whether high ESG performance serves as a resiliency factor for company stock returns during times of crisis. Using a DID estimator for 3 different regions and treatment timings, I find that high ESG performance did serve as a resiliency factor for company stock returns in the short term during the covid-19 pandemic, with high-ESG firms having 1.125-4.785% higher stock excess log returns compared to low-ESG firms over a 15 day period. This is probably a result of their lower perceived riskiness. I also find this effect is primarily driven by the S pillar and for European companies, by firms belonging to the Financial and Healthcare industries. In the long term, I find that the effect reverses and ESG becomes a negative factor, which I believe is caused by investors starting to seek riskier investments again. Finally, for European and American firms, I find the effect of a high score in the G pillar is negative even in normal times.
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SPACs and IPOs: Consequences on Short-term and Long-term performance
Švancara, Jan ; Kurka, Josef (advisor) ; Čech, František (referee)
This thesis investigates disparities in stock exchange performance with regard to businesses that were unprofitable before becoming public. These firms were divided into two samples; the first sample was made up of firms that entered the market through an Initial Public Offering (IPO), while the second sam- ple was composed of firms that accessed the market through a Special Pur- pose Acquisition Company (SPAC). Buy-and-hold Abnormal Returns (BHARs) and Cumulative Abnormal Returns (CARs) are two types of abnormal returns used to measure stock market performance. The performance was examined throughout four different time horizons, with two of them being considered short-term and the other two being long-term in this thesis. The results indi- cated that unprofitable SPACs significantly underperform unprofitable IPOs in every time horizon examined. Additionally, a model that forecasts whether a firm is more likely to go public through an IPO or a SPAC was developed. The findings implied that highly-priced companies with a greater debt are more likely to be selected by a SPAC. JEL Classification D22, G34, G15, G11, O51 Keywords SPAC, IPO, unprofitable, performance, nega- tive, income, loss, BHAR, CAR Title SPACs and IPOs: Consequences on Short-term and Long-term performance
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Gold, oil, and stocks as safe havens for Bitcoin
Nedvěd, Martin ; Krištoufek, Ladislav (advisor) ; Kurka, Josef (referee)
Bitcoin is often compared to gold for its gold-like features such as a store of value, a limited supply, and a safe haven. However, due to Bitcoin's extreme price movements, investors might rather look for a safe haven against Bitcoin. In this thesis, we study such properties among traditional assets. Specifically, we analyze gold, oil, and stocks as safe havens for Bitcoin on a sample period from 2014 until March 2022. We find that gold acts as a strong safe haven suggesting gold's traditional role as a shelter during uncertainty holds also for this crypto asset. 1
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Impact of Capital Structure and Its Changes on the Value of Companies Obtained Through the Discounted Cash Flow Formula
Chyba, Jakub ; Mejstřík, Michal (advisor) ; Kurka, Josef (referee)
The thesis aims to address the issue of using improper weights of equity and debt in Weighted Average Cost of Capital in the Discounted Cash Flow to Firm valuation technique. In theoretical part I present the textbook derivations of the discussed method and algebraically show the necessity of using target market value of equity in Weighted Average Cost of Capital for this method to lead to unbiased results. Furthermore, I argue that in practice current market value of equity is more than often used instead of target value. In practical part I then try to quantify the biases which may stem from using improper weights for equity. I model resulting biases based on variables such as Return on Invested Capital and growth profiles. I find that in my modeling the level of relative bias gets ceteris paribus larger with lower Return on Invested Capital and larger relative difference between target value of equity and value of equity used in Weighted Average Cost of Capital.
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Significance of different financial ratios in predicting stock returns: NYSE - cross-industry analysis
Coufal, Matěj ; Mejstřík, Michal (advisor) ; Kurka, Josef (referee)
The goal of this research is to investigate the power of following seven variables to predict stock returns on the New York Stock Exchange: price to earnings ratio (P/E), dividend yield (DY), debt to equity ratio (D/E), book to market ratio (B/M), return on assets (ROA), return on equity (ROE) and market capitaliza- tion (MC). Companies selected for the analysis are divided into five industries (airlines, computers and software, financial services, food and beverages, energy) which enables to observe the difference between the sectors as far as the statistical significance of regressors is concerned. The ability of six financial ratios and MC to forecast stock returns is examined between February 2010 and February 2020, whereas three investment horizons are considered: three months, one year, three years. Panel data regression models reveal different significant variables for each industry and show that the strength of the relationship between these regressors and expected stock returns increases with a longer investment horizon.
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