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Reaction of retail investors to financial market movements and sentiment changes
Hromčík, Jakub ; Schwarz, Jiří (advisor) ; Petrásek, Lukáš (referee)
This bachelor thesis investigates two areas. First, we study the impact of sociodemographic attributes on retail ivnestors following robo-advice in the choices of ready-made portfolios of passive ETFs with unique risk levels by employing a logistic regression model. Second, we investigate the impact of sociodemographic attributes on retail investors' trading volume adjustments in periods of high expected market volatility as proxied by the VIX index, for which we employ panel data regression methods over 18 consecutive months during a relatively stable period from January 1st 2021 to the end of 2022. We find, in agreement with reasearch on human financial advice, that women are more likely than men to follow risk level recommended by a robo-advisor, while being a man is associated with assuming more risk than recommended. Due to model assumption issues, our results are rather inconclusive in whether men tend to react differently to periods of high expected market volatility. JEL Classification D90, D91, G40, G41, J16 Keywords ETFs, VIX, Robo-advisor, Ready-made portfo- lio Title Reaction of retail investors to financial market movements and sentiment changes Author's e-mail kubahromcik@gmail.com Supervisor's e-mail jiri.schwarz@fsv.cuni.cz
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Effect of ESG on Banking Sector
Tor, Michael ; Pečená, Magda (advisor) ; Petrásek, Lukáš (referee)
The aim of this thesis is to examine a potential financial performance link between the European banking sector and Environmental, Social, and Gov- ernance (ESG) performance scores. Previous research has shown conflicting results, from a positive correlation to a negative link suggesting sustainable strategies to bear a burden on banks. This analysis uses panel data regres- sions on a dataset of European banks to find a short-term relationship between dimensions of ESG and financial performance metrics ROA and ROE. This thesis provides an important contribution to the literature by using the latest available data in the research, influenced by the COVID-19 crisis. The analy- sis finds a negative correlation between Environmental performance scores and Bank performance while showing no significant relationships for other dimen- sions of ESG. This negative correlation was found to be even more substantial in the Southern Europe region when examining regions of Europe and bank size differences thoroughly. Keywords Banking sector, ESG performance, ESG, Bank value Title Effect of ESG on Banking Sector
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Application of a Financial Agent-Based Model to the Cryptocurrency Market
Bielaková, Tatiana ; Kukačka, Jiří (advisor) ; Petrásek, Lukáš (referee)
Motivated by the occurrence of financial stylized facts (also) in the cryptocur- rency markets, we study their dynamics by applying one of the most well- known financial agent-based models to them. Based on interactions between two boundedly rational types of traders, this modeling framework nests eight submodels using four attractiveness specifications and two switching mecha- nisms between the trading strategies. The analysis is based on three types of datasets - S&P500 to receive a benchmark to the previous research and a comparison with crypto markets, Bitcoin, and a hypothetical market-weighted Top20 cryptocurrency index. For the estimation, we utilize the simulated method of moments, a technique commonly used in complex models where analytical solutions are not feasible. Overall, the results for cryptocurrency datasets imply a very promising application of agent-based models to the anal- ysis of crypto markets. Particularly, for Bitcoin, all submodels produce data in close agreement with the empirical data-generating process. We attribute the robust rank of results to the low level of rationality of the studied markets. However, we are unable to directly interpret the evolution of the trading groups due to the lack of the resulting group dynamics. We identify a similar prob- lem in several...
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The Effectiveness of the Federal Reserve's Monetary Policy under the Zero Lower Bound
Petrásek, Lukáš ; Horváth, Roman (advisor) ; Šopov, Boril (referee)
This thesis investigates the effectiveness of Federal Reserve's monetary policy under the zero lower bound. It estimates the impacts on interest rates due to surprising components of macroeconomic news. To obtain those surprise components, data on the actual and expected announced values of those news are used. The results support the findings in existing literature that the shorter- term interest rates were constrained by the zero lower bound, but the longer- term interest rates remained unconstrained. The conclusion is that to the extend that the Fed is able to affect those longer-term yields, its monetary policy effectiveness was essentially unaffected by the presence of the zero lower bound. JEL Classification E43, E52, E58 Keywords monetary policy, zero lower bound, interest rates, macroeconomic news Author's e-mail lukas.petrasek1.1@gmail.com Supervisor's e-mail roman.horvath@fsv.cuni.cz
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On the Utilization of Machine Learning in Asset Return Prediction on Limited Datasets
Petrásek, Lukáš ; Baruník, Jozef (advisor) ; Novák, Jiří (referee)
In this thesis, we conduct a comparative analysis of how various modern ma- chine learning techniques perform when employed to asset return prediction on a relatively small sample. We consider a broad selection of machine learn- ing methods, including e.g. elastic nets, random forests or recently highly popularized neural networks. We find that these methods fail to outperform a simple linear model containing only 5 factors and estimated via ordinary least squares. Our conclusion is that applications of machine learning in fi- nance should be conducted carefully, because the techniques may not actually be as powerful as one might think when they are applied under unfavorable circumstances. JEL Classification C45, C52, C53, C58, G12 Keywords asset pricing, machine learning, return predic- tion, regression, decision tree, random forest, neural network Title On the Utilization of Machine Learning in Asset Return Prediction on Limited Datasets Author's e-mail petrasek.lks@gmail.com Supervisor's e-mail barunik@fsv.cuni.cz
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The Effectiveness of the Federal Reserve's Monetary Policy under the Zero Lower Bound
Petrásek, Lukáš ; Horváth, Roman (advisor) ; Šopov, Boril (referee)
This thesis investigates the effectiveness of Federal Reserve's monetary policy under the zero lower bound. It estimates the impacts on interest rates due to surprising components of macroeconomic news. To obtain those surprise components, data on the actual and expected announced values of those news are used. The results support the findings in existing literature that the shorter- term interest rates were constrained by the zero lower bound, but the longer- term interest rates remained unconstrained. The conclusion is that to the extend that the Fed is able to affect those longer-term yields, its monetary policy effectiveness was essentially unaffected by the presence of the zero lower bound. JEL Classification E43, E52, E58 Keywords monetary policy, zero lower bound, interest rates, macroeconomic news Author's e-mail lukas.petrasek1.1@gmail.com Supervisor's e-mail roman.horvath@fsv.cuni.cz
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Development of prices rents in Czech Budweiss
PETRÁŠEK, Lukáš
The thesis is focused on the development prices of rent in Czech Budweis and is divided into several parts. The first part is focused on the history of inhabitation and history of rents. The second part is devoted to explaining basic concepts that are important for my work. In the next section of the literary research, I pay attention to itself lease and the rent, where these concepts and facts related with them, described in more detail. In the practical part there is processed the information from questionnaire, information from Správa domů s.r.o. and still focus on apartments, that have been over the past few years, realized rent through estate agents. From the processed data are created synoptic charts and graphs, together with commentaries and evaluation.
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Using Data from Financial Statements in Company Management and Financial Authority
Petrásek, Lukáš ; Stejskalová, Irena (advisor) ; Králová, Jana (referee)
This thesis deals with analysis and evaluation financial statements from the view of company manager and tax authority. The thesis will be applied to particuliar financial statements of a selected company. The main aim of the thesis is to demonstrate insight and utilisation of these financial statements in the work of the manager and tax authority. Theoretic part of the thesis consists of legal regulation of particuliar finacnial statements, methodology on its analysis and information that may be gained from financial statements. In the practical part of the thesis analysis and evaluation have been elaborated on particuliar financial statements. This analysis and evaluation clearly show utilisation of information during the work of manager and tax authority.
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