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Performance measurement of mutual funds
Havlíček, Pavel ; Valach, Josef (advisor) ; Jakoubek, Jiří (referee)
This thesis is focused mainly on performance measures of open-end mutual funds and analysis of selected funds with long track record (periods 1995-2013 or 2000-2013) available for individual investors in the Czech Republic. In the first part of the thesis, evolution of Czech collective investment business is described. Among traditional risk focused approaches, this thesis describes also less common approaches taking investors' psychology into account -- for example measurement of stress or net utility based on Loss Aversion theory. In the analytical part, the role of additional costs (e.g. entry fee or taxes) is emphasized as these additional costs are usually out of any consideration when measuring the performance. The results show that these additional costs may have significant impact on returns recorded by the investor. In the Czech asset management industry, we usually experience presentation of returns only -- without stress of risks or other factors, risk focused measurements are rarely displayed in funds' performance presentation.
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Possibilities of Deepening the Theory and Practice of Investment Decisions with an Emphasis on Real Options
Oceláková, Petra ; Valach, Josef (advisor) ; Hrdý, Milan (referee) ; Choulík, Petr (referee)
This dissertation deals with selected areas within capital budgeting theory and practice. The first part is focused on possibilities how to improve traditional financial metrics as net present value and internal rate of return by using graphical tools for their interpretation. The main practical problem can be considered not the methodology itself, but the inability to predict future cash flows correctly. The special attention is paid to depreciation in connection with Czech accounting and tax legislation and its influence on capital decisions. The second part of the dissertation concentrates on real option analysis. The crucial difference between net present value and real options analysis is in how these methods deal with the risk. Mathematical approach is used to derive how the volatility and other parameters affect the theoretical value of an investment determined by real option. The more volatile the future cash flows are the higher theoretical value of the real option should be. Nevertheless, there are some exceptions that are analysed in this paper. In final chapter, total cost of ownership and real option analysis are used to evaluate option to switch from on-premise IT solution to cloud computing.
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Enterprise human assets valuation with a special focuse on human assets valuation of a knowledge enterprise
Filipová, Iveta ; Mařík, Miloš (advisor) ; Valach, Josef (referee) ; Strouhal, Jiří (referee)
The dissertation focuses on the valuation of human assets for the purpose of business valuation. The introduction section contains, among others, search of knowledge about the human capital valuation including an identification of "empty spaces" in the business valuation theory in connection with the valuation of human assets. The main aim of the dissertation is the theoretical and experimental development of selected "empty spaces" which were divided into two levels - direct (separate) valuation of human assets and indirect (implicite) valuation of human assets through enterprise valuation methods DCF and EVA. The theoretical section includes a treatise on the status of human assets (human capital) within the intellectual capital and the absence of human assets in the financial statements which are coming to the conclusion that human assets should be incorporated as a separate item in net operating assets of the enterprise in DCF and EVA valuation methods. The dissertation analyzes various definitions of human capital and subsequently on the basis of specific design requirements derives definition of human assets for the purposes of business valuation. The experimental section provides descriptions and analyzes of available methods/models for human assets (human capital) valuation. Subsequently, the derived modified income approach valuation for the direct valuation of human assets includes proposals for an allocation of revenues attributable to human assets, an incorporation of the quality element of human assets assessment to a forecast of future revenues which are attributable to human assets and the specific discount rate for human assets. In the framework of indirect valuation of human assets (in DCF and EVA methods), the attention is aimed to a design of variant options of financial value of human assets incorporation into the net operating assets (among others, these part also contains a proposal of a theoretical basis for determining of human assets market value) and adjustments of economic reports: net operatig assets (NOA) and net operating profit after tax (NOPAT). The variant incorporation of human assets into the NOA is analysed especially for the purpose of finding out changes in the distribution of the enterprise value between NOA and market value added and changes in the profitability of the invested capital compared to the situation when no financial value of human assets is incorporated into the NOA. The final section is focused to a proposal of recommendations for human assets valuation. The recommendations include a part for the direct valuation of human assets (cost and revenue approach) and the indirect valuation of human assets through DCF and EVA valuation methods.
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Application of the Option Methodology to Guarantee Valuation
Hruboň, Lukaš ; Valach, Josef (advisor) ; Scholleová, Hana (referee) ; Zmeškal, Zdeněk (referee)
This dissertation focuses on guarantees with a special emphasis on the option method of guarantee valuation. The existing domestic and international literature does not present a comprehensive debate on guarantee valuation with a sufficient discussion of the role of the guarantor. In addition, a minimal number of sources are devoted to the option valuation of guarantees applied to non-traded companies (and their structures) typical for the Czech Republic, which might inter alia have led to the marginal practical experience of the Czech valuation experts with the method. Following the identified blind spots of the current knowledge, the thesis primarily (i) presents coherent theoretical underpinnings of guarantee valuation, (ii) provides a proposed option valuation approach to guarantee valuation and (iii) demonstrates through a case study of the HAME holding an application of the proposed approach, including an evaluation of its strengths and weaknesses. Based on an analysis and synthesis of the domestic and international literature, a poll among the Czech valuation institutes and a numerical application on the historic HAME holding case, the author observes the following main findings: (i) on a theoretical bases, the option guarantee valuation method presents a plausible way of analysis, (ii) the proposed option valuation approach is applicable in the Czech praxis. Despite these positive prima facie findings, the option valuation approach shall be subject to further testing, comparisons with competing methods and improvements resulting from an increased number of its practical applications.
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Příprava a financování zakázek stavební společnosti
Gálová, Petra ; Valach, Josef (advisor)
Práce se začíná charakteristikou stavebnictví a jeho specifiky. Na začátku je rozebráná problematika zadávaní stavebních zakázek. V případě veřejné zakázky je ukázán systém hodnocení a kritériá hodnocení zakázek. V další části se diplomová práce věnuje zajištění investora(odběratele) a stavební společnosti (dodavatele). Jsou zde zhodnocené výhody a nevýhody různých zajišťovacích instrumentů, hlavně bankovní záruky. Důraz je kladen na fakturaci a placení stavebních zakázek a jejich různé varianty. V závěrečné části je analyzováná stavební zakázka, kterou realizovala společnost Skanska v letech 2002 a 2003.
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Effectiveness evaluation of the investment project of retail company Tesco
Mocková, Ivana ; Valach, Josef (advisor) ; Oceláková, Petra (referee)
The thesis deals with the evaluation of investment projects. The first two parts of the work are aimed theoretically. The first part determines which of the methods of assessing the effectiveness suits main aim of the business the best. Part two explains which criterion of the methods based on cash flows leads to better investment decisions. The third part is devoted to the specifics of the retail sector in the forecast cash flows. The last part of the thesis deals with the evaluation of Tescos specific real investment project. The aim is to assess whether Tesco evaluated project effectiveness correctly and used appropriate criteria and assumptions. followed by an analysis of deviations between planned and real values.
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Determinanty kapitálové struktury a její optimalizace
Křivská, Romana ; Valach, Josef (advisor) ; Marek, Petr (referee) ; Hrdý, Milan (referee)
The finding of optimal debt-to-equity structure, taking into account the determinants which influence Capital Structure, is an ongoing problem in Corporate Finance. It is confirmed in theory as well as in practice in the world of Corporate Finance. There are several theoretical approaches to optimal Capital Structure, nevertheless, in practice none of these theories can be fully confirmed. The aim of the dissertation is the analysis of determinants of Capital Structure and the assessment of the application of current optimal Capital Structure theories. The significance of the individual determinants of Capital Structure is evaluated and the relationship between Leverage and certain determinants is analyzed, based on regression and correlation analysis. These tasks are based on an international point of view followed by the empirical application to mining companies in the Czech Republic and Europe. The dissertation is divided into 3 main parts which include a theoretical part, an analysis of current findings and, finally, an empirical analysis. In the theoretical part, the basic terms used in the topic of Capital Structure are defined by their different meanings in theory. These are Capital, Capital Structure and Leverage. The determinants of Capital Structure were specified with respect to the optimal Capital Structure theories, and the determination of optimal debt ratio is discussed. The analysis of current findings is focused on the empirical verification of optimal Capital Structure theories, on international examples, and on the example of the Czech Republic. Attention is dedicated to understanding the significance of determinants of Capital Structure and the determination of the relationship between Leverage and determinants of Capital Structure. A comparison of the theoretical and empirical findings is made between a group of American and European companies, and between three groups of countries (developed countries, developing countries and transition countries, including the Czech Republic). The empirical part is dedicated to the analysis of determinants of Capital Structure of mining companies in the Czech Republic and Europe. The analyzed determinants are size, profitability, tangibility of assets, and a non-debt tax shield.
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Risks in public private partnerships
Chaloupka, Lubomír ; Valach, Josef (advisor) ; Oceláková, Petra (referee)
Partnerships of private and public sectors in form of so-called PPP can be assumed for modern and efficient instrument for public services provision under certain conditions. Its optimal functioning is connected with many assumptions -- for example rigorous implementation of value of money concept and complying with international best practice together with national specifics reflection. Key aspect of PPP is risk allocation which is also the main generator of abovementioned value for money. The paper pursues to PPP definition, its basic types, principles, advantages and potential threats. The emphasis is put on identification, reflection and management of risks in PPP framework, which can be connected with lower level of transparency and many hampers for reliable value for money achievement demonstration (in comparison with classic public procurement). Paper tries to illustrate main features of the most common methods used for risk adjustment in PPP. There are used and described methods coming from Victoria Partnership, MFSR and Treasury UK methodologies. The most important parameters of financial model used for investment decision-making and following project management and their specificities in the Czech Republic are mentioned. Separate chapter of diploma paper is devoted to PPP recording in government finance statistics and government and debt impacts especially in ESA 95 and GFSM 2001 methodologies. Also issues connected with PPP recording in government and financial crisis are mentioned. The final part of paper illustrates main features of the actual largest considered project D3/R3.
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Private Equity financing in the Czech Republic
Quittek, Radim ; Valach, Josef (advisor) ; Krabec, Tomáš (referee)
Diploma thesis aims to describe the current state of the Private Equity financing in the Czech Republic. This issue is viewed from two angles. The first part is devoted to macro-economic assessment of the current state of Private Equity in the Czech Republic. It aims to describe the current situation, compare it to economies with a developed private equity market and to draw recommendations that will lead to further development of private equity in our country. The focus of the second part is to characterize the Private Equity market from a microeconomic perspective. It aims to describe the functioning of the Private Equity market at the level of individual entities, the business model and analyze and compare the investment strategies of General Partners operating in the Czech Republic.
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Analysis of risks of PPP projects
Tesařová, Petra ; Valach, Josef (advisor) ; Hruboň, Lukáš (referee)
This thesis deals with projects of Public Private Partnership (PPP), its aim is to describe the concept of PPP in theory, to mention its potential benefits as well as contemporary criticism. It also describes methods for the evaluation of PPP projects, analysis of risks and barriers for increased use of PPP projects in the Czech Republic.Practical part focuses on the project in the Czech Republic at the regional level, describes the problems associated with the evaluation of the project and compares the realization of project through PPP project with a form of conventional public contract.
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