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Analysis of factors influencing relative market stock valuation
Hanzl, Tobiáš ; Vrabec, Michal (advisor) ; Řezanková, Hana (referee)
The goal of this diploma thesis is to analyze P/S ratio using Gordon dividend discount model and also to prove hypothesis that assumes existing influence of margin, dividend payout ratio, future dividend growth and discount rate on P/S ratio value. The goal is also to find other factors that can influence relative market stock valuation. Multidimensional regression analysis and also factor analysis were used in order to get a proper knowledge of the factors. There are 781 stocks used in this work. This thesis proves influence of the mentioned variables and also other variables were found that help achieve deeper understanding of examined variable. Market valuation is a very complex matter and is influenced by numerous factors.
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Stock Portfolio Construction and Fundamentals
Bastin, Jan ; Musílek, Petr (advisor) ; Witzany, Jiří (referee)
The final thesis deals with the construction of a stock portfolio. The traditional portfolio theory models of Markowitz and Sharpe and anomalies based on fundamentals are shown and applied in Germany. In the first part, portfolio theory and fundamentals are explained. The mathematical model is demonstrated in the second part. Empirical results are shown in the last part.
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Fundamental analysis of selected stocks
Klimíček, Tomáš ; Musílek, Petr (advisor) ; Veselá, Jitka (referee)
The interest of diploma work is focused on fundamental analysis of selected stocks. Fundaments which were taken into account were earnings per share, sales per share and book value per share. The first part of diploma work describes theoretical background and investment strategies based on P/E, P/S and P/BV ratio. Following part is paying attention to analyzed period, the selection of analyzed stocks and also to the analysis itself. Analysis is performed on twenty stocks traded on London Stock Exchange, on the Main Market. Analyzed period is from 1996 to 2005. In each year of analysis were created three portfolios based on investment strategies connected with P/E, P/S and P/BV ratios. For each selected portfolios was analyzed rate of return. The rate of return was analyzed in different times from creation of the portfolio. The last -- third part includes results of performed analysis, which was performed for each year separately. Result includes analysis of selection of stocks to portfolios and overall analysis of rate of return from of different portfolios. This part of diploma work also includes reflection of limits and weaknesses of performed analysis. Diploma work proved market anomaly. All investment strategies, which were based on ex post analysis, proved its ability to bring higher rate of return than the market.
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