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Trading strategies based on estimates of conditional distribution of stock returns
Sedlačík, Adam ; Baruník, Jozef (advisor) ; Vošvrda, Miloslav (referee)
In this thesis, a new trading strategy is proposed. By the help of quantile regression, the conditional distribution functions of stock market returns are estimated. Based on the knowledge of the distribution the strategy produced buying and selling signals which together with a weight function derived from exponential moving averages determines how much and when to buy or sell. The strategy performs better than the market in terms of absolute return and the Sharpe ratio in-sample, but it does not provide satisfactory results out-of-sample.
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Inter-industry Wage Differentials in the Czech Republic
Hofman, Stanislav ; Flek, Vladislav (advisor) ; Kameníček, Jiří (referee)
This thesis examines inter-industry wage differentials in the Czech Republic, using the European Union - Statistics on Income and Living (EU-SILC 2009) survey as its primary data source. Findings show that, even after controlling for the large number of workers and jobs characteristics, wage differences based on industry affiliation still persist. The variation among inter-industry wage differentials amount to approximately 5 percent, with a maximum wage level difference of 25 percent between the financial sector and agriculture. By applying two distinct methodologies, we tested the hypothesis that the inter-industry wage differentials are actually caused by a higher concentration of workers with better unmeasured abilities in higher-paying industries. Neither of the two methods rejected the unobserved ability hypothesis. Finally, our analysis also shows that the inter-industry wage differentials can be, to a certain extent, attributed to rent-sharing and different labour turnover costs across sectors.
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Inter-industry Wage Differentials in the Czech Republic
Hofman, Stanislav ; Flek, Vladislav (advisor) ; Kameníček, Jiří (referee)
This thesis examines inter-industry wage differentials in the Czech Republic, using the European Union - Statistics on Income and Living (EU-SILC 2009) survey as our primary data source. Findings show that even after controlling for large number of workers and jobs characteristics wage differences based on industry affiliation still persist. The variation of the inter-industry wage differentials amounts to approximately 5 percent with the maximum wage level difference of 25 percent between the financial sector and agriculture. By applying two distinct methodologies we tested the hypothesis that the inter-industry wage differentials are actually caused by higher concentration of workers with better unmeasured abilities in higher-paying industries. Neither of the two methods rejected the unobserved ability hypothesis. Finally, our analysis also shows that the inter-industry wage differentials can be to a certain extent attributed to rent-sharing and different labour turnover costs across sectors.
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