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Fundamental Analysis and Stock Return: The Case of Big Tech
Tran Nguyen, Thai Nhat Phi ; Krištoufek, Ladislav (advisor) ; Máková, Barbora (referee)
Bibliographic note TRAN NGUYEN, Thai Nhat Phi. Fundamental Analysis and Stock Return: The Case Of Big Tech. Prague 2020. 102 pp. Bachelor thesis (Bc.) Charles University, Faculty of Social Sciences, Institute of Economic Studies. Thesis supervisor doc. PhDr. Ladislav Krištoufek Ph.D. Abstract Six out of the ten most valuable companies by market capitalisation are, at their core, technology companies and four of these have at some time crossed the $1 trillion market cap, which has ignited a public discussion regarding their astronomic valuations and the tech bubble. This work addresses this development, with the analysis of four companies, namely Google, Apple, Facebook and Amazon (GAFA), which have dominated their respective fields of business in the "new economy". We go beyond the stock analysis and also examine the company's fundamentals and their effect on the valuations, furthermore we fuse the insights of both analyses to offer a more comprehensive evaluation of these four companies. The results suggest that their stock value accurately portrays their market dominance and that it is deeply rooted in the companies' fundamentals which are fairly well reflected in the stock price movements. Ultimately, we find that these companies do not contribute to the tech bubble as GAFA show unparalleled financial...
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Size and Value Premiums in Returns of the Central and Eastern European (CEE) Stocks
Rolevski, Borche ; Novák, Jiří (advisor) ; Vacek, Pavel (referee)
This thesis provides evidence of size and value premiums in returns in the Central and Eastern European (CEE) region, through its analysis of financial markets in 12 countries. Following the portfolio construction methodology of Fama and French (1996) we use a sample of 1245 stocks and record that small stocks outperform big stocks (size premium) and value stocks outperform growth stocks (value premium). In addition, we create nine portfolios to test the Fama and French three-factor model and show that the factor-mimicking portfolios that have been documented in the developed markets, SMB (small minus big) and HML (high minus low), also capture most of the cross-section variation in average stock returns in the CEE region. We demonstrate a similar pattern in terms of size return as documented in the U.S. market, but with small differences in the value returns found. Although the Gibbons-Ross-Shanken (GRS) test does not reject the null with 95%, we do not agree that the model completely explains the variation in average returns across the portfolios. The GRS rejects the null at 90% and implies that other factors are omitted from the model. Nevertheless, this thesis contributes to the literature applying asset pricing models to the CEE region, and should provide insights to investors active in the CEE...
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Visualization of changes in correlations of stock returns during and after financial crisis
Zbožínek, David ; Krištoufek, Ladislav (advisor) ; Hauzr, Marek (referee)
This thesis aims to describe structural changes in US stock markets during and after global financial crisis. We utilize correlation coefficients of logar- ithmic differences in daily closing prices to generate correlation networks. Minimal spanning tree and hierarchical tree are used to filter out less im- portant information from correlation network, and thus they enable us to obtain unique taxonomy of stocks. Daily closing prices from 8 June 2007 to 31 December 2010 for 73 constituents of market index S&P 100 are di- vided into nine 100 trading-days-long time intervals. The effect of market shock after the fall of Lehman Brothers on 15 September 2008 is investigated. Minimal spanning tree significantly shrinks in the period from 15 September 2008 to 7 January 2009 and afterwards, it gradually reverts back to its pre- crisis state. We also describe clustering patterns of stocks and their changes during the crisis. Clusters of companies from financial, energy, and utilit- ies sectors are recognized in most time windows with only slight variations. In the time window after 15 September 2008, several topological shifts are identified. Additionally, companies from industrials sector are found to form significantly larger clusters in time windows following 8 January 2009.
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