Does the choice of method of forecast of index stock returns and the choice of investment strategy depend on index´s industry affiliation?

• Název v anglickém jazyce: Does the choice of method of forecast of index stock returns and the choice of investment strategy depend on index´s industry affiliation?
• Klíčová slova anglicky: Stock Valuation Methods, Trend Prediction Analyses, Technical analysis, Funda- mental analysis, Methods of valuation, Time series forecast, Double-or-out strategy
• Akademický rok vypsání: 2013/2014
• Typ práce: bakalářská práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: Ing. Michala Moravcová, Ph.D.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 06.06.2014
• Datum zadání: 06.06.2014
• Datum a čas obhajoby: 08.09.2015 00:00
• Místo konání obhajoby: IES
• Datum odevzdání elektronické podoby: 03.08.2015
• Datum proběhlé obhajoby: 08.09.2015
• Oponenti: Mgr. Daniel Benčík

Seznam odborné literatury

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Předběžná náplň práce v anglickém jazyce

Goals of the thesis:
The main goal of this thesis is to investigate 10 Dow Jones U.S. industrial indices and to find the best valuation method of future returns to the index for concrete industry. Then I focus on appropriate trading strategy and its profitability. This thesis is unique in its way to test valuation methods efficiency depending on index industry affiliation. Synopsis:
1. Literature Review
2. Data Description
3. Methodology and Results
4. Results Interpretation and Hypotheses
References:
Yue Fang, Daming Xu (2003): The predictability of asset returns: an approach combining technical analysis and time series forecasts, Inter- national Journal of Forecasting 19, 369-385.
Andrei Shynkevich (2012): Short-term predictability of equity returns along two style dimensions, Journal of Empirical Finance 19, 675-685.
Tian, G. G., Wan, G. H. & Guo, M. (2002): Market effciency and the returns to simple technical trading rules: new evidence from U.S. equity market and Chinese equity markets, Research online 9, 241-258.