Corporate venture investors portfolio forming: what criteria is used and how the portfolio affects corporations’ performance?

• Název práce v češtině: Formování portfolia firemních investorů: jaká kritéria se používají a jak portfolio ovlivňuje výkonnost korporací?
• Název v anglickém jazyce: Corporate venture investors portfolio forming: what criteria is used and how the portfolio affects corporations’ performance?
• Klíčová slova: Model stanovení cen kapitálu; teorie portfolia; Fama-francouzský třífaktorový model; Průřezový přístup Fama-MacBeth; GARCH model; supADF; přílišná volatilita
• Klíčová slova anglicky: Capital Asset Pricing Model; portfolio theory; Fama-French Three-factor model; Fama-MacBeth cross-sectional approach; GARCH model; supADF; overvolatility
• Akademický rok vypsání: 2018/2019
• Typ práce: diplomová práce
• Jazyk práce: angličtina
• Ústav: Katedra ruských a východoevropských studií (23-KRVS)
• Vedoucí / školitel: doc. Bc. Jiří Novák, M.Sc., Ph.D.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 24.11.2019
• Datum zadání: 24.11.2019
• Datum a čas obhajoby: 08.09.2020 10:00
• Místo konání obhajoby: Pekařská 16, JPEK107, 107, Malá učebna, 1.patro
• Datum odevzdání elektronické podoby: 31.07.2020
• Datum proběhlé obhajoby: 08.09.2020
• Oponenti: Ing. Vilém Semerák, M.A., Ph.D.

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Předběžná náplň práce

Cenový model kapitálových aktiv (CAPM) je rovnovážný model pro testování vztahu mezi očekávaným výnosem a tržním rizikem (Sharpe, 1964). Modelový výzkum cen a návratnosti, když trh s cennými papíry dosáhne rovnováhy a investoři jsou racionální a investují diverzifikací založenou na teorii portfolia Markovitz (Markovitz, 1952). Fama a MacBeth (1973) navrhli průřezovou metodiku testování CAPM a tato regresní metoda se od té doby široce používá při testování CAPM na rozvinutých trzích. Zatímco CAPM je obtížné vysvětlit stále více tržních anomálií (nadměrná návratnost v menší společnosti s tržní hodnotou) v průřezové regresi, Fama a French (1992) přidaly další dva faktory (SMB a HML) a navrhly třífaktorový model. Empirické výsledky ukazují, že třífaktorový model je na rozvinutých trzích lepší než CAPM. Relevantní studie byly provedeny Manjuunatha (2006) a Trimech et al. (2015), ale vykazují odlišné výsledky. Tato dizertační práce bude používat průřezový přístup Fama-MacBeth k testování CAPM a třífaktorového modelu Fama-French na čínském a polském akciovém trhu. V návaznosti na Fama a MacBeth (1972) a Shweta a Anil (2015) se zkoumají tři podobdobí výnosů polského a čínského akciového trhu v období od roku 2007 do roku 2018. Empirické výsledky v této diplomové práci zahrnující různá časová období mají za cíl podpořit CAPM a třífaktorový model poskytováním důkazů o rozvíjejících se trzích, ale empirické výsledky na čínských a polských akciových trzích jednoznačně nepodporují cenový model kapitálových aktiv a závěr Fama-French. Práce se také týká modelu GARCH a odhadu maximální pravděpodobnosti pro testování volatility na čínském a polském akciovém trhu. Jako doplněk testu volatility následuje tato práce Phillips, Wu a Yu (2011) a Deng (2013), aby provedly nově navržené supADF a supKSS, konkrétně bublinové testy. Výsledky ukazují, že na čínském i polském akciovém trhu existuje nadměrná volatilita a bubliny, zejména v období krize.

Předběžná náplň práce v anglickém jazyce

Capital Asset Pricing Model (CAPM) is an equilibrium model to test relationship between expected return and market risk (Sharpe, 1964). The model research on pricing and return when the securities market reaches equilibrium and investors are rational and investing by diversification based on Markovitz portfolio theory (Markovitz, 1952). Fama and MacBeth (1973) proposed a cross-sectional testing methodology on CAPM and this regression method has been widely used in testing CAPM in developed markets since then. While CAPM is hard to explain more and more market anomalies (excessive return in smaller market value company) in cross section regression, Fama and French (1992) added two more factors (SMB and HML) and proposed three factor model. The empirical results show that three factor model is superior to CAPM in developed markets. Relevant studies have been conducted by Manjuunatha (2006) and Trimech et al. (2015) but show different results. This dissertation will use Fama-MacBeth cross section approach to test CAPM and Fama-French’s three factor model in Chinese and Polish stock market respectively. Following Fama and MacBeth (1972) and Shweta and Anil (2015), three sub periods of Polish and Chinese stock market returns ranging from 2007 to 2018 are examined. The empirical results in this thesis covering different time periods aim to support CAPM and three factor model by providing emerging markets evidence but the empirical results in Chinese and Polish stock markets do not unambiguously support Capital Asset Pricing model and Fama-French’s conclusion. The thesis also refers to GARCH model and Maximum Likelihood estimation to test volatility in Chinese and Polish stock market. As supplement of volatility test, this thesis follows Phillips, Wu and Yu (2011) and Deng (2013) to run newly-proposed supADF and supKSS, namely bubble tests. The results show that over-volatility and bubbles exist in both Chinese and Polish stock markets, especially during crisis period.