Can a Dual-beta Five-Factor Model Explain Stock Market Variation in CEE?
Může model dual-beta s pěti faktory vysvětlit proměny středoevropského burzovního trhu?
diplomová práce (OBHÁJENO)

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Trvalý odkaz
http://hdl.handle.net/20.500.11956/176674Identifikátory
SIS: 240565
Kolekce
- Kvalifikační práce [18393]
Autor
Vedoucí práce
Oponent práce
Chondrogiannis, Ilias
Paulus, Michal
Fakulta / součást
Fakulta sociálních věd
Obor
International Masters in Economy, State and Society with specialisation in Economy and Business
Katedra / ústav / klinika
Katedra ruských a východoevropských studií
Datum obhajoby
13. 9. 2022
Nakladatel
Univerzita Karlova, Fakulta sociálních vědJazyk
Angličtina
Známka
Velmi dobře
Klíčová slova (česky)
CAPM, model dual-beta s pěti faktory, středovýchodní Evropa, Finanční krizeKlíčová slova (anglicky)
CAPM, five-factor model, dual-beta, Central and Eastern Europe, Financial CrisisThe study applies a dual-beta five-factor model to investigate how return is correlated with market factor, size, value, profitability and investment factors in the CEE region. Dual betas are employed in a pooled regression to account for different behaviour in different market conditions. The results show that market factor is significant across the sample period from 2003 to 2017, and the coefficient of the market factor is lower in bearish market and higher in bullish market. By employing dual betas, the explanatory power of a model has increased. However, the effect is limited, and we do not recommend using the dual-beta model due to the loss of simplicity. Post-regression diagnosis has confirmed the appropriateness of using our model by checking the key assumptions of Ordinary Least Square. Limitations are presented at the end to suggest future study.