Does the choice of method of forecast of index stock returns and the choice of investment strategy depend on index's industry affiliation?
bachelor thesis [DEFENDED]
- Kvalifikační práce 
Faculty / Institute
Faculty of Social Sciences
Economics and Finance
Institute of Economic Studies
Date of defense
8. 9. 2015
PublisherUniverzita Karlova, Fakulta sociálních věd
Stock Valuation Methods, Trend Prediction Analyses, Technical analysis, Funda- mental analysis, Methods of valuation, Time series forecast, Double-or-out strategy
Bibliography Reference DOBRYASHKINA, Victoria. Does the choice of method of forecast of index stock returns and the choice of investment strategy depend on index's industry affiliation? Prague 2015. 57 pages. Bachelor thesis (Bc.) Charles University, Faculty of Social Science, Institute of Economic Studies. Supervisor Michala Moravcova. Author's Email: Dobryashkina@gmail.com Supervisor's Email: Moravcovamichala@gmail.com Abstract The purpose of this thesis is to analyze and reveal if there is any dependence of index stock return valuation method on index's industry affiliation. The question about profitable strategy to react to valuation method's forecasts is also investigated. I focus on three methods of valuation: technical analysis, time series forecast and combination of rules from both technical and times series forecast rules, and test them on 10 Dow Jones Industrial Indices. Double-or-out strategy is compared to buy-and-hold strategy by estimation of its excess return. I found no dependence of choice of method on index's industry affiliation. However, the double-or-out strategy was proved to outperform buy-and-hold strategy in all of the industries. Keywords Stock Valuation Methods, Trend Prediction Analyses, Technical analysis, Fundamental analysis, Methods of valuation, Time series forecast,...