Littérature scientifique sur le sujet « Riziková prémie »

Diplomová práce se zaměřuje na zkoumání fiskálních pravidel - omezení fiskální politiky, která byla přijata v průběhu devadesátých let 20. století. Zkoumané země se dělí na dvě skupiny. Zaprvé se jedná o anglofonní země (Spojené království, Austrálie, Nový Zéland) s odlišným právním a politickým systémem než země druhé skupiny - Evropské měnové unie, které musely akceptovat tzv. Maastrichtská kritéria a Pakt stability a růstu. Analýza efektivnosti fiskální pravidel, která zahrnují pravidla numerická, procesní i transparentnostní, se zaměří na rizikovou prémii u úrokových sazeb finančního trhu jednotlivých zemí, na tzv. sovereign rating hodnotící kreditní riziko a samozřejmě také na konkrétní výsledky působení pravidel na fiskální agregáty jednotlivých zemí. Ačkoliv byla klíčová pravidla přijata až v devadesátých letech, reflektovala určitý vývoj veřejných financí v minulosti, proto se práce zaměří také na historické aspekty vzniku těchto pravidel, které hrály důležitou roli při jejich konstrukci. Výsledkem analýzy pak bude mezinárodní komparace efektivity fiskálních pravidel, která pomůže formulovat obecnější hospodářsko-politická doporučení pro země s rizikovým vývojem veřejných financí.

The aim of the work is to analyze the theoretical basis of determination of the market risk premium in conditions of the national market in the Czech Republic with CAPM and practical procedures of its determination using the market data provided by Bloomberg. The work addresses some open problems of practical determination of market risk premium as a choice between historical and implied risk premium, determination of credit spread as a representative of country risk and accurate determination of the equity and bond market volatility ratio. The thesis also contains research on the cost of equity and single-factor sensitivity analysis demonstrating the significant influence of a small change in one parameter entering the calculation of the discount rate on the resulting value.

The diploma thesis focuses on issuance of the primary bond by non-financial companies on the Prague Stock Exchange (PSE). In the theoretical part were described the main parameters of securities and financial indicators of companies that build the risk premium and discussed options of risk-free base. The application part presents the evaluation of major factors influencing price and bond rates on the example of emissions carried on the PSE.

Diploma Thesis focuses on Fed Model testing and its credibility on market data. The research is based on Gordon Model and Capital Asset Pricing Model (CAPM), it explains, what the basic features of the Fed Model are and describes its derivation from Gordon Model. The Thesis shows possible Fed Model limitation. It uses the US market, Great Britain and Germany 1979 -- 2011 data to demonstrate validity of the model. Eventually possible reasons of Fed Model development in period 2002 -- 2011 are presented.

The issue of forecasting the future price of risky financial assets has attracted academia and business practice since the inception of the stock exchange. Also due to the just finished financial crisis, which was the worst crisis since the Great Depression, it is clear that research in this area has not been finished yet. On the contrary, new challenges have been raised. The main goal of the thesis is the demonstration of the significant information potential which is hidden in option market prices. These prices contain informations on probability distribution of the underlying asset returns and the risk connected with these returns. Other objectives of the thesis are the forecast of the underlying asset price distribution using parametric and nonparametric estimates, the improvement of this forecast using the utility function of the representative investor, the description of the current market sentiment and the determination of the risk premium, especially the risk premium on Czech market. The thesis deals with the forecast of the underlying asset price probability distribution implied by the current option market prices using parametric and nonparametric estimates. The resulting distribution is described by the moment characteristics which represent a valuable tool for analyzing the current market sentiment. According to the theory, the probability distribution of the underlying asset price implied by option prices is risk neutral, i.e. it applies only to risk neutral investors. The theory further implies that the distribution of real world can be derived from the risk neutral distribution using utility function of the representative investor. The inclusion of a utility function of representative investor improves the forecast of the underlying asset price distribution. Three different utility functions of traditional risk theory are used in the thesis. These functions range from the simple power function to the general function of hyperbolic absolute risk aversion (HARA). Further, Friedman-Savage utility function is used. This function allows both a risk averse investor and a risk loving investor. The thesis also answers the question: Are the current asset prices at so high level that the purchase of the asset means a gamble? The risk premium associated with investing in the risky asset is derived in the thesis. The risk premium can be understood as the premium demanded by investors for investment in a risky asset against the investment in a riskless asset. All the theoretical methods introduced in the thesis are demonstrated on real data coming from two different markets. Developing market is represented by shares of CEZ and developed market is represented by S&P 500 futures. The thesis deals with demonstrations in single point in time as well as in available history of the data. The forecasts of the underlying asset price distribution and the relating risk premium are constructed in the available data history. The goals and the objectives of the thesis have been achieved. The contribution of the thesis is the development of parametric and nonparametric methodology for estimating the underlying asset price probability distribution implied by the option market prices so that the nature of the particular market and instrument is captured. The further contribution of the thesis is the construction of the forecasts of the underlying asset price distribution and the construction of the market sentiment in the available history of data. The contribution of the thesis is also the construction of the market risk premium in the available history and the establishment of the hypothesis that the markets gamble before the crisis.

This master thesis approaches the energy markets from the point of view of an electricity trader acting on the retail markets, in particular an electricity supplier to the end customers. The first part introduces the reader into the basic practices applied in the management process of the portfolio of end customers, which includes metering and evaluation of the real take-off, planning and prediction and, of course, final evaluation of the imbalances. Second part explains the principles of balance management in case of the entire ČEPS electrical grid, mechanics of the imbalances settlement and describes its actual setting with focus on the way it motivates the market participants for minimization of their own imbalances and therefore improvement of the overall electrical grid balance. The final part describes the basic construction of the risk surcharges, which the supplier adds to the commodity price to cover the costs caused by the existence of his end customers' imbalances. Furthermore, it is shown how the dependence on the system imbalance influences the size of the risk surcharge and the basic model is extended to include even this factor. Because the supplier does not set the surcharge at the level of individual end customer but for the entire portfolio, the functioning and power of the portfolio effect, which brings an extra savings in the imbalances settlement costs, is also explored in the final part. The possibility of dependence presence in the imbalances of individual end customers is also accounted for. For the first time in the Czech academic literature the economic problems that are faced by the electricity supplier to the end customers are examined and the analysis and solution of one important problem is provided in the full picture. However, the most important contribution of this master thesis lays in the opening of this topic to further examination on the academic ground.

The work is focussed on the determination of capital structure in its market values, determination of the cost of non-own capital, and determination of the cost of equity, primarily by using the CAPM method. In terms of the CAPM procedure the work deals with the main parameters required by the method, such as risk-free yield rate, risk market premium, and beta coefficient. Furthermore, attention is given to modifications resulting from the inaccuracies of the CAPM method to make the method correspond as much as possible with the actual yield and risk of shares historically achieved at the capital market, and likewise to modifications needed when applying the CAPM method to the valuation of Czech businesses. The recommended procedure of determining the market discount rate for the valuation of an enterprise is applied on an example. Data obtained from the capital market of the Czech Republic are used to calculate the risk premium of the Czech capital market and beta coefficient of selected ten shares out of the Czech capital market, giving an assessment of the possibility of using the data obtained from the Czech capital market for the valuation of businesses incorporated in the Czech Republic.

Diploma thesis covers the topic about different attitudes to DCF valuation. The first part is an introduction into CAPM theory and a multifactor French-Fama model. This part also indicates different views on financial assets and analyzes an issue of setting discount rates, especially the risk-free rate and equity risk premium. The second part of this paper applies the theory into valuation of Microsoft, GAP and Telefónica O2. There are elaborated forecasts of the financial statements and free cash flows (FCFCE, FCFU), the discount rate composition and analyses of the factors HML and SMB. At the end, there are performed various valuations, which results are discussed together with a development of real market prices.

This diploma thesis introduces the measures of network connectedness in the context of asset pricing. It proposes an asset pricing model in which the factor of connectedness is included as one of the risk factors together with the three Fama-French factors. The goal of the analysis is to examine whether the con- nectedness represents a signifcant risk factor that should be considered while determining the risk premium of the portfolio in diferent sectors in the market. Using the realized volatilities and returns of 496 assets of SP 500 index over the period 2005 - 2018, that are divided into 11 sectors, we frstly determine the linkages of connectedness between the assets in the same sector. Applying Fama-MacBeth two-step regression model, we explore the signifcance of the connectedness factor for the determination of the risk premium. We argue that the sector overall connectedness represents a signifcant risk in most of the sec- tors and should be therefore taken into account by the investors in all sectors. Moreover, the total directional connectedness that captures the spillover of shocks to one asset from the other assets in the sector, is a signifcant risk fac- tor that should increase the risk premium of the portfolio, especially in sectors such as the fnancial, health care, consumer...

The topic of this thesis is the evaluation of risk in enterprise. First section summarizes common knowledge related to investment process and states methods used for analysis of risk and investments efficiency. Second part evaluates economic efficiency and risk of a future investments in the particular enterprise. Projects are critical to the realization of performing organization's strategies. Each project contains some degree of risk and it is required to be aware of these risks and to develop the necessary responses to get the desired level of project success. Because projects' risks are multidimensional, they must be evaluated by using risk evaluation methods. The aim of this part is to provide an analytic tool to evaluate the project risks. At first the thesis analysis net present value and other investment criteria of the construction project without risk factors. Subsequently the projects' risks are are evaluated by using risk premium. To study of how projected performance varies along with changes in the key assumptions on which the projections are based is used the sensitivity analysis. The main sources for data was the enterprise environment.