G12 - Asset Pricing; Trading Volume; Bond Interest RatesNávrat zpět

Emission of the greenhouse gases has a significant impact on the environment of the whole planet. Innumerable international plenary sessions have agreed only on partial solutions. The signatory countries came up with the instrument which should improve the air quality- the emission allowances. The politicians and environmentalists involved in the Kyoto Protocol and subsequent Paris Agreement have negotiated emission reductions. Achievement of this goal is established for years 2005 - 2030. 43 % of current greenhouse gas emissions should be reduced. Each allowance represents the right to emit one tonne of carbon dioxide (CO₂) or the equivalent amount of two more powerful greenhouse gases, nitrous oxide (N₂O) and perfluorocarbons (PFCs). Allowances are distributed among individual countries, which allocate them free of charge to plants, factories and other fixed installations. These emission allowances can be the subject of trade between these operators. All these facts result in questions related to the accounting methods. How many allowances are needed? Should they be recognised as an asset? Is their price regulation necessary? Can emission allowances reduce greenhouse gases or are government subsidies and compensations - alternatively carbon taxes - more suitable for this purpose? Is the business environment more or less destroyed? The goal of this article is to contribute by critical discussion to easier, fair and true recognition of emission allowances.

Presented paper is dealing with using selected fundamental indicators by building a stock portfolio. Analysis is focused on using P/E and P/BV indicators by building a stock portfolio from stocks listed on Prague Stock Exchange. The aim of this paper is answer on question, if stocks with lower P/E and/or P/BV bring investor higher return than stocks with higher values of these indicators or not. The usability of indicators was confirmed by our findings. Another conclusion of this paper is finding that stocks with lower P/E and/or P/BV exceeded benchmark represented by index PX-TR. Observed time period was from 2004 till 2014. Selected period was also divided on 5 year slip periods. Results show that stock with lower P/E or P/BV bring higher profit than stock with higher P/E or P/BV. These stocks also exceeded the benchmark.

This article is focused on the effect and implication of a change in the money supply for the US capital market. This market was chosen according to its part on the global market capitalization. Namely it is the Dow Jones Industrial Average (DJIA), which was chosen according to its long history, global sense and stabile construction. The money supply will be measured by the wider aggregate M2 and aggregate MZM (money with zero maturity). The goal of this paper is to detect, if the money supply influenced the stock indices in the years 1967 - 2011, if the impact of both money aggregates is nearly the same, and how the money supply influenced the bubble creation.

Cílem článku je demonstrovat užití Laplaceovy transformace k určení současné hodnoty perpetuitních dluhopisů (perpetuit) při různém toku výnosů (dividend). Perpetuity jsou dluhopisy bez data splatnosti, což znamená, že dividenda je placena držiteli dluhopisu (většinou ročně) do nekonečna. Současná hodnota perpetuity při konstantní dividendě je rovna podílu této dividendy a diskontní míry. Když se však dividenda mění v čase, je výpočet současné hodnoty perpetuity složitější. V první části článku je ukázáno, že Laplaceovu transformaci toku výnosů lze využít k výpočtu současné hodnoty perpetuity při spojitém úrokování, a užitím inverzní Laplaceovy transformace je dále možné zrekonstruovat neznámý tok výnosů ze známé současné hodnoty perpetuity. Ve druhé části článku je užití Laplaceovy transformace ilustrováno na několika příkladech.

Článok sa zaoberá rovnovážnym modelom CAPM s cieľom formulovať a testovať hypotézu, ktorú by takýto rovnovážny model mal potvrdzovať s ohľadom na jeho použiteľnosť. Preskúmali sme hypotézu, či stratégie rozdelenia aktív s ohľadom na relatívnu mieru rizika (Beta) za dlhšie časové obdobie sú v súlade s modernou teóriou portfólia, a teda aj modelom CAPM. Vzhľadom k tomu sme formulovali hypotézu, že vyššie riziko, vyjadrené prostredníctvom Beta koeficientu, je asociované s vyššou mierou výnosnosti, a že táto výnosnosť je významne lineárne závislá na nezávislej premennej. Pre testovanie hypotézy sme na empirických údajoch aplikovali dvojicu testov modelu CAPM, a to Sharpeho a Cooperov test a test od Blacka, Jensena a Scholesa.