The principal objective of this work is to test the efficiency of the U.S. capital market and to specify the degree of this effectiveness and then to find out the optimal strategy to evaluate the money invested into selected companies. At first there is theory description - the basic classification of securities, explication of the notion of efficiency of capital market, the methods of test the efficiency, several statistic indicators of the capital market like return average, standard deviation or coefficients of the capital market. Following this theoretical base there is create an analyse of one of the most popular capital markets in American index S&P 500 and of its sectors and some securities. Historical dates of years 2003 - 2008 are analysed and on the basis of results there are propositions which strategy to choose. There wasn't directly confirmed effectiveness of U.S. capital market in this work. So there was a possibility to choose an investment strategy to get an above-average return. The results were very influenced by the crisis since 2007.

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.