This thesis deals with the description and testing of the capital market models. It consists of an analysis of the most famous models such as the CAPM, the three-factor Fama-French model, the four-factor Fama-French-Carhart model and an alternative multi-factor model that includes the current relevant risk factors. In the first part, one can find the introduction to the capital market theory that is essential for the definition of model assumptions. The second part is dedicated to the description and construction of the models in reference to the relevant research papers. The last part of this thesis contains the regression model estimates, taking into account the data set of the fifteen most profitable IT companies. A portfolio of these firms is expected to exhibit a positive and statistically significant alpha. Daily portfolio returns in the period 1990 -- 2014 are regressed on risk factors of particular models. The aim of this thesis is to test whether the capital market models are valid for the long-term portfolio returns composed of the selected shares.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:192604 |
| Date | January 2014 |
| Creators | Čechová, Lenka |
| Contributors | Musílek, Petr, Fičura, Milan |
| Publisher | Vysoká škola ekonomická v Praze |
| Source Sets | Czech ETDs |
| Language | Czech |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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