Detail grantu

GAUK 297521: Poměr účetní k tržní hodnotě akcie, likvidita a očekávané výnosy

Řešitel: Mgr. Josef Bajzík
Spolupracovníci: Mgr. Ing. Kseniya Bortnikova
Mgr. Klára Kantová
Mgr. Vojtěch Mišák
Popis: Hundreds of studies have examined factors that supposedly explain excess returns of some stocks, but the results of the studies vary. These factors are of general interest since they reveal dependencies that clarify the formation of profitable trading strategies. Therefore, I want to conduct a meta-analysis in this area.

Besides other advantages, meta-analysis enables me to investigate the publication bias and help me to get rid of the inter-study heterogeneity. For publication bias study I employ FE, WLS, between-effects, and IV regression. Furthermore, I use modern techniques such as WAAP, kinked meta-regression, the stem-based method, or a non-parametric technique, which were introduced recently.

For the study of the heterogeneity among the estimates, I employ Bayesian model averaging (BMA) and Frequentist model averaging (FMA). These two advanced techniques allow us to weigh the most important models based on their resistance and goodness of fit, respectively, and they show us the influence of each variable that potentially can cause the difference in the estimates from primary studies.

Last, but not least I would suggest the implied estimates for various stock markets. The implies estimates make more precise the profitable trading strategies and shed more light on the event studies.
Spolupráce:
Práce v rámci grantu:
WWW odkaz:
Finance: GAUK 297521, submitted 11/2020
Konec: 2023
Publikace:

Trading volume and stock returns: A meta-analysis

Konference:

CEMLA CONFERENCE: NEW ADVANCES IN INTERNATIONAL FINANCE

Maer-Net Colloquia

Maer-Net Colloquia

RCEA Conference on Recent Developments in Economics, Econometrics and Finance

WARSAW INTERNATIONAL ECONOMIC MEETING

Partneři

Deloitte
Česká Spořitelna

Sponzoři

CRIF
McKinsey
Patria Finance
EY