Asset Pricing in Emerging Markets
Název práce: | Asset Pricing in Emerging Markets |
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Autor(ka) práce: | Ajrapetova, Tamara |
Typ práce: | Diploma thesis |
Vedoucí práce: | Witzany, Jiří |
Oponenti práce: | Fičura, Milan |
Jazyk práce: | English |
Abstrakt: | General content:
Current methods of estimation of cost of capital in the emerging markets are often neglecting various contradictions with the essentials of the model structure and assumptions. As the result of such imprecisions, the cost of equity is often understated (overstated). This thesis will attempt to assess current level of emerging market integration, liquidity and concentration. This will be followed by evaluation of traditional and alternative models for estimation of cost of equity.
The author will address several currently available models such as Credit Rating Model, D-CAPM model, various versions of traditional CAPM models. Furthermore, she will compare and contrast their limitations taking into account the context of emerging markets.
The testing of the models will be performed on country basis through the means of index data. In the last chapter, discussion of the results and possible improvements of the valuation approaches will take place. |
Klíčová slova: | Capital Asset Pricing Models; Emerging Markets; Asset Pricing Theory |
Název práce: | Asset Pricing in Emerging Markets |
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Autor(ka) práce: | Ajrapetova, Tamara |
Typ práce: | Diplomová práce |
Vedoucí práce: | Witzany, Jiří |
Oponenti práce: | Fičura, Milan |
Jazyk práce: | English |
Abstrakt: | General content:
Current methods of estimation of cost of capital in the emerging markets are often neglecting various contradictions with the essentials of the model structure and assumptions. As the result of such imprecisions, the cost of equity is often understated (overstated). This thesis will attempt to assess current level of emerging market integration, liquidity and concentration. This will be followed by evaluation of traditional and alternative models for estimation of cost of equity.
The author will address several currently available models such as Credit Rating Model, D-CAPM model, various versions of traditional CAPM models. Furthermore, she will compare and contrast their limitations taking into account the context of emerging markets.
The testing of the models will be performed on country basis through the means of index data. In the last chapter, discussion of the results and possible improvements of the valuation approaches will take place. |
Klíčová slova: | Asset Pricing Theory; Capital Asset Pricing Models; Emerging Markets |
Informace o studiu
Studijní program / obor: | Finance and Accounting |
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Typ studijního programu: | Magisterský studijní program |
Přidělovaná hodnost: | Ing. |
Instituce přidělující hodnost: | Vysoká škola ekonomická v Praze |
Fakulta: | Fakulta financí a účetnictví |
Katedra: | Katedra bankovnictví a pojišťovnictví |
Informace o odevzdání a obhajobě
Datum zadání práce: | 29. 11. 2016 |
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Datum podání práce: | 26. 5. 2017 |
Datum obhajoby: | 8. 6. 2017 |
Identifikátor v systému InSIS: | https://insis.vse.cz/zp/59802/podrobnosti |