Odhad a aplikace třífaktorového Fama-French modelu na vybrané odvětví na německém a anglickém kapitálovém trhu

Abstract

The diploma thesis is focused on capital asset pricing models, specifically on the three-factor Fama-French model and CAPM. The aim of this thesis is to estimate beta coefficients, expressing sensitivity to individual sources of risk and the resulting cost of equity according to the three-factor model Fama-French for the German and British market in the technology industry and verify their validity. The diploma thesis is divided into five main chapters. The second chapter defines the theoretical basis of capital asset valuation and describes the construction of the models. The third chapter deals with the basic financial characteristics of the input data. The fourth chapter contains own estimates of regression models for a given database of technology companies in major Western European markets. This chapter also includes a comparison of the three-factor Fama-French model with CAPM. Moreover, beta coefficients for the technology sector of Western European markets will be calculated here. Finally, the applicability of this model using the identified beta coefficients together with risk premiums by comparison with real historical data was examined.