Aplikace vícefaktorových modelů oceňování aktiv na českém kapitálovém trhu

Abstract

One of the assumptions for determining the market value of a company is to correctly determine the cost of capital. The cost of capital consists of the cost of dept and equity. In general, it can be claimed that the cost of equity tends to be higher, so it is appropriate to focus on them. One of the most widely used model for estimating the cost of equity derived from the market is the Capital Asset Pricing Model. In addition to the CAPM, there is also three-factor Fama-French model and its variations. Before choosing a model to determine the cost of equity, it is appropriate to first verify with the use of which model we can determine the cost of equity in the best possible way, with the consideration of market conditions. The diploma thesis is divided into three parts. The first part is focused on the description of methods according to which the cost of equity can be determined. Particular attention is paid to the one factor asset pricing model CAPM and to the three-factor asset pricing model Fama-French. In the second part the Czech capital market is presented, and the input data are described there including basic statistic of input data. The third part is focused on the application of multifactor models of asset pricing on the Czech capital market. In this part a statistical verification of the models and verification on historical data is done, including the determination of the most suitable model for determining the cost of equity in the conditions of the Czech capital market.