Odhad a ověření vícefaktorových modelů oceňování aktiv na německém kapitálovém trhu

Abstract

This thesis is focused on Multi-factor Capital Asset Valuation models, namely CAPM, two-factor, three-factor, four-factor and five-factor Fama-French model. The aim of this thesis is to estimate these models on the German capital market for the real estate subsector. The diploma thesis is divided into five chapters. The second chapter is focused on theoretical knowledge, including a description of the given models. In the third chapter, the German capital market is characterized, including the real estate subsector. Subsequently, the dependent and independent variables that enter the individual models are characterized. The fourth chapter contains the application of models, where correlation relationships are checked and regression analyzes are performed. Beta coefficients were then estimated. At the end, verification is done. From the comparison of individual models using the adjusted R Squared and Root Mean Square Error, the most suitable model for determining the cost of equity capital is selected.