Využití multifaktorového modelu pro ocenění společností těžících zlato

Abstract

Thesis is focused on the use of multi-factor model for the valuation of gold mining companies. Object of the thesis is detection of factors which influence changes of share prices of five selected companies focused on gold mining and carry out valuation of these companies by using APT theory. Theoretical part describes problems of valuation, APT theory and multifactor model. Part continues with description of the theoretical and methodological basis of econometric modelling and factors that affect share prices. The next chapter presents selected companies and describes all the data used for modelling. Practical part contains the estimation of models for share prices of all selected companies by using multifactor linear regression stochastic modelling. All models are statistically, econometrically and economically verified. The conclusion contains overall assessment and comparison of created models including the confirmation or disproof of hypotheses about the regression parameter’s behaviour. It has been found that it is possible to use the theory of APT for evaluation of selected share prices. All selected factors have some impact at least on one share price. The biggest influence on the stock prices of selected factors has price of gold commodity which also confirmed the set hypothesis about the behaviour of the regression coefficient.