Modeling the Excess Return of ČEZ a.s. Share

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Technická Univerzita v Liberci
Technical university of Liberec, Czech Republic
Abstract
To evaluate the excess return of ČEZ a.s. shares, we propose a multifactor asset pricing model derived from the Asset pricing theory. In addition to market risk, factors that may affect the performance of ČEZ a.s. shares are added. These are price of electricity, price of natural gas, price of CO2 emission allowances and the industrial production index. To take into account a possible persistence of the excess return and external shocks, autoregressive and moving average terms are also included into the model. Thus, from an econometric point of view, it is an ARMAX model. We verify the validity of the model on monthly and quarterly data from 9-2007 to 4-2023. The results of our analysis show that the proposed model can explain exceedingly well the variability of excess return of ČEZ a.s. stock in both monthly and quarterly time frequencies.
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excess return, ČEZ a. s. stock, asset pricing theory, CAPM model, ARMAX model
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978-80-7494-627-1
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