Modeling the Excess Return of ČEZ a.s. Share

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dc.contributor.authorTran, Quang Van
dc.contributor.authorVejmělek, Jan
dc.contributor.otherEkonomická fakultacs
dc.date.accessioned2023-09-27T12:41:00Z
dc.date.available2023-09-27T12:41:00Z
dc.description.abstractTo 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.en
dc.formattext
dc.identifier.doi10.15240/tul/009/lef-2023-26
dc.identifier.isbn978-80-7494-627-1
dc.identifier.urihttps://dspace.tul.cz/handle/15240/172842
dc.language.isoen
dc.publisherTechnická Univerzita v Libercics
dc.publisherTechnical university of Liberec, Czech Republicen
dc.publisher.abbreviationTUL
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dc.relation.ispartofLiberecké ekonomické fórum 2023cs
dc.relation.ispartofLiberec Economic Forum 2023en
dc.subjectexcess returnen
dc.subjectČEZ a. s. stocken
dc.subjectasset pricing theoryen
dc.subjectCAPM modelen
dc.subjectARMAX modelen
dc.subject.classificationC21
dc.subject.classificationR13
dc.titleModeling the Excess Return of ČEZ a.s. Shareen
dc.typeproceeding paperen
local.accessopen
local.citation.epage245
local.citation.spage238
local.facultyFaculty of Economics
local.fulltextyes
local.relation.abbreviationLEFcs
local.relation.abbreviationLEFen
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