Portfolio risk-return analysis: The case of the automotive industry in the Czech Republic

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F17%3A63517274" target="_blank" >RIV/70883521:28120/17:63517274 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.14254/2071-8330.2017/10-4/5" target="_blank" >http://dx.doi.org/10.14254/2071-8330.2017/10-4/5</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.14254/2071-8330.2017/10-4/5" target="_blank" >10.14254/2071-8330.2017/10-4/5</a>

Result language

angličtina

Original language name

Portfolio risk-return analysis: The case of the automotive industry in the Czech Republic

Original language description

Risk has always been the concern of managers and shareholders as a part of decision-making processes. Managers tend to control unsystematic risk mostly while trying to minimize the exposure to systematic (market) risk. The paper aims to assess the risk level and risk-return tradeoffs for the companies operating in Czech automotive industry. A diversification formula and calculation of returns using return-on-equity were employed on the yearly basis from 2005 till 2014. The returns and risk calculations were conducted on the portfolio of auto manufacturers, followed by the portfolio of auto suppliers, while the third one was performed for suppliers and manufacturers taken together. The results of the study show that the average correlation coefficient tends to decrease when we move from manufacturers to suppliers, while increasing when we join manufacturers and suppliers in one portfolio. The highest diversification benefit has been reached in the portfolio of auto suppliers. The highest risk is manifested for the portfolio of manufacturers, while the lowest – in the portfolio of auto suppliers. Risk level declined when we joined manufacturers and suppliers in comparison with risk of manufacturers alone. However, the lowest risk and the highest risk-return tradeoff were achieved in the portfolio of suppliers.

Czech name

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Czech description

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Type

J_SC - Article in a specialist periodical, which is included in the SCOPUS database

CEP classification

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OECD FORD branch

50206 - Finance

Project

<a href="/en/project/GA16-25536S" target="_blank" >GA16-25536S: Methodology of Developing a Predictive Model of Sector and Company Performance in the Macroeconomic Context</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2017

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Journal of International Studies

ISSN

2071-8330

e-ISSN

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Volume of the periodical

10

Issue of the periodical within the volume

4

Country of publishing house

PL - POLAND

Number of pages

12

Pages from-to

72-83

UT code for WoS article

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EID of the result in the Scopus database

2-s2.0-85039802161