The Value of the Firm in Dependence on Technological Shocks - the Czech Republic Case
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21630%2F17%3A00315272" target="_blank" >RIV/68407700:21630/17:00315272 - isvavai.cz</a>
Výsledek na webu
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DOI - Digital Object Identifier
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Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
The Value of the Firm in Dependence on Technological Shocks - the Czech Republic Case
Popis výsledku v původním jazyce
The article presents an innovative interpretation of the relationship between firm value and technological shocks. The motivation comes from the theory of technological shocks and their effects on the economy. We tried to confirm the hypothesis of neoclassical technology of the firm regarding the relationship between firm value and investment amount (interconnected with the interest rate). The relationship was empirically tested using a sample of data for the last 16 years (quarterly data). The Solow residuals represent the technological shocks and the PX index is an approximation of the firms´ value. The model explaining the rate of growth of the PX index in dependence on the Solow residuals is confirmed, but the linear coefficient is negative. However, it is close to zero value, which means that there is no dependence between the observed variables. The falsification of the neoclassical firm approach is argued using the Czech economy as an open small economy with high interdependence on the financial sector. Due to the presented solution, we secondly tried to explain the evolution in the firms´ value using autoregressive methods. We ran GARCH tests in order to gain a proper model of the PX index’s rate of growth behaviour. The most appropriate model was the GARCH (2,1) model. Moreover, we made a forecast of the volatility of the PX index. The theoretical values of the forecast fit the empirical data we observed. Furthermore, we discuss the features of the model on two levels: the whole time horizon of observations (quarterly horizon 1999-2015, 85 observations) and the post-crisis horizon (quarterly 2010-2015, 25 observations).
Název v anglickém jazyce
The Value of the Firm in Dependence on Technological Shocks - the Czech Republic Case
Popis výsledku anglicky
The article presents an innovative interpretation of the relationship between firm value and technological shocks. The motivation comes from the theory of technological shocks and their effects on the economy. We tried to confirm the hypothesis of neoclassical technology of the firm regarding the relationship between firm value and investment amount (interconnected with the interest rate). The relationship was empirically tested using a sample of data for the last 16 years (quarterly data). The Solow residuals represent the technological shocks and the PX index is an approximation of the firms´ value. The model explaining the rate of growth of the PX index in dependence on the Solow residuals is confirmed, but the linear coefficient is negative. However, it is close to zero value, which means that there is no dependence between the observed variables. The falsification of the neoclassical firm approach is argued using the Czech economy as an open small economy with high interdependence on the financial sector. Due to the presented solution, we secondly tried to explain the evolution in the firms´ value using autoregressive methods. We ran GARCH tests in order to gain a proper model of the PX index’s rate of growth behaviour. The most appropriate model was the GARCH (2,1) model. Moreover, we made a forecast of the volatility of the PX index. The theoretical values of the forecast fit the empirical data we observed. Furthermore, we discuss the features of the model on two levels: the whole time horizon of observations (quarterly horizon 1999-2015, 85 observations) and the post-crisis horizon (quarterly 2010-2015, 25 observations).
Klasifikace
Druh
J<sub>ost</sub> - Ostatní články v recenzovaných periodicích
CEP obor
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OECD FORD obor
50206 - Finance
Návaznosti výsledku
Projekt
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Návaznosti
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Ostatní
Rok uplatnění
2017
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
ACTA VŠFS
ISSN
1802-7946
e-ISSN
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Svazek periodika
11
Číslo periodika v rámci svazku
2017/1
Stát vydavatele periodika
CZ - Česká republika
Počet stran výsledku
14
Strana od-do
45-58
Kód UT WoS článku
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EID výsledku v databázi Scopus
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