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

Identifikátory výsledku

  • Kód výsledku v 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>

  • Výsledek na webu

    <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>

Alternativní jazyky

  • Jazyk výsledku

    angličtina

  • Název v původním jazyce

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

  • Popis výsledku v původním jazyce

    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.

  • Název v anglickém jazyce

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

  • Popis výsledku anglicky

    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.

Klasifikace

  • Druh

    J<sub>SC</sub> - Článek v periodiku v databázi SCOPUS

  • CEP obor

  • OECD FORD obor

    50206 - Finance

Návaznosti výsledku

  • Projekt

    <a href="/cs/project/GA16-25536S" target="_blank" >GA16-25536S: Metodika tvorby modelu predikce sektorové a podnikové výkonnosti v makroekonomických souvislostech</a><br>

  • Návaznosti

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

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

    Journal of International Studies

  • ISSN

    2071-8330

  • e-ISSN

  • Svazek periodika

    10

  • Číslo periodika v rámci svazku

    4

  • Stát vydavatele periodika

    PL - Polská republika

  • Počet stran výsledku

    12

  • Strana od-do

    72-83

  • Kód UT WoS článku

  • EID výsledku v databázi Scopus

    2-s2.0-85039802161