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

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>

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.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50206 - Finance

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)

Rok uplatnění

2017

Kód důvěrnosti údajů

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

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