03340ntm a22005417i 4500 000703811 CZ-PrVSE 20240203150629.0 m d cr n|||||||||| 240203s2023 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Skála, Jaromír ISIS:140524 dis Záhada rizikové prémie v České republice eng The Equity Premium Puzzle in the Czech Republic / Jaromír Skála 2023 ?? stran : digital, PDF soubor Vedoucí práce: Pavel Potužák Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Národohospodářská fakulta, 2024 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2024 This thesis examines the equity premium puzzle in the Czech Republic using a consumption-based asset pricing model with time-separable preferences. The equity premium puzzle, which states a disproportionate differential between returns on risky and risk-free assets, cannot be adequately explained by the traditional coefficient of risk aversion, as it should be significantly lower based on microeconomic evidence. This study begins with a comprehensive literature review of the theoretical background of the equity premium puzzle and various attempts to solve it. This thesis utilizes data spanning the period 1997 to the first half of 2023. To ensure the reliability of the outcomes, multiple measures of the risk-free rate and multiple measures of return on equity were incorporated into the analysis. This study is unique in that it utilizes the geometrical average as an estimator, which enhances the reliability of the results by accounting for the unsteady nature of Czech data. Although the value of risk aversion resulting from this thesis is considerably lower than that reported in Mehra and Prescott’s (1985) seminal study, the subjective discount factor does not fall within its admissible interval. Additionally, data from the Czech Republic suggest a lack of stability in the short term. Způsob přístupu: Internet ekonomie [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas time separable preferences Equity premium puzzle risk premium asset price consumption based asset pricing model risk aversion Czech Republic Potužák, Pavel vse20231203939 ths Chytilová, Helena ntk2018979754 opn Vysoká škola ekonomická v Praze. Národohospodářská fakulta kn20010709401 dgg https://insis.vse.cz/zp/85750/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/85750 Hlavní práce https://insis.vse.cz/zp/85750/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/85750/posudek/oponent/80949 Oponentura https://insis.vse.cz/zp/85750/podrobnosti dc:identifier NEPOSILAT VSKP vse85750 240201 85750