G12 - Asset Pricing; Trading Volume; Bond Interest RatesReturn

Green bonds have gained prominence on China's capital market as tools that help to fuel the transition to a climate-resilient economy. Although the issuance volume on the Chinese green bond market has been growing rapidly in recent years, the impact of the green label on bond pricing has not been studied adequately. Therefore, this paper investigates whether this newly developed financial instrument offers investors in China an attractive yield compared to other equivalent conventional bonds. By matching green bonds with their conventional counterparts and subsequently applying a fixed-effects estimation, our empirical results reveal a significant green bond yield premium of 1.8 basis points (bps) on average on the Chinese secondary market. As compared to Climate Bond Initiative (CBI) certified green bonds, we find that investors are more willing to accept lower yields (pay higher prices) to include People's Bank of China (PBOC) certified green bonds into their portfolio management. Thus, we argue that Chinese green investors prefer PBOC certified green bond over CBI certified green bonds on the Chinese market. Driven by pro- environmental preference, investors are also found to be willing to pay a higher price for green bonds issued by environmental, social and governance (ESG) performance-rated issuers. Our results point to some practical implications for investors and policymakers.

The paper integrates elements of microstructural network models of the banking sector developed by Cont and Shaanning (2017) and Duarte and Eisenbach (2018) to simulate endogenously the fire sales contagion channel of systemic risk. The scale of the effect is illustrated on the EBA supervisory stress test results for 2018, based on which the secondary impact of fire sales increases aggregate losses by 69%. The model is used to identify banks with the highest contribution to systemic risk. Alternative systemicity predicators are proposed based on the results. The second section discusses the ability of the model to incorporate behavioural and regulatory aspects associated with the systemic risk, with the main focus on the impact of (i) calibration of regulatory leverage ratio limits, (ii) leverage ratio targeting, (iii) decrease in market liquidity, and (iv) change in the shape of the market price impact function on the dynamics of systemic losses due to the fire sales contagion.

Due to progressing globalisation and deepening integration of global financial markets, the topic of relations between individual markets has got into the centre of attention of many economists. Especially on the stock markets, we can observe a tendency of the more developed markets to affect developments on the less developed markets. This is also valid for stock markets of the Central and Eastern European (CEE) countries, the V4 countries included. In the case of returns and volatilities of the V4 stock markets, it is possible to expect a strong influence of the German stock market. We follow this influence using the Granger causality. Our analysis shows that in the period 1999-2018, the German DAX stock index was Granger-causing the development of the Czech (PX), Hungarian (BUX) and Polish (WIG 20) stock indices, while this relation was not confirmed for DAX and the Slovak stock index SAX. However, the analysis of two sub-periods (1999-2007 and 2010-2018) shows slightly different results.

This study identifies systemic break points in a factor pricing model for firms traded on European stock markets around the financial crisis. The aim is to shed light on the systemic risk transfer in explaining average stock returns in the fragmented European exchanges. Our analysis takes advantage of recent development in econometrics and employs models which enable "automatic" detection of factor model break points. We find that Western European exchanges are more closely integrated with American financial markets than Northern European stock exchanges and those in the United Kingdom. However, all exchanges were eventually affected by the systemic shock. The results of this study provide insight into immunisation strategies for portfolios created from European stocks.

This article focuses on the issue of company's size with connection to its valuation multiples. The phenomenon of company's size effect is described in theory and empirically tested. The knowledge of dependence on transaction multiples on company's size is essential for valuation and decision about acquisition or disinvestment. The article follows on the Jeřábek's and Čihák's article (2008). The aim of the article is to empirically verify the statement that the buyers are willing to pay relatively lower amount of money for smaller companies than in case of investment in larger companies. The aim is not to determine the specific amount of the size risk premiums but demonstrate multiples increase with company's size multiple in connection to company's size. Furthermore, it is necessary to take into account bigger companies have, in comparison with smaller entities, not only higher relative value, but also absolute. In other words, it means higher transaction multiple or lower discount rate.

The idea of a positive relation between the real economy and share markets used to be supported by long-term analyses during the 20th century. As a result, the share market was supposed to be a "mirror" of the economy. The share markets tended to outrun the GDP development by a couple of quarters. On the other hand some researchers keep on pointing at some anomalies in the relation between share markets and the real economy in the short-term to midd-term time horizon in some countries. This problem was fully to see over the first decade of the 21st century that was typical for the changes in the structure of the global economy as well as for the increasing frequency of share market bubbles without an adequate economic growth. The aim of this paper is to show a new perspective on the relation between the share market and the real economy and to seek the reasons of their often contradictory development.

The article discusses the approaches and options for identification of disequilibrium asset prices movements. It focuses mainly on theoretical and empirical methods for identifying the so-called "bubbles" in asset prices. Subsequently, the dissimilarity among foreign exchange, stock and real estate markets in the Czech Republic is discussed, and application of selected methods (ratios, statistical and econometric methods) for identification of bubbles on these markets is shown. Its main advantage is that we analyze the problem not only from the perspective of one market, but on the main segments of financial sector. Paper concludes that the misalignment of asset prices during current financial crisis was not significantly different from their values from the second part of nineties.

On the background of current global mortgage crisis the article discusses the housing market theory and particularly the methods and indicators used for the evaluation of long-term sustainability of house price trends. The authors provide the time series of such indicators for selected OECD countries, critically examine the past research studies evaluating pre-crisis house price development and argue that house price falls present in many developed countries are more the causes than the consequences of mortgage crisis. The change in house price trends in 2007 in many developed countries could be thus interpreted as the result of the previous record house price growth, often labeled as a price bubble. In view of this hypothesis the authors try to assess the sustainability of house price development in the Czech Republic, using several indicators, error correction models and different data sources. The methods for construction of reliable house price indices are also discussed here. The results show that house prices in the Czech Republic could be above their "equilibrium" levels at the end of 2007 but this deviation was far lower than in countries like UK, Spain, Netherlands or Ireland.

The paper analyzes the relationship between interest rate transmission mechanism and bank's management of interest rate risk during the disinflation monetary policy in the Czech Republic in 1999-2006. In theoretical part, main determinants of short-run and long-run equilibrium of client interest rates are discussed (market power, duration of credits and deposits, pricing mechanism, credit risk, operation efficiency). Using the error correction model, sensitivity of credit and deposit interest rates on market interest rates is tested. It is found out that in the short equilibrium client interest rates changes follow dynamics of CNB repo rate, the sensitivity of credit and deposit interest rates differs and banks face up the pressure on interest margin. The cointegration analysis confirms change of equilibrium interest rate margin in the long-run and supports hypothesis of consistency between Czech National Bank monetary policy and its expected outcomes by banks.

The paper deals with yield curve construction methods using coupon bonds in Czech bond market. Generally, there are more possibilities how to approach this problem: bootstraping, splines, parametric functions. Due to the lack of tradable public bonds and due to the fact that existing bonds do not pay coupons at the same date of the year, traditional bootstraping method could not be applied under Czech market conditions. It seemed appropriate to use parametrical solutions to the yield curve issue and minimise the sum of squares of differences between market and theoretical prices. There were presented three function types which arrived to similar results in the paper. The authors also used Svensson parametric function to demonstrate the possible use of parametric yield curve construction. It was shown that, after duration adjustment, it can indicate shift in market expectations regarding future short term interest rate moves, and thus regarding future monetary policy, pretty well.

The paper deals with theoretical and empirical aspects of the interactions between monetary policy and swap rates in the Czech Republic in 1999 through to 2005. In the theoretical part main sources of volatility of swap and forward rates on changes of repo rate are studied (actual stage of business cycle and changing level of monetary restriction, investor's misunderstanding of future main policy rate dynamics or inconsistency between expected monetary policy outcomes and actual dynamics of real level of repo rate). The empirical analysis proved low sensitivity of Czech crowns swap and forward rates to CNB repo rate changes, high volatility of interest rates relations in case of long-lasting repo rate changes and also problems with CNB's credibility at the beginning of 2000's. It was also found out that investor's mid-term and long-term inflation expectation could differ substantially due to expected convergence of economy to low inflation economic system.

The Aims of the article are to describe basic tendencies that influence the management accounting development and to show their impact on the changes of the targets, content and structure of the system of company management (with the main stress on its information support). The article also documents that the common general feature of the tendencies is to overcome traditional controversy between the substance of economic categories and the way in which they are depicted in accounting. The article elaborates specific manifestations of dual concept in relation of financial and management accounting, and - by stricter way - it describes recent developmental tendencies, especially stress on its user orientation, its usage as a strategic managerial tool and its effort to short time reaction in the process of information rendering for tactical and operational management.

The paper deals with equilibrium real price of a fixed asset in a growing economy. The supply of this kind of assets is by assumption fixed. Land or unique works of art are probably their closest empirical counterparts. Economic growth is manifested by a systematic increase in the real price of services provided by the asset. The rate of growth of their price depends on price and income elasticities of the demand for the services. Given these elasticities, an equilibrium price of the asset can expressed using the present value model. The equilibrium real asset price increases in time in the same rate as the real price of the services. The asset price can be highly sensitive to changes in values of the permanent rate of economic growth and real interest rate. Transitory changes in economic growth, however, seem to have only minor effect on the equilibrium price.