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

Aliu, Florin; Pavelková, Drahomíra; Dehning, Bruce

dc.title	Portfolio risk-return analysis: The case of the automotive industry in the Czech Republic	en
dc.contributor.author	Aliu, Florin
dc.contributor.author	Pavelková, Drahomíra
dc.contributor.author	Dehning, Bruce
dc.relation.ispartof	Journal of International Studies
dc.identifier.issn	2071-8330 Scopus Sources, Sherpa/RoMEO, JCR
dc.date.issued	2017
utb.relation.volume	10
utb.relation.issue	4
dc.citation.spage	72
dc.citation.epage	83
dc.type	article
dc.language.iso	en
dc.publisher	Centre of Sociological Research
dc.identifier.doi	10.14254/2071-8330.2017/10-4/5
dc.relation.uri	http://jois.eu/?377,en_portfolio-risk-return-analysis-the-case-of-the-automotive-industry-in-the-czech-republic
dc.subject	Automotive industry	en
dc.subject	Portfolio diversification	en
dc.subject	Portfolio theory	en
dc.subject	Risk-return analysis	en
dc.description.abstract	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. © Foundation of International Studies, 2017 and CSR, 2017.	en
utb.faculty	Faculty of Management and Economics
dc.identifier.uri	http://hdl.handle.net/10563/1007695
utb.identifier.obdid	43877264
utb.identifier.scopus	2-s2.0-85039802161
utb.source	j-scopus
dc.date.accessioned	2018-01-15T16:31:40Z
dc.date.available	2018-01-15T16:31:40Z
dc.description.sponsorship	16-25536S, GACR;GAČR, Grantová Agentura České Republiky
dc.rights	Attribution 3.0 Unported
dc.rights.uri	https://creativecommons.org/licenses/by/3.0/
dc.rights.access	openAccess
utb.contributor.internalauthor	Aliu, Florin
utb.contributor.internalauthor	Pavelková, Drahomíra
utb.fulltext.affiliation	Florin Aliu Tomas Bata University in Zlín Zlín, Czech Republic aliu@utb.cz Drahomira Pavelkova Tomas Bata University in Zlín Zlín, Czech Republic pavelkova@utb.cz Bruce Dehning Chapman University Orange, USA, California bdehning@chapman.edu
utb.fulltext.dates	Received: June, 2017 1st Revision: August, 2017 Accepted: November, 2017
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utb.fulltext.sponsorship	Authors are grateful for the support provided by the Czech Science Foundation, project No. 16-25536S: “Methodology of Developing a Predictive Model of Sector and Company Performance in the Macroeconomic Context”.
utb.scopus.affiliation	Tomas Bata University in Zlín, Zlín, Czech Republic; Chapman University, Orange, CA, United States
utb.fulltext.projects	16-25536S