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

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dc.title Portfolio risk-return analysis: The case of the automotive industry in the Czech Republic en Aliu, Florin Pavelková, Drahomíra Dehning, Bruce
dc.relation.ispartof Journal of International Studies
dc.identifier.issn 2071-8330 OCLC, Ulrich, Sherpa/RoMEO, JCR 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.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
utb.identifier.obdid 43877264
utb.identifier.scopus 2-s2.0-85039802161
utb.source j-scopus 2018-01-15T16:31:40Z 2018-01-15T16:31:40Z
dc.description.sponsorship 16-25536S, GACR;GAČR, Grantová Agentura České Republiky
utb.contributor.internalauthor Aliu, Florin
utb.contributor.internalauthor Pavelková, Drahomíra
utb.fulltext.affiliation Florin Aliu Tomas Bata University in Zlín Zlín, Czech Republic Drahomira Pavelkova Tomas Bata University in Zlín Zlín, Czech Republic Bruce Dehning Chapman University Orange, USA, California
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
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