Projects

Under review & forthcoming publications, Recent research projects

Q1 Journals

ESTRIN, S., HANOUSEK, J., SHAMSHUR, A., 2023. Does it matter who owns firms? Evidence on the impact of supermajority control on private firms in Europe. Revisions submitted to International Review of Financial Analysis.
HANOUSEK,J. Jr., HANOUSEK, J., MIKULKA, J., WILLIAMS, J. Early Outcomes and Future Risk-Taking: Evidence From a Large Gambling Provider, prepared for Review of Financial Studies.
HANOUSEK, J., Jr., HANOUSEK, J., SOKOLOV, K. X Bots and Earnings Announcements, submitted to Review of Financial Studies.
HANOUSEK, J., Jr., FERRIS, S.P, FLANNERY, HANOUSEK, J., M., KAPOUNEK, S. The “Cinderella” Effect in Business Groups: Choosing which Subsidiary Firms to Support. Submitted to the Review of Accounting Studies.
HANOUSEK, J., Jr., FERRIS, S.P, HANOUSEK, J. Peering into the Crystal Ball: The Information Content of Legislative Trading, submitted to Journal of Financial and Quantitative Analysis.
HANOUSEK, J., MADZHAROVA, B. Poland’s Special Economic Zones: Effects on Regional Economic Development, European Economic Review.
HORVÁTH, R., KAPOUNEK, S. Financial Market Uncertainty in the US: Measurement, Trends, and Effects. Prepared for Journal of Banking & Finance.
KUČERA, A. KOČENDA, E. MARŠÁL, A. Yield Curve Dynamics and Fiscal Policy Shocks. Review of Economic Dynamics.

Q2 Journals

ALBRECHT, P., KOČENDA, E. Event-Driven Changes in Volatility Connectedness: Evidence from Global Forex Markets. Prepared for Journal of International Financial Markets, Institutions and Money.
ALBRECHT, P., KOČENDA, E. Volatility Connectedness on European Emerging Forex Markets. Accepted with minor revision in International Review of Financial Analysis.
ALBRECHT, P., KOČENDA, E., OLIVEIRA, A., CERETTA, P. S., DRÁBEK, M. Connectedness among commodities and commodity currencies: network and probabilistic analysis. Submitted to International Review of Financial Analysis.
ALBRECHT, P., MAŇOUŠEK, D., PATOREK, D. Riding the Waves of Crypto Sentiment: Examining the Dynamics between Returns and Sentiment in the Cryptocurrency Market. Submitted to Finance Research Letters.
ESTRIN S, HANOUSEK, J., SHAMSHUR, A. Does it matter who owns firms? Evidence on the impact of supermajority control on private firms in Europe. Submitted to International Review of Financial Analysis.
FIDRMUC, J., HAINZ, Ch., HÖLZL, W. Individual Credit Market Experience and Perception of Aggregate Bank Lending: Evidence from a Firm Survey, working on revisions for Scandinavian Journal of Economics.
MARSAL, A., RABITSCH K., KASZAB, L., 2019. Trend Inflation Meets Macro-Finance: The Puzzling Behavior of Price Dispersion, Journal of Money Credit and Banking.
OLIVEIRA, A. S., CERETTA, P. S., ALBRECHT, P. Value investing or quantitative finance: outperforming traditional Buffet portfolio´s technique by using artificial neural networks with long tail distribution. Submitted to Financial Innovation.

Q3 Journals

KAPOUNEK, S., KOČENDA, E., KOUBA, L. Financial Impact of Trust and Institutional Quality Around the World, Financial Services Research.

Research projects during past 3 years

2024-2026: GAČR, Optimization in European Business Groups: Group leverage distribution, use of tax shields, assets stripping, and profit transfers, reg. number: 24-10317S

We plan to use extensive pan-European data to analyze business groups (BG) approach to vital corporate decisions (leverage, investment, and payouts). We aim to disentangle the individual firm vs. the group optimization framework. We aim to utilize the longest possible panel of European ownership structures to account for BG heterogeneity and understand the role of a particular firm within the BG. Therefore, we can explore how they evolved after the global crisis (2008-2010) and during the contemporary crisis related to COVID-19. The target areas cover corporate finance and organizational theories, optimal capital structure, accounting practices aimed at tax optimization/avoidance, and the evolution of the groups as a response to external global and local shocks. The European Commission is aware of the impacts of the BG, as they control sizeable parts of EU economies. Therefore, it issued hundreds of directives to increase the transparency of firm ownership. Depending on specific results, the main policy issues will cover tax shields, transfer pricing, auditor role, tax heavens, etc.

2023–2025: GAČR, Corporate social behavior and responses to CSR policies, institutions, and economic distress, coordinator, reg. number 23-07983S

The project investigates the impact of public CSR policies on corporate social behavior enhanced by the presence of democratic institutions and social trust. Moreover, we critically assess CSR performances to avoid contradictions between declared values and actual behaviour. We explore firm specific factors which motivate firms to declare CSR activities without complying with CSR norms. We put special emphasize to firm employment policy during the global economic recessions and brand activism.

2023: European Parliament European Coservatives and Reformists Group, Impact of Green Deal on food availability for three income groups in the EU

Political actions have consequences. EU Green Deal, and its legislation and related actions, will certainly impact the EU, its economy, and the well-being of EU citizens. Furthermore, EU Green Deal will have a global impact. The goal of this expert study could measure the impact of the LULUCF-related legislations that is about to enter in force, on the population in terms of at least three dimensions (companies, capacities, population). An important part of this expert study will be policy recommendations and implications, targeted mainly to the Members of the European Parliament, but not only, and their work.

2022-2024: GAČR, New Methods in Pricing Government Debt: Uncertainty and Policy Implications, reg. number 22-34451S

The project investigates the role of government policy uncertainty in driving the asset prices. We build our analysis on a variant of macro-finance DSGE model matching both macro and finance stylized facts. We focus on the uncertainty stemming from the future evolution of productivity, preferences, monetary policy and we show that the important role is played by uncertainty coming from the government spending. We also show that the existence and magnitude of convenience yield depends on the type of government policy. We put special emphasis on explaining the attributes of the equilibrium bond prices. In addition, we also examine the impact of uncertainty on institutional environment and transmission of macrofinance shocks by addressing the effects of increasing uncertainty related to the future government debt.

2020-2022: GAČR, Financial Markets Uncertainty: Measurement, Effects and Policy Implications, reg. number 20-17044S

Our research focuses on the measurement of uncertainty in financial markets and analysis of the consequenses of this incertainty. Uncertainty increased dramatically during the global financial crisis and deepened the negative effects of the crisis. We will develop a financial uncertainty index (and its sub-indexes for banks, stock market, money market and bond market) based on the textual analysis of millions of articles from main US newspapers and analyze the consequenses of uncertainty for financial stability and real economic fluctuations using a number of empirical and theoretical models.