Comparative analysis of investment return: A case study on banking sector

Afruja Rahman

Master's thesis

Abstract:

This thesis analyzes the correlation between risk and expected return by analysing the different banking stocks related to Prague Stock Exchange and comparing the predictive capabilities of the Single Index Model (SIM), the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). The research aims to assess the variance between investment returns calculations by these asset-pricing models on the basis of the assumptions that SIM, CAPM and APT have no effect, a joint effect and individual effects on investment yield estimation. The design applied in the study is a quantitative confirmatory design, which utilizes monthly secondary data of 202125 on MONETA Money Bank, Komercial banka, and Deutsche bank, including stock prices, PX Index market returns, inflation, government bond yields, and the central bank repo rate, and analysed using geometric mean return and multiple regression tests. The results of the findings showed that there is heterogeneous performance in the banking sector, with Deutsche Bank having the highest realised return (0.0189), then MONETA (0.0147) and eventually Komerční banka (0.0078); at the risk-free rate, the estimated values of alpha and beta were positive of 0.00518 and negative of 0.6048 respectively and the expected returns were about 0.0107, 0.0159 and 0.0187 respectively. The APT analysis showed that MONETA was more macroeconomically sensitive when inflation and interest-rate betas are negative (−0.1871; −0.1834) and that the multifactor return is estimated to be higher (0.0344). Overall, the results show that no best model exists since SIM is both convenient and easy to use, CAPM can be applied to explain systematic risk-reward relationships, and APT is more explanatory in general since it includes macroeconomic variables. Overall, the results show that no best model exists since SIM is both convenient and easy to use, CAPM can be applied to explain systematic risk-reward relationships, and APT is more explanatory in general since it includes macroeconomic variables.

Keywords

Investment, Return, Bank

Jazyk práce: English

Datum vytvoření / odevzdání či podání práce: 1. 4. 2026

Obhajoba závěrečné práce

• Vedúci: doc. Ing. Karel Malec, Ph.D.
• Oponent: Robert Koželský, externi

Czech University of Life Sciences Prague

Faculty of Economics and Management

Master programme:
Economics and Management