Peter Albrecht

Mendel University in Brno · Department of Finance

This paper examines the impact of news regarding the spread of the corona-virus on stock market returns. We investigate this impact across different geographical regions and behavioral aspects through regression analysis. Specifically, we explore the relationship between stock returns and factors such as investors' attention, the number of new posi...

This work aims to compare the performance of the traditional portfolios of the S&P500, Markowitz, and Sharpe with the multifractal trend fluctuation portfolios (MF-DFA) and portfolios of artificial neural networks with Student's asymmetric probability classification (ANN-t). In this study, we use daily data for S&P500 stocks between January 18, 201...

In this paper, we examine the potential of cycles in the valuation of GameStop Corp. (GME) stocks, due to the unique exemptions in exchange traded fund (ETF) creation/redemption activities. In order to satisfy liquidity in the market, a market maker and/or authorised participant is allowed to sell ETF shares that have not yet been created. With the...

Here, we investigate the direction of the relationship between economic policy uncertainty (EPU) and stock markets. We focus on time‐variant co‐movements between the EPU index and selected stock market indices (S&P500, UK100, Nikkei225 and DAX30) at different investment horizons. We show that the EPU index lags stock markets at longer investment ho...

This paper identifies the relationship between changes in oil prices and the returns of the world's highest-producing oil companies. Oil companies are divided into state-owned (national) and private companies. This paper focused on three different time periods to identify the relationship between changes in oil price and stock market returns by exa...