Премия за размер: анализ российского рынка капитала

Вестник Санкт-Петербургского университета. Серия 5. Экономика. 2016. № 4.

Fomkina S.

Now there is a common practice in many Russian and foreign companies to include in asset pricing models a premium for small capitalization (size premium). As a rule, companies employing this approach (including Russian companies) use premiums of such reports as Ibbotson SBBI Classic Yearbook or Duff & Phelps Risk Premium Report. However, an information (size premiums) presented in these reports are prepared on the basis of the U.S. capital market, and, respectively, it is necessary to adjust this data when the cost of equity is evaluated for companies operating in other capital markets.

In addition, published studies devoted to the study of size effect, in both developed and emerging capital markets, often have opposing conclusions about the presence of this effect and its magnitude. For this reason we have a question about the validity of the calculations cost of equity using the size premium.

The article presents the results of the study of the size premium and cost of equity conducted in the laboratory of Corporate Finance Center (NRU HSE) in conjunction with PwC. Based on the dataset included stock returns of 101 non-financial companies listed on the Moscow Interbank Currency Exchange and covered the period from 2006 to 2014, we obtained that the size premium is typical for Russian medium-sized companies. At the same time, the size premium for small companies was negative. The results obtained in this study have a practical value for management of Russian companies and funds.

Keywords: затраты на собственный капитал, emerging capital markets, cost of equity, развивающиеся рынки капитала, size premium, size effect, премия за малую капитализацию, эффект размера, Fama-French model, capital asset pricing model (CAPM), модель ценообразования активов, модель Фамы-Френча