Влияние корпоративного управления на стоимость компаний России в модели Ольсона
In this paper, I study the possibility of modifying the Ohlson model, an alternative way of explaining the dynamics of stock prices of public companies, by adding corporate governance factors that might affect their market value to the model. The purpose of this work is to identify key indicators of corporate governance that affect the market value of Russian companies by modifying the Ohlson model. During the study, the following tasks were performed: the key points of the Ohlson economic model are described; empirical works that demonstrate corporate governance as a factor in assessing the value of companies were presented; the significance of the modified Olson model for the Russian market has been tested based on available information.
In terms of the methodology, the «other information» parameter is highlighted, which is a combination of complementary factors: forecast analytical data and corporate governance indicators. Thus, there is an estimation of difference between the predicted net profit indicator, calculated as the arithmetic average of analysts' forecasts for an individual company for a financial year, and the actual net profit of company. In turn, corporate governance includes the following parameters: the percentage of board members holding professional certificates and licenses; average term of board of directors members; share of independent members on the board of directors; share of independent members in the audit committee; the proportion of women on the board of directors; the size of the board of directors.
The analysis of panel data demonstrates the dependence of share prices on the dynamics of the book value of equity, abnormal profits, the share of board members holding professional certificates and licenses, the difference between the actual net profit and the forecasted net profit of companies and on the level of gender diversification in the board of directors. The results of the analysis of deviations in average stock prices are comparable to the findings of papers, authors of which have studied the markets of Europe, Latin America and Africa.