Анализ реакции акций компаний различных отраслей на изменение ключевой ставки Банка России
The study examines the impact of changes in the key rate on the share prices of companies from different industries. The study conditionally divides the change in the key rate into two types of events: the increase and the decrease. Based on theoretical models, one can hypothesize that the shares of companies react only to unpredictable changes, the impact of the key rate does not differ between the financial and real sectors, and the short-term impact of changes in the key rate does not differ from the long-term. To test the hypotheses, the event study analysis is implied. The study reveals that the impact of the key rate differs significantly between industries and companies within the same industry; the response also depends on the length of the event window. The joint effect of the increase and decrease of the key rate is insignificant both for industries and standalone companies. The increase of the key rate significantly affects the share prices of companies, while the decrease of the key rate is insignificant. Unexpected rate changes also do not affect share prices. At the industry level, the shares are more sensitive to the long-term key rate, but at the company level this effect is not maintained. The study reveals the ability of financial institutions to hedge the risk of changes in the key rate.
The paper is aimed at examining the market reaction on announcements about dividend payments of Russian companies. Though there are numerous papers devoted to this problem, their results are controversial, and they are rather related to developed markets than to developing economies. The understanding of signals that dividend announcements give companies’ shareholders and potential investors is important because it helps to improve the quality of investment and financial decisions.
The peculiarity of this paper is that different sectors of economy are analyzed separately. The difference in reaction in different sectors of economy is revealed. The research is based on the event study methodology. The data sample consists of 115 announcements of Russian public companies for the period of 2009-2013.
Shareholder conflict may significantly impact market capitalization of a firm because of rising risk of additional reputational costs. In this paper we analyze changes in value of Russina telecommunication company Vimpelcom after mass media announcements about developments in lawsuits between major shareholders in 2005-2013. We suggest methodology of prediction of market reaction. All announcements are classified according to several characteristics. Calculation of abnormal return allowed us to estimate cumulative losses of shareholders of Vimpelcom due to the conflict between Altimo and Telenor.
The study considers corporate inversion, also known as tax inversion, which involves companies to move their operations overseas in order to avoid tax burden in the domestic country. Although the following strategy gains popularity among corporate managers, experts emphasize its’ controversial and risky nature (Lusch et al., 2016). The aim of this paper is twofold. First, we consider previous literature and market trends to create a classification of corporate inversions. Second, the efficiency of inversions is measured using event study method and Monte-Carlo tool. Data sample was collected from Compustat and Thomson Reuters; it covers 18 firms that undertook inversion strategy in the period from 2008 to 2014. The first part of the study reveals that although corporate inversions are a subject of comprehensive research efforts, the consensus regarding its’ effect on firm’s prospects has not yet been reached among academic scholars. It was seen that in long-term perspective inversions hamper business sustainability due to lack of administration in the company’s new domicile (Cortes et al., 2016; Laing et al., 2019). At the same time, shareholders’ positive attitude towards this strategy is observed which casts doubt on their rationality. However, we found studies that highlight strongly positive impact of inversions on share prices of firms which lowered corporate tax rate and saved best practices of corporate control (Col et al., 2016). This fact explains why shareholders vote in favour of these arrangements.
We found that discrepancy in previous research is due to chosen data. To achieve the first aim and for the sake of our empirical study, we divided previous deals in two groups according to their purposes, structure and headquarters country. The first group consists of transactions in the times when market was in its’ infancy, such schemes are not used in recent deals. Including this group in our sample may provide irrelevant results, as it was seen in previous studies. Final sample included inversions announced in the period from July 2008 to June 2014. Data was limited to U.S. public companies to make it comparable. At the first stage, we considered market reaction to the announcement of inversion using event study method. Under assumption of efficient markets, the cumulative abnormal return (CAR) of company’s share prices is considered to be a robust indicator of inversion’s efficiency. Further, we integrated the whole sample using average of each company’s CAR (CAAR). In order to consider not only immediate effect of the deal but also its’ long-run consequences, our methodology includes the analysis of the event, three months prior to it and subsequent seven months. We found that CAAR is positive during the studied period, significant at 1% confidence level and growing few months before the inversion in announced. The observed phenomenon may stem from investors expectations of the deal due to noticed internal changes in the company. At the second stage, Monte-Carlo method was implemented to run simulations based on calculated returns. CAAR was seen to be positive with increasing trend throughout the observation window. The analysis showed 9% probability of a negative CAAR and 41% chance of CAAR to be around 0.04. Our results support the view that inversions are an efficient corporate tool in investors opinion, as it is seen from the hike of company’s value in the period of deal announcement. The main limitation of this study is that the results are hardly extrapolated to other samples, since inversions are dynamic and change when companies need to adapt to new regulatory environment. Nevertheless, the algorithm of the evaluation of these deals is versatile and may be applied to different types of corporate inversions, which is the primary contribution of the paper.
The paper presents the results of the research of the market reaction to announcements about information technologies investments, made by Russian companies. Despite of the importance of such investments for the competitiveness of the modern enterprise, their impact at the companies’ value needs in the further study and does not seem evident. Though Russian information technologies’ market reveals the dramatic growth, the statistic data highlights that the companies’ management tends to be rather economic in the sphere of information technologies’ investments. The reaction of the Russian market to the announcements about the companies’ information technologies investments is analyzed on the base of the event study analysis. The study is made for the period of 2009-2012. The results define the factors, enhancing the companies’ value growth due to information technologies investments.