Проблема эндогенности в корпоративных финансах: теория и практика
Endogeneity can cause a significant bias of the coefficient estimation, up to the change in sign. It leads to controversial research results, which also makes it difficult to adequately test individual hypotheses and theories in corporate finance (CF). For practitioners, such as company valuation consultants, these model problems interrupt to obtaining the most reliable estimates in the interests of the customer. The aim of this study is to review an endogeneity problem in CF, ways to solve a problem of endogeneity. We will illustrate the methods found in the systematic review with an empirical example. The paper provides the reasons for this problem from an econometric point of view and with examples from the CF and econometric methods of dealing with it. As a result of a systematic literature review, we have shown that dynamics panel models, in particular the Blundell-Bond method, are mostly used to consider endogeneity in CF studies. We have verified empirically the conclusion made in the framework of the literature review. To detect the endogeneity, we used the Hausman test, the endogeneity test, and the analysis of the correlation matrix, including the saved regression residuals. Eliminating step-by-step endogeneity, we concluded that the Blundell-Bond method is not always the optimal one for dealing with endogeneity in CF, as well as regression with a fixed effect. It was revealed that the two-step least squares method (IV 2SLS) is the most appropriate method for cost of capital model estimation eliminating endogeneity. In addition, the estimates of the cost of capital model, which analyzes the impact of non-financial reporting, have been improved.
Current article is dedicated to the relationship between effectiveness of usage of intellectual capital and capital structure of firms in Russia in 2005-2007. Current research showed that effectiveness of usage of intellectual capital of firms has a positive influence over the level of financial leverage. The result of the research has showed that the more effective usage of intellectual capital makes a company more attractive for the credit organizations and opens more sources to obtain financing. There were also revealed some specific features of relationship between the effectiveness of utilization of intellectual capital and corporate financial decisions in Russia. The result is consistent with the results from the similar researches from the developed markets.
The paper presents the structural model of decision-making process on the residential mortgage market. We empirically estimates key drivers of mortgage borrowing, underwriting, and default process by jointly using market-level monthly data and loan-level data from regional branch of Agency of Home Mortgage Lending (AHML). The multistep estimation procedure allows correcting for sample selection bias and endogeneity and provides consistent parameter estimates. Obtained results shows that risk preferences are changing during the time and AHML borrowers are relatively high risky.
This conference proceeding includes selected full papers from the 11th EBES Conference – Ekaterinburg. We have accepted papers among resubmitted full papers after the conference ended. In this proceeding you will find a snapshot of topics that are presented in the conference. As expected, our conference has been an intellectual hub for academic discussion for our colleagues in the areas of economics, finance, and business. Participants found an excellent opportunity for presenting new research, exchanging information and discussing current issues. We believe that this conference proceeding and our future conferences will improve further the development of knowledge in our fields.
The paper deals with the influence of the growth opportunities on the company‟ investment policy. The analysis is based on the real options concept. It is shown that in the presence of valuable growth opportunities traditional methods of investment analysis can lead to the bias in the estimate of the investment project efficiency if the risks of the project are assumed to be equal to the risks of company's assets-in-place.
The article present of a model of sustainable development of the largest companies in the region and in the territory. The model allows evaluating the sustainable character of a company's development through comparison of the planned and real data, and to discover its non-balanced dynamics.
This paper is concerned with modeling the demand for mortgage loans. The demand for loans can be represented as two functions: probability of borrowing and the loan amount, depending on borrower-specific characteristics, contract terms and set of macrovariables. The decision-making process for borrowing can be described as the sequence of decisions on: 1) choosing the credit program; 2) approving of a borrower; 3) choosing contract terms from a feasible set; 4) and loan performance. Following Philips and Yezer (1996) and Attanasio, Goldberg and Kyriazidou (2008) the author proposes an econometric approach that deals with endogeneity and self-selection of borrowers when estimating the demand-for-loan equations and specifies the structure of data that is required for implementation.
The present article aims to analyze the degree of modern business ethics practices like corporate social responsibility and corporate governance in Russian enterprises.
The paper examines the structure, governance, and balance sheets of state-controlled banks in Russia, which accounted for over 55 percent of the total assets in the country's banking system in early 2012. The author offers a credible estimate of the size of the country's state banking sector by including banks that are indirectly owned by public organizations. Contrary to some predictions based on the theoretical literature on economic transition, he explains the relatively high profitability and efficiency of Russian state-controlled banks by pointing to their competitive position in such functions as acquisition and disposal of assets on behalf of the government. Also suggested in the paper is a different way of looking at market concentration in Russia (by consolidating the market shares of core state-controlled banks), which produces a picture of a more concentrated market than officially reported. Lastly, one of the author's interesting conclusions is that China provides a better benchmark than the formerly centrally planned economies of Central and Eastern Europe by which to assess the viability of state ownership of banks in Russia and to evaluate the country's banking sector.
The paper examines the principles for the supervision of financial conglomerates proposed by BCBS in the consultative document published in December 2011. Moreover, the article proposes a number of suggestions worked out by the authors within the HSE research team.
The paper studies a problem of optimal insurer’s choice of a risk-sharing policy in a dynamic risk model, so-called Cramer-Lundberg process, over infinite time interval. Additional constraints are imposed on residual risks of insureds: on mean value or with probability one. An optimal control problem of minimizing a functional of the form of variation coefficient is solved. We show that: in the first case the optimum is achieved at stop loss insurance policies, in the second case the optimal insurance is a combination of stop loss and deductible policies. It is proved that the obtained results can be easily applied to problems with other optimization criteria: maximization of long-run utility and minimization of probability of a deviation from mean trajectory.