8.2. Тестирование практики построения прогнозного бета-коэффициента в конструкции САРМ с учетом низкой ликвидности ценных бумаг на российском рынке
In this study we analyze a problem of the account of low liquidity of securities at carrying out of the fundamental analysis in the Russian capital market. The discount rate for prediction cash flow is a important factor in target price calculation. Standard САРМ as a model to explain assets pricing has restrictions in practical application. One of the problems of application - low liquidity of stocks in emerging markets. In this study we test on 72 companies of RTS stock exchange the technique of formation of the beta-factor, offered by Aton Investing Group and applied by a number of analyticals of the investment companies of the Russian market. This technique tries to consider both the size of the company, and a level of liquidity of its stocks.
The performance of M&A deals in financial sector is the actual topic in financial academic literature for many years. Most existing studies examine the performance of M&A deals in developed countries. We contribute to existing literature by examining the impact of mergers and acquisitions on bidder’s value in emerging BRICS countries over 2000–2012. In contrast to existing studies we analyse the latest period and examine the impact of the economic crisis of 2008-2009 on the performance of M&A. Based on the sample of 264 deals we find that mergers and acquisitions create shareholder’s value. We also find that the main determinants of M&A performance are method of payment, deal size, number of previous acquisitions made by the acquirer prior to the current transaction, acquirer’s intellectual capital and the difference in countries development.
The paper presents the results of dynamic trade-off empirical testing on the data of 30 countries for 2005-2010. The authors show that the speed of adjustment to the target capital structure for Western Europe countries is mostly determined by internal factors. Meanwhile for emerging capital market the growth rate of GDP as well as time dummy variables are crucial determinants of speed of adjustment. Institutional factors such as credit and bankruptcy institutions developments revealed nonlinear relationship with the speed of adjustment. Moreover, investor protection developmens is also a significant determinant that exhibits positive relationship for both developed and emerging markets.
The debt-to-equity choice has always been one of the crucial decisions of the firm’s management. The capital structure is vital for the appropriate development of relationships among the company’s stakeholders. The conflicts of interests between management and shareholders and creditors as well as conflicts between other groups of stakeholders lead to the appearance of agency costs that decrease the corporate value. The role of agency costs is even higher in emerging markets due to higher information asymmetry, lower development of legal system, investors’ protection rights and corporate governance. Our paper contributes to the literature by analyzing the agency costs and capital structure choice on the data of emerging markets companies. Our sample consists of more than 150 companies from BRICS and Eastern Europe within 2000-2010. By conducting the empirical analysis based on both linear panel data regressions as well as simultaneous modeling of leverage choice and management shareholding we obtain the following results. The agency costs are relevant for debt-to-equity choice in Russia, India, China and Eastern Europe but the results are not so obvious in Brazil where financing policy could be explained by trade-off theory. We found out the non-linear relationship between financial leverage and management shareholding which is also in line with agency costs significance. Moreover we revealed that agency costs define long-term leverage, but cannot explain short-term debt in emerging markets. Further, we concluded that debt ratios based on market value of equity are not affected by agency costs opposite to capital structure variables based on book value of equity.
Smoking is a problem, bringing signifi cant social and economic costs to Russiansociety. However, ratifi cation of the World health organization Framework conventionon tobacco control makes it possible to improve Russian legislation accordingto the international standards. So, I describe some measures that should be taken bythe Russian authorities in the nearest future, and I examine their effi ciency. By studyingthe international evidence I analyze the impact of the smoke-free areas, advertisementand sponsorship bans, tax increases, etc. on the prevalence of smoking, cigaretteconsumption and some other indicators. I also investigate the obstacles confrontingthe Russian authorities when they introduce new policy measures and the public attitudetowards these measures. I conclude that there is a number of easy-to-implementanti-smoking activities that need no fi nancial resources but only a political will.
One of the most important indicators of company's success is the increase of its value. The article investigates traditional methods of company's value assessment and the evidence that the application of these methods is incorrect in the new stage of economy. So it is necessary to create a new method of valuation based on the new main sources of company's success that is its intellectual capital.