This study explores the recovery in the Market Value Added (MVA) of European companies after the recent global economic crisis in 2008–2009. It introduces empirical evidence that intangible-intensive strategy in human and relational capital reinforces speed of the after-crisis correction for companies. Based on a panel dataset of more than 1600 listed corporations this research aims to discover drivers of Market Value Added trends in 2011–2013. The established results contribute to the understanding of the advantages that companies can exploit for the recovery after systematic shocks of markets. Our study demonstrates that intangible-intensive strategy not always enabled faster recovery speed. Meanwhile, it provided year-to-year acceleration of MVA growth after crisis.
This article is written in English.
This paper analyses the relation between corporate risk-taking and firm performance for a sample of international listed firms over the period 2001–2013. We consider the approaches on individual behavior (specifically prospect theory) to propose a U-shaped relation between corporate risk-taking and firm returns. We find that firms adopt an attitude of risk-seeking when the expected performance is below a target performance (to avoid an anticipated loss) and an attitude of risk averse when the performance exceeds that target. This relation is affected by the economic context and the nature of the major shareholder: Firms controlled by families or institutional investors react more conservatively (taking or avoiding risk) to changes in corporate results. We are aware that our results, are affected by both the theoretical model and the temporal and spatial framework used.
The last couple of decades have witnessed significant institutional and structural changes in financial sector within a worldwide trend toward consolidation. In the segment of organized trading stock exchanges merge and develop into large and diversified publicly traded companies. These processes are rather complicated in case of a transition economy like Russia. In December 2011 MICEX, the first largest and state-controlled stock exchange acquired RTS, the second largest and privately owned stock exchange primarily designed for foreign investors. We empirically investigate whether the acquisition resulted in improved liquidity of the Russian stock market which was one of the declared acquisition objectives. We use the Kolmogorov–Smirnov and the Wilcoxon tests to compare market-wide liquidity in several discrete periods pre and post acquisition. A deep and thorough insight into liquidity performance is ensured by assessing liquidity from limit order book data of tick frequency along three dimensions (tightness, immediacy, and elasticity).
Despite the wide range of alternatives that have been proposed by academics and practitioners, the Sharpe ratio remains one of the most popular metrics used to evaluate investment performance. In the proposed research, risks and returns are analysed on the European Monetary Union bonds market, with different bonds ratings and maturities, during the period from 2005 to 2017. The past and current trends and patterns in bond returns are defined using the methods of statistic, correlation and econometric analysis. It was shown that the bond returns are not normally distributed, and that the return distribution depends on bond maturity and the economic situation in the market. The relation between volatility and bond maturity and the Sharpe ratio appeared to be non-linear and not consistent over time. However, the hypothesis about the inverse relation between the Sharpe ratio and bond maturity is not supported by the evidence. Finally, with the help of time-series models it was proven that in the period 2005–2017, the returns on European Monetary Union bonds market tend to decline over time. We used ARIMA models for analysis of the residuals from the bond returns.
This paper examines mean-to-mean, volatility-to-mean and volatility-to-volatility spillover effects for stock markets of BRIC countries
We investigate the cross section momentum effect in the Japanese stock market over the period January 1997 to December 2013, sub-periods before August 2008 and during the crisis September2008–2009. From previous studies, it follows that the Japanese market is the exception to the findings on developed capital markets (momentum effect does not occur or is weak). Our study highlights the limitation of standard notions; we document the conditional nature of momentum and identify the characteristics of companies and their stocks and market states, allowing investors to earn positive momentum profit in the Japanese market (the statistically significant positive monthly return of zero cost portfolios is not less than 1%). It is shown that investors should take into account the seasonal pattern (for the Japanese stocks this revealed two months when we do not recommend taking investment activity) to increase portfolio profits. We explain the results from the specifics of the Japanese financial and governance systems, the ownership structure of listed Japanese firms and socio-cultural factors.
Event studies are employed in order to assess the impact of external shocks and internal decisions not only on the value of a company that is directly affected by the event but also on the environment that is influenced by a company's decision, including competition in the product market. The impact of a merger on market competition depends on before-merger market structure and competition. Goal of this study is to test the ability of financial markets to take into account initial competition conditions and the applicability of event study method for the assessment of merger effects for different product markets (export vs. domestic, more or less competitive), and for different types of mergers (horizontal vs. vertical). We examine deals among large companies, supplying in two markets with a substantially different degree of competition, and analyze the impact of a merger on industrial customers as well as merging companies and their competitors by the example of Russian ferrous and non-ferrous metal industries from 1999 to 2011. Two findings distinguish this paper from others in the contemporary literature: the application of event study methodology for the assessment of competitive effects of mergers involving Russian companies and the comparison of competitive and efficiency effects of vertical and horizontal mergers between participants of the same product market. The main result is that event studies are sensitive to the structure and the organization of product market affected.
Technological development and digitalization plays a crucial role in financial sector by allowing firms to create value in a rapidly changing environment. The acquisitions of firms related to financial technologies are one of the ways to obtain vital knowledge. In order to identify the fintech companies we are looking at firms that are involved in business activities in both the IT and financial sectors. By examining the growing role of fintech firms in the recent mergers and acquisitions from an investor point of view, this paper contributes to the existing literature by investigating the post-acquisition performance of the acquirer firms measured by abnormal returns. We discovered significant positive average abnormal return after acquisition of fintech companies in the short-term and negative average abnormal return in the long-term using event studymethodology. The specifics of cross-border acquisitions, the level of the domestic market development of the acquirer, and other characteristics of M&A deals are considered in order to explain the reaction of investors to announcements of fintech firms’ acquisitions. The determinants of corresponding M&A deals in emerging and developed markets were revealed.
The sanctions imposed against Russia in 2014 coincided with a shock in the oil market. It is believed that both the sanctions and the fall in prices over oil have affected both the ruble exchange rate, which devalued by 2 times in relation to the pre-crisis level. The authors of the article assess the impact of sanctions on the ruble exchange rate using ensemble empirical mode decomposition and Hurst exponent. Based on the theory of an effective market, the results of the article shown that in 2014–2015 there was no direct impact of sanctions on the ruble exchange rate. Additionally, the impact of panic in the foreign exchange market on the exchange rate has been estimated, and it is also shown that the foreign exchange market has a long memory.
This study uses both a functionalist paradigm of social theory and agency theory assumptions to examine whether CEO remuneration is performance sensitive and, vice versa, whether companies that pay their CEOs more perform better. Our analysis is based on the sample of 330 large European firms for the period from 2009 to 2013. The findings of panel data analysis confirm that CEO compensation is positively associated with corporate performance, and vice versa. The simultaneous estimation, in which we treat both compensation and firm performance as endogenous using a two-stage least squares method, shows that companies tie bonuses to accounting-based measures and this incentive pay enhances corporate internal performance. However, compensation linked to market-based measures does not improve firm performance.