Research articles for the 2020-07-22
A Research on Cross-sectional Return Dispersion and Volatility of US Stock Market during COVID-19
arXiv
arXiv
We studied the volatility and cross-sectional return dispersion effect of S&P Health Care Sector under the covid-19 epidemic. We innovatively used the Google index to proxy the impact of the epidemic and modeled the volatility. We also studied the influencing factors of the log-return of S&P Energy Sector and S&P Health Care Sector. We found that volatility is significantly affected by both the epidemic and cross-sectional return dispersion, and the coefficients in front of them are all positive, which means that the herding behaviour did not exist and as the cross-sectional return dispersion increases and the epidemic becomes more severe, the volatility of stock returns is also increasing. We also found that the epidemic has a significant negative impact on the return of the energy sector, and finally we provided our suggestions to investors.
A comprehensive view of the manifestations of aggregate demand and aggregate supply shocks in Greece, Ireland, Italy and Portugal
arXiv
arXiv
The main goal of the paper is to extract the aggregate demand and aggregate supply shocks in Greece, Ireland, Italy and Portugal, as well as to examine the correlation among the two types of shocks. The decomposition of the shocks was achieved by using a structural vector autoregression that analyses the relationship between the evolution of the gross domestic product and inflation in the period 1997-2015. The goal of the paper is to confirm the aggregate demand - aggregate supply model in the above-mentioned economies.
An Alternative Credit Scoring System in China's Consumer Lending Market: A System Based on Digital Footprint Data
SSRN
Ever since the late 1990s, China has experienced explosive growth in consumer lending, especially in short-term consumer loans, among which, the growth rate of non-bank lending has surpassed bank lending due to the development in financial technology. On the other hand, China does not have a universal credit scoring and registration system that can guide lenders during the processes of credit evaluation and risk control, for example, an individual’s bank credit records are not available for online lenders to see and vice versa. Given this context, the purpose of this paper is three-fold. First, we explore if and how alternative digital footprint data can be utilized to assess borrower’s creditworthiness. Then, we perform a comparative analysis of machine learning methods for the canonical problem of credit default prediction. Finally, we analyze, from an institutional point of view, the necessity of establishing a viable and nationally universal credit registration and scoring system utilizing online digital footprints, so that more people in China can have better access to the consumption loan market.Two different types of digital footprint data are utilized to match with bank’s loan default records. Each separately captures distinct dimensions of a person’s characteristics, such as his shopping patterns and certain aspects of his personality or inferred demographics revealed by social media features like profile image and nickname. We find both datasets can generate either acceptable or excellent prediction results, and different types of data tend to complement each other to get better performances. Typically, the traditional types of data banks normally use like income, occupation, and credit history, update over longer cycles, hence they can’t reflect more immediate changes, like the financial status changes caused by business crisis; whereas digital footprints can update daily, weekly, or monthly, thus capable of providing a more comprehensive profile of the borrower’s credit capabilities and risks. From the empirical and quantitative examination, we believe digital footprints can become an alternative information source for creditworthiness assessment, because of their near-universal data coverage, and because they can by and large resolve the "thin-file" issue, due to the fact that digital footprints come in much larger volume and higher frequency.
SSRN
Ever since the late 1990s, China has experienced explosive growth in consumer lending, especially in short-term consumer loans, among which, the growth rate of non-bank lending has surpassed bank lending due to the development in financial technology. On the other hand, China does not have a universal credit scoring and registration system that can guide lenders during the processes of credit evaluation and risk control, for example, an individual’s bank credit records are not available for online lenders to see and vice versa. Given this context, the purpose of this paper is three-fold. First, we explore if and how alternative digital footprint data can be utilized to assess borrower’s creditworthiness. Then, we perform a comparative analysis of machine learning methods for the canonical problem of credit default prediction. Finally, we analyze, from an institutional point of view, the necessity of establishing a viable and nationally universal credit registration and scoring system utilizing online digital footprints, so that more people in China can have better access to the consumption loan market.Two different types of digital footprint data are utilized to match with bank’s loan default records. Each separately captures distinct dimensions of a person’s characteristics, such as his shopping patterns and certain aspects of his personality or inferred demographics revealed by social media features like profile image and nickname. We find both datasets can generate either acceptable or excellent prediction results, and different types of data tend to complement each other to get better performances. Typically, the traditional types of data banks normally use like income, occupation, and credit history, update over longer cycles, hence they can’t reflect more immediate changes, like the financial status changes caused by business crisis; whereas digital footprints can update daily, weekly, or monthly, thus capable of providing a more comprehensive profile of the borrower’s credit capabilities and risks. From the empirical and quantitative examination, we believe digital footprints can become an alternative information source for creditworthiness assessment, because of their near-universal data coverage, and because they can by and large resolve the "thin-file" issue, due to the fact that digital footprints come in much larger volume and higher frequency.
Banning Cassandra from the Market? An Empirical Analysis of Short-Selling Bans during the Covid 19 Crisis
SSRN
During the recent COVID-19 pandemic crisis, stock markets around the world have witnessed an abrupt decline in security prices and an unprecedented increase in security volatility. In response to a week of financial turmoil on the main European stock markets, some market regulators in Europe, including France, Austria, Italy, Spain, Greece, and Belgium, passed temporary short-selling bans in an attempt to stop downward speculative pressures on the equity market and stabilize and maintain investors’ confidence. This paper examines the effects of these short-selling bans on market quality during the recent pandemic caused by the spread of COVID-19. Our results suggest that during the crisis, banned stocks had higher information asymmetry, lower liquidity, and lower abnormal returns compared with non-banned stocks. These findings confirm prior theoretical arguments and empirical evidence in other settings that short-selling bans are not effective in stabilizing financial markets during periods of heightened uncertainty. In contrast, they appear to undermine the policy goals market regulators intended to promote.
SSRN
During the recent COVID-19 pandemic crisis, stock markets around the world have witnessed an abrupt decline in security prices and an unprecedented increase in security volatility. In response to a week of financial turmoil on the main European stock markets, some market regulators in Europe, including France, Austria, Italy, Spain, Greece, and Belgium, passed temporary short-selling bans in an attempt to stop downward speculative pressures on the equity market and stabilize and maintain investors’ confidence. This paper examines the effects of these short-selling bans on market quality during the recent pandemic caused by the spread of COVID-19. Our results suggest that during the crisis, banned stocks had higher information asymmetry, lower liquidity, and lower abnormal returns compared with non-banned stocks. These findings confirm prior theoretical arguments and empirical evidence in other settings that short-selling bans are not effective in stabilizing financial markets during periods of heightened uncertainty. In contrast, they appear to undermine the policy goals market regulators intended to promote.
Corporate Bankruptcy Prediction Using the Principal Components Method
SSRN
A huge number of articles and papers are devoted to the study of bankruptcy prediction problems. In attempting to solve the problem of predictive ability, many difficulties arise due to the processing of data and the necessity of choosing between appropriate models and algorithms. Efficiency is formed on the basis of three key aspects, namely tools, data quality, and algorithms. Efficiency in this regard, may also be postulated to be achieved based on the correct formulation of the problem itself.Therefore, in this article we study the quality of methodologies for assessment of business solvency of Russian companies with a view to improving bankruptcy predicative capability. On the basis of a literature review, 35 indicators representing profitability, liquidity, business activity, capital structure, debt servicing, growth opportunities, and company size were used, and problems in relation to bankruptcy were re-evaluated using the method of neural network modelling. To do this, we propose an effective prediction algorithm, which is presented in comparison with conventional parametric methods.With the use of the principal components method of neural networks, our results identify and contextualise key turning points that could lead to a destabilisation of the company's normal operations. It was found out that use of the principal components method does not increase the predictive power of the model in comparison to the use of the variables selected separately from each group of factors. However, we demonstrate that the model we proposed correctly classifies, on average, more than 94% of observations across the sample of small, medium, and large Russian businesses.From a scientific point of view, this research presents a novel method for increasing the predictive power of the bankruptcy model. On the practical side, our results may be easily implemented into any effective corporate strategy. The extremely high predictive power of the model will interest investors, banks, and other creditors to foresee potential financial problems of companies with a greater accuracy. However, improvement of its predictive power might be achieved by using even more sophisticated algorithms because the methods applied in practice are invariably reduced to standard parametric methods with low predictive power. For further study of this issue, it would be interesting to consider the problem of accuracy in processing lost or missing data, by applying genetic algorithmisation and dynamic models.
SSRN
A huge number of articles and papers are devoted to the study of bankruptcy prediction problems. In attempting to solve the problem of predictive ability, many difficulties arise due to the processing of data and the necessity of choosing between appropriate models and algorithms. Efficiency is formed on the basis of three key aspects, namely tools, data quality, and algorithms. Efficiency in this regard, may also be postulated to be achieved based on the correct formulation of the problem itself.Therefore, in this article we study the quality of methodologies for assessment of business solvency of Russian companies with a view to improving bankruptcy predicative capability. On the basis of a literature review, 35 indicators representing profitability, liquidity, business activity, capital structure, debt servicing, growth opportunities, and company size were used, and problems in relation to bankruptcy were re-evaluated using the method of neural network modelling. To do this, we propose an effective prediction algorithm, which is presented in comparison with conventional parametric methods.With the use of the principal components method of neural networks, our results identify and contextualise key turning points that could lead to a destabilisation of the company's normal operations. It was found out that use of the principal components method does not increase the predictive power of the model in comparison to the use of the variables selected separately from each group of factors. However, we demonstrate that the model we proposed correctly classifies, on average, more than 94% of observations across the sample of small, medium, and large Russian businesses.From a scientific point of view, this research presents a novel method for increasing the predictive power of the bankruptcy model. On the practical side, our results may be easily implemented into any effective corporate strategy. The extremely high predictive power of the model will interest investors, banks, and other creditors to foresee potential financial problems of companies with a greater accuracy. However, improvement of its predictive power might be achieved by using even more sophisticated algorithms because the methods applied in practice are invariably reduced to standard parametric methods with low predictive power. For further study of this issue, it would be interesting to consider the problem of accuracy in processing lost or missing data, by applying genetic algorithmisation and dynamic models.
Designing New Funding Models for Russian Football Clubs
SSRN
In Europe, most football clubs have long been positioned as business projects, which are active in financial markets and apply various funding tools. The 2018 FIFA World Cup inspired a new wave of interest in Russian football and created attractive conditions for applying new funding tools. The specifics of the economy surrounding sports development in Russia have led to a situation whereby most sports clubs depend on limited apportionments of budgetary funds, and require novel sources of additional funding for different development purposes, e.g. constructing stadiums, training grounds, youth academies and everyday operations.The aim of this research is to examine the best foreign practice in the field of attracting funding by sports clubs and propose adaptations for Russian conditions. This work presents a practice-oriented review of the most modern funding tools used in football, and analyses the capital structure of European football clubs, their funding policies and preferences.The competitive level of the European and Russian clubs, their relative financial capabilities, and their development prospects were considered, and the analytical mapping process ascribed prospective investment ratings to the Russian clubs. In a similar manner, recommendations as to how practical funding examples from European clubs may be adapted and followed in the Russian context are described. By comparison and contrast, likely candidates among Russian clubs for similar economic strategies are identified. The sources of information utilised for this process include annual reports from European football clubs, research studies, and academic articles, along with any available contextual information on Russian clubs.The study was limited by the secrecy of reporting in Russian football and the weak financial position of most Russian clubs, which restricts their funding opportunities. However, despite the special development model of domestic Russian football and the harsh economic conditions, the proposals formulated in this work can be implemented into the practical activity of any club, regardless its scale and can contribute to improving financial sustainability, competitive results and the integrated development of Russian clubs. The methods proposed can act as a catalyst for the gradual corporatisation of Russian football clubs and will be of interest to investors, business analysts, economic scientists and football fans alike.
SSRN
In Europe, most football clubs have long been positioned as business projects, which are active in financial markets and apply various funding tools. The 2018 FIFA World Cup inspired a new wave of interest in Russian football and created attractive conditions for applying new funding tools. The specifics of the economy surrounding sports development in Russia have led to a situation whereby most sports clubs depend on limited apportionments of budgetary funds, and require novel sources of additional funding for different development purposes, e.g. constructing stadiums, training grounds, youth academies and everyday operations.The aim of this research is to examine the best foreign practice in the field of attracting funding by sports clubs and propose adaptations for Russian conditions. This work presents a practice-oriented review of the most modern funding tools used in football, and analyses the capital structure of European football clubs, their funding policies and preferences.The competitive level of the European and Russian clubs, their relative financial capabilities, and their development prospects were considered, and the analytical mapping process ascribed prospective investment ratings to the Russian clubs. In a similar manner, recommendations as to how practical funding examples from European clubs may be adapted and followed in the Russian context are described. By comparison and contrast, likely candidates among Russian clubs for similar economic strategies are identified. The sources of information utilised for this process include annual reports from European football clubs, research studies, and academic articles, along with any available contextual information on Russian clubs.The study was limited by the secrecy of reporting in Russian football and the weak financial position of most Russian clubs, which restricts their funding opportunities. However, despite the special development model of domestic Russian football and the harsh economic conditions, the proposals formulated in this work can be implemented into the practical activity of any club, regardless its scale and can contribute to improving financial sustainability, competitive results and the integrated development of Russian clubs. The methods proposed can act as a catalyst for the gradual corporatisation of Russian football clubs and will be of interest to investors, business analysts, economic scientists and football fans alike.
Duration Risks of Value-at-Risk
SSRN
Since borrowers want minimal pressure to repay early while depositors want minimal constraints on withdrawals, banks typically borrow short to lend long. This is known as duration mismatch. To mitigate the risks, banks are required to hold capital buffers, which are intended to cover all losses from default nearly all of the time. A favored threshold is 99.9% per year, or one breach expected per thousand years. The capital needed to provide this protection is known as Value at Risk or VaR.Unfortunately, major breaches of VaR occur far more often than standard models predict. The latter focus too much on outliers given static risks and not enough on the possibility that risks themselves are perceived to surge. For long duration credit bonds, the markdowns on pessimistic shifts in expectations can greatly outweigh the direct impact of a spurt in defaults.Standard capital buffers cannot reliably cover these markdowns. Readjusting buffer requirements to duration and forecasts of future risks is fraught with estimation error and bound to induce regulatory arbitrage. The simplest remedy with the least moral hazard would limit duration mismatch.
SSRN
Since borrowers want minimal pressure to repay early while depositors want minimal constraints on withdrawals, banks typically borrow short to lend long. This is known as duration mismatch. To mitigate the risks, banks are required to hold capital buffers, which are intended to cover all losses from default nearly all of the time. A favored threshold is 99.9% per year, or one breach expected per thousand years. The capital needed to provide this protection is known as Value at Risk or VaR.Unfortunately, major breaches of VaR occur far more often than standard models predict. The latter focus too much on outliers given static risks and not enough on the possibility that risks themselves are perceived to surge. For long duration credit bonds, the markdowns on pessimistic shifts in expectations can greatly outweigh the direct impact of a spurt in defaults.Standard capital buffers cannot reliably cover these markdowns. Readjusting buffer requirements to duration and forecasts of future risks is fraught with estimation error and bound to induce regulatory arbitrage. The simplest remedy with the least moral hazard would limit duration mismatch.
ECB Language and Stock Returns â€" A Textual Analysis of ECB Press Conferences
SSRN
We examine how the language used by central bank officials in public press conferences influences stock returns in the euro area. In line with the concept of Odyssean Forward Guidance, we find that using constraining language to express policy commitment increases the effectiveness of Forward Guidance in times of unconventional monetary policy. In further analysis, we provide strong evidence that market participants interpret higher levels of uncertain language in the economic outlook as a sign of Delphic Forward Guidance, indicated by positive intraday stock returns. In addition, we find that in a period of high economic uncertainty, tone sensitivities of financial market participants increase as they find it hard to grasp the future path of monetary policy. Finally, by proposing a novel rule-based approach to identify forward-looking statements of ECB press conferences, we provide first evidence that forward-looking statements in the answers given by ECB officials in the Q&A Sessions significantly affect Euro area stock returns.
SSRN
We examine how the language used by central bank officials in public press conferences influences stock returns in the euro area. In line with the concept of Odyssean Forward Guidance, we find that using constraining language to express policy commitment increases the effectiveness of Forward Guidance in times of unconventional monetary policy. In further analysis, we provide strong evidence that market participants interpret higher levels of uncertain language in the economic outlook as a sign of Delphic Forward Guidance, indicated by positive intraday stock returns. In addition, we find that in a period of high economic uncertainty, tone sensitivities of financial market participants increase as they find it hard to grasp the future path of monetary policy. Finally, by proposing a novel rule-based approach to identify forward-looking statements of ECB press conferences, we provide first evidence that forward-looking statements in the answers given by ECB officials in the Q&A Sessions significantly affect Euro area stock returns.
Examining the drivers of business cycle divergence between Euro Area and Romania
arXiv
arXiv
This research aims to provide an explanatory analyses of the business cycles divergence between Euro Area and Romania, respectively its drivers, since the synchronisation of output-gaps is one of the most important topic in the context of a potential EMU accession. According to the estimates, output-gaps synchronisation entered on a downward path in the subperiod 2010-2017, compared to 2002-2009. The paper demonstrates there is a negative relationship between business cycles divergence and three factors (economic structure convergence, wage structure convergence and economic openness), but also a positive relationship between it and its autoregressive term, respectively the GDP per capita convergence.
Financial Reporting Standards for Firms That Can Gather and Disclose Private Information
SSRN
The aim of general purpose financial reporting is to provide information that is useful to investors, lenders, and other creditors. With this goal, regulators have tended to mandate increased disclosure. We show that increased mandatory disclosure can weaken a firm's incentive to acquire and voluntarily disclose private information that is not amenable to inclusion in mandated reports. Specifically, we provide conditions under which a regulator, seeking to maximize the total amount of information provided to investors via both mandatory and voluntary disclosures, would mandate less informative financial reports even in the absence of any direct costs of increasing informativeness. We show that this result is robust to allowing the firm to make reports more informative and to imposing a nondisclosure cost or penalty on the firm. These results and comparative statics analysis contribute to our understanding of potential interactions between mandatory reporting and voluntary disclosure, and demonstrate a novel benefit to setting accounting standards that mandate imperfectly informative reports.
SSRN
The aim of general purpose financial reporting is to provide information that is useful to investors, lenders, and other creditors. With this goal, regulators have tended to mandate increased disclosure. We show that increased mandatory disclosure can weaken a firm's incentive to acquire and voluntarily disclose private information that is not amenable to inclusion in mandated reports. Specifically, we provide conditions under which a regulator, seeking to maximize the total amount of information provided to investors via both mandatory and voluntary disclosures, would mandate less informative financial reports even in the absence of any direct costs of increasing informativeness. We show that this result is robust to allowing the firm to make reports more informative and to imposing a nondisclosure cost or penalty on the firm. These results and comparative statics analysis contribute to our understanding of potential interactions between mandatory reporting and voluntary disclosure, and demonstrate a novel benefit to setting accounting standards that mandate imperfectly informative reports.
Generating Trading Signals by ML algorithms or time series ones?
arXiv
arXiv
This research investigates efficiency on-line learning Algorithms to generate trading signals.I employed technical indicators based on high frequency stock prices and generated trading signals through ensemble of Random Forests. Similarly, Kalman Filter was used for signaling trading positions. Comparing Time Series methods with Machine Learning methods, results spurious of Kalman Filter to Random Forests in case of on-line learning predictions of stock prices
IITK at the FinSim Task: Hypernym Detection in Financial Domain via Context-Free and Contextualized Word Embeddings
arXiv
arXiv
In this paper, we present our approaches for the FinSim 2020 shared task on "Learning Semantic Representations for the Financial Domain". The goal of this task is to classify financial terms into the most relevant hypernym (or top-level) concept in an external ontology. We leverage both context-dependent and context-independent word embeddings in our analysis. Our systems deploy Word2vec embeddings trained from scratch on the corpus (Financial Prospectus in English) along with pre-trained BERT embeddings. We divide the test dataset into two subsets based on a domain rule. For one subset, we use unsupervised distance measures to classify the term. For the second subset, we use simple supervised classifiers like Naive Bayes, on top of the embeddings, to arrive at a final prediction. Finally, we combine both the results. Our system ranks 1st based on both the metrics, i.e., mean rank and accuracy.
Indifference pricing of pure endowments via BSDEs under partial information
arXiv
arXiv
In this paper we investigate the pricing problem of a pure endowment contract when the insurer has a limited information on the mortality intensity of the policyholder. The payoff of this kind of policies depends on the residual life time of the insured as well as the trend of a portfolio traded in the financial market, where investments in a riskless asset, a risky asset and a longevity bond are allowed. We propose a modeling framework that takes into account mutual dependence between the financial and the insurance markets via an observable stochastic process, which affects the risky asset and the mortality index dynamics. Since the market is incomplete due to the presence of basis risk, in alternative to arbitrage pricing we use expected utility maximization under exponential preferences as evaluation approach, which leads to the so-called indifference price. Under partial information this methodology requires filtering techniques that can reduce the original control problem to an equivalent problem in complete information. Using stochastic dynamics techniques, we characterize the indifference price of the insurance derivative via the solutions of suitable backward stochastic differential equations.
Industry Concentration and Venture Capital Flows around the World
SSRN
This paper explores the relationship between the international venture capital (VC) activity and industry concentration levels in the countries of investors (origins) and those of target companies (destinations). With the international sample of VC transactions covering 65 industries and 67 countries during 1980-2016, we find a significant positive association between the flow of cross-border VC investments and the difference in industrial concentration levels between the origin and destination countries. This result is robust to: (i) the inclusion of various control variables identified by the extant literature, (ii) inclusion/exclusion of the US-destined investments, and (iii) alternative estimation methods.
SSRN
This paper explores the relationship between the international venture capital (VC) activity and industry concentration levels in the countries of investors (origins) and those of target companies (destinations). With the international sample of VC transactions covering 65 industries and 67 countries during 1980-2016, we find a significant positive association between the flow of cross-border VC investments and the difference in industrial concentration levels between the origin and destination countries. This result is robust to: (i) the inclusion of various control variables identified by the extant literature, (ii) inclusion/exclusion of the US-destined investments, and (iii) alternative estimation methods.
Integrated Reporting and Capital Markets in an International Setting: The Role of Financial Analysts
SSRN
This article contributes to the literature studying the capital markets and corporate governance effects of Integrated Reporting (IR). In particular, building on voluntary disclosure and information processing theories, it hypothesizes and empirically finds that IR adoption is correlated with an improvement in analyst forecast accuracy. While most of previous studies focus on the South African context, we rely on an international sample that allows us studying the moderating effect of some country-level variables, such as enforcement and trust. We employ these results to derive interesting insights on the much-debated nature of IR.
SSRN
This article contributes to the literature studying the capital markets and corporate governance effects of Integrated Reporting (IR). In particular, building on voluntary disclosure and information processing theories, it hypothesizes and empirically finds that IR adoption is correlated with an improvement in analyst forecast accuracy. While most of previous studies focus on the South African context, we rely on an international sample that allows us studying the moderating effect of some country-level variables, such as enforcement and trust. We employ these results to derive interesting insights on the much-debated nature of IR.
Literature Review of Mergers and Acquisitions with the Aim to Obtain Technology and Knowledge
SSRN
The rapid digital and technological transformation of the economy is pushing companies to create or improve their technological capabilities. One way to acquire the technology and knowledge that allows companies to maintain competitiveness is through the process of mergers and acquisitions (M&A). The topic of M&A deals which are primarily motivated by the obtaining of new technologies and knowledge is the subject of a large number of studies. The contradictory results in studies of such ‘technological’ M&A transactions can be explained by gaps in the empirical analyses or the weakness of the theoretical knowledge.The purpose of this study is to review the theoretical works on the effectiveness of technological M&A transactions, and to identify the main trends in this area. In particular, by analysis of the existing academic literature, the motives behind these M&A deals are identified. In order to identify the relevant key determinants of the effectiveness of technological M&A transactions, the motives of traditional M&A transactions were also examined in relation to applicable market and sectoral variables. Further, technological overlaps between the parties to M&A transactions is examined within the empirical studies in this field, and the interrelations between levels of R&D expenditure, innovative activity, and company efficiency are described.The results of this analysis reveal that technological similarities between acquiring and acquired companies have a positive effect on the reaction of investors and on the effectiveness of an M&A transaction. However, such similarities negatively influence the overall effectiveness of the buyer company. The level of R&D expenses and innovative activity demonstrate inconsistent results with regard to companies’ performance. Other factors that have direct or indirect impacts on the integration between companies were shown to have contradictory results on both parties of a deal.Based on the existing literature, it is shown that the effectiveness of technological and knowledge-based M&A transactions is associated with uncertainty for investors. This is due to the risks of such transactions in different sectors of the economy, the motives of managers and the characteristics of the parties of the transactions.The novelty of this paper is represented by its concise presentation of technology’s influence in this specialised area of business and economics. This work consolidates the conclusions of the extant scientific literature in a forthright manner in this increasingly relevant field of study. The data presented herein will be of utility to academics, student, and professionals in the field of M&A deals.
SSRN
The rapid digital and technological transformation of the economy is pushing companies to create or improve their technological capabilities. One way to acquire the technology and knowledge that allows companies to maintain competitiveness is through the process of mergers and acquisitions (M&A). The topic of M&A deals which are primarily motivated by the obtaining of new technologies and knowledge is the subject of a large number of studies. The contradictory results in studies of such ‘technological’ M&A transactions can be explained by gaps in the empirical analyses or the weakness of the theoretical knowledge.The purpose of this study is to review the theoretical works on the effectiveness of technological M&A transactions, and to identify the main trends in this area. In particular, by analysis of the existing academic literature, the motives behind these M&A deals are identified. In order to identify the relevant key determinants of the effectiveness of technological M&A transactions, the motives of traditional M&A transactions were also examined in relation to applicable market and sectoral variables. Further, technological overlaps between the parties to M&A transactions is examined within the empirical studies in this field, and the interrelations between levels of R&D expenditure, innovative activity, and company efficiency are described.The results of this analysis reveal that technological similarities between acquiring and acquired companies have a positive effect on the reaction of investors and on the effectiveness of an M&A transaction. However, such similarities negatively influence the overall effectiveness of the buyer company. The level of R&D expenses and innovative activity demonstrate inconsistent results with regard to companies’ performance. Other factors that have direct or indirect impacts on the integration between companies were shown to have contradictory results on both parties of a deal.Based on the existing literature, it is shown that the effectiveness of technological and knowledge-based M&A transactions is associated with uncertainty for investors. This is due to the risks of such transactions in different sectors of the economy, the motives of managers and the characteristics of the parties of the transactions.The novelty of this paper is represented by its concise presentation of technology’s influence in this specialised area of business and economics. This work consolidates the conclusions of the extant scientific literature in a forthright manner in this increasingly relevant field of study. The data presented herein will be of utility to academics, student, and professionals in the field of M&A deals.
Mandatory IFRS Adoption, Corporate Governance and Firm Value
SSRN
We study whether financial and accounting disclosure affect firm value, by focusing on the adoption of the full International Financial Reporting Standards (IFRS) in Brazil in 2010. We claim that Brazil is a unique and ideal scenario to investigate this issue, because the country adopted IFRS in a shorter period compared to other economies, and its firms presented ex-ante cross-sectional heterogeneity in accounting quality. With a sample of Brazilian publicly-listed firms from 2004 to 2015 we use a diff-in-diff and propensity score matching techniques to compare firms with ex-ante lower quality of accounting (firms in the Regular and Level 1 tiers of corporate governance) with otherwise-similar firms that already complied with higher-quality accounting standards (firms in the Level 2 and Novo Mercado tiers) before the mandatory adoption of IFRS.
SSRN
We study whether financial and accounting disclosure affect firm value, by focusing on the adoption of the full International Financial Reporting Standards (IFRS) in Brazil in 2010. We claim that Brazil is a unique and ideal scenario to investigate this issue, because the country adopted IFRS in a shorter period compared to other economies, and its firms presented ex-ante cross-sectional heterogeneity in accounting quality. With a sample of Brazilian publicly-listed firms from 2004 to 2015 we use a diff-in-diff and propensity score matching techniques to compare firms with ex-ante lower quality of accounting (firms in the Regular and Level 1 tiers of corporate governance) with otherwise-similar firms that already complied with higher-quality accounting standards (firms in the Level 2 and Novo Mercado tiers) before the mandatory adoption of IFRS.
Methods of Calculation of Expected Credit Losses Under Requirements of IFRS 9
SSRN
The most important area of work for financial market regulators, including the International Accounting Standards Board, is the clarification of the metrics of credit assessment. At the time of the financial crisis of 2008, credit losses on financial instruments were taken into account by the "loss model", and therefore, assets were recognized as financially impaired where credit quality deterioration and significant time lags were factors. However, since 1st January 2018, a new international financial reporting standard IFRS9 has been instituted.IFRS 9 is based on a different approach â€" the principle of "expected credit losses" (ECL). This new business model radically changes the approach to the formation of reserves, including by taking into account the impact of macroeconomic indicators on their value. According to various estimates, the scale of increase in reserves ranges from 30% to 50%.The purpose of this article is to systematize the methodological principles and approaches that underlie the requirements of IFRS 9, as well as to perform a comparison of the main methods for assessing the probability of default and expected credit losses. Additionally, a comparative assessment of the Weilbull distribution, Migration matrices, and Generator matrix models of the default probability assessment methods were performed in order to analyse the interrelations between analytical methodologies, and to further inform the evaluation.In the framework of this article, we articulate and examine the criteria for the transfer of assets between the stages of credit risk. We also present finalized formulations of the principles for calculating expected credit risks for different assessment stages, illustrating how macroeconomic factors may be taken into account. Finally, we introduced relevant criteria for defining transfers of assets from stage to stage, and evaluated probability of default on the basis of extrapolation by the exponential curve method.The novelty of this research is the value of our straightforward description of methodological principles of the IFRS 9. We offer practical solutions that promise to enhance banking practices. We not only present analyses of the fundamental methodologies inherent in the IFRS 9, but highlight the modes by which they intend to strengthen the banking system by increasing reserves and shoring up institutional reliability. The methodologies outlined herein can also be used to improve credit risk management models, and students of finance and theoretical economics will find useful breakdowns of the most salient information necessary to understanding this change in approach to credit assessment.
SSRN
The most important area of work for financial market regulators, including the International Accounting Standards Board, is the clarification of the metrics of credit assessment. At the time of the financial crisis of 2008, credit losses on financial instruments were taken into account by the "loss model", and therefore, assets were recognized as financially impaired where credit quality deterioration and significant time lags were factors. However, since 1st January 2018, a new international financial reporting standard IFRS9 has been instituted.IFRS 9 is based on a different approach â€" the principle of "expected credit losses" (ECL). This new business model radically changes the approach to the formation of reserves, including by taking into account the impact of macroeconomic indicators on their value. According to various estimates, the scale of increase in reserves ranges from 30% to 50%.The purpose of this article is to systematize the methodological principles and approaches that underlie the requirements of IFRS 9, as well as to perform a comparison of the main methods for assessing the probability of default and expected credit losses. Additionally, a comparative assessment of the Weilbull distribution, Migration matrices, and Generator matrix models of the default probability assessment methods were performed in order to analyse the interrelations between analytical methodologies, and to further inform the evaluation.In the framework of this article, we articulate and examine the criteria for the transfer of assets between the stages of credit risk. We also present finalized formulations of the principles for calculating expected credit risks for different assessment stages, illustrating how macroeconomic factors may be taken into account. Finally, we introduced relevant criteria for defining transfers of assets from stage to stage, and evaluated probability of default on the basis of extrapolation by the exponential curve method.The novelty of this research is the value of our straightforward description of methodological principles of the IFRS 9. We offer practical solutions that promise to enhance banking practices. We not only present analyses of the fundamental methodologies inherent in the IFRS 9, but highlight the modes by which they intend to strengthen the banking system by increasing reserves and shoring up institutional reliability. The methodologies outlined herein can also be used to improve credit risk management models, and students of finance and theoretical economics will find useful breakdowns of the most salient information necessary to understanding this change in approach to credit assessment.
Options and Risk
SSRN
We propose a parsimonious general equilibrium extension of the Black-Scholes economy that helps clarify how options' prices, expected returns, risk exposure, and optimal exercise policies respond to variations in the risk exposure of the underlying asset. The model allows one to separate the effects from changes in idiosyncratic versus systematic risk. Among the new insights we establish are that i) call prices typically respond negatively to increases in systematic risk, ii) the magnitude of call and put options' expected returns are monotonically decreasing in idiosyncratic risk, and iii) the optimal exercise date of an American put can be pushed backwards in time in response to an increase in systematic risk---decreasing the value of waiting. The effects of a change in risk on options are generally ambiguous because it affects their prices through two key channels---the volatility channel and the price channel---and a change in systematic risk causes a repricing of the underlying asset that may dominate the volatility channel. The comparative statics are robust to the presence of stochastic volatility, and thus yield internally consistent implications not only for the cross-section of options but also for the time-series of a particular option.
SSRN
We propose a parsimonious general equilibrium extension of the Black-Scholes economy that helps clarify how options' prices, expected returns, risk exposure, and optimal exercise policies respond to variations in the risk exposure of the underlying asset. The model allows one to separate the effects from changes in idiosyncratic versus systematic risk. Among the new insights we establish are that i) call prices typically respond negatively to increases in systematic risk, ii) the magnitude of call and put options' expected returns are monotonically decreasing in idiosyncratic risk, and iii) the optimal exercise date of an American put can be pushed backwards in time in response to an increase in systematic risk---decreasing the value of waiting. The effects of a change in risk on options are generally ambiguous because it affects their prices through two key channels---the volatility channel and the price channel---and a change in systematic risk causes a repricing of the underlying asset that may dominate the volatility channel. The comparative statics are robust to the presence of stochastic volatility, and thus yield internally consistent implications not only for the cross-section of options but also for the time-series of a particular option.
Phase separation and scaling in correlation structures of financial markets
arXiv
arXiv
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena, as do the influential stocks (leaders) and sectors (communities), during market events like crashes. It is crucial to detect their signatures for timely intervention or prevention. Here we use eigenvalue decomposition and eigen-entropy, computed from eigen-centralities of different stocks in the cross-correlation matrix, to extract information about the disorder in the market. We construct a `phase space', where different market events (bubbles, crashes, etc.) undergo phase separation and display order-disorder transitions. An entropy functional exhibits scaling behavior. We propose a generic indicator that facilitates the continuous monitoring of the internal structure of the market -- important for managing risk and stress-testing the financial system. Our methodology would help in understanding and foreseeing tipping points or fluctuation patterns in complex systems.
Private Equity: Where We Have Been and the Road Ahead
SSRN
We provide an overview of the systematic evidence relating to the impact of private equity (PE) backed buyouts over the last two decades. We focus on performance; employment and employee relations; innovation, investment and entrepreneurship; longevity and survival. We also explore a future research agenda in the context of a maturing PE industry.
SSRN
We provide an overview of the systematic evidence relating to the impact of private equity (PE) backed buyouts over the last two decades. We focus on performance; employment and employee relations; innovation, investment and entrepreneurship; longevity and survival. We also explore a future research agenda in the context of a maturing PE industry.
Rational Myopia in Credit Markets
SSRN
Like equity markets, credit markets seem chronically short-sighted. When debt is serviced regularly, creditors seem to get complacent about the risks. When default shocks them out of complacency, they seem to overreact. Reinhart and Rogoff (2009) contended that sovereign debt markets have been especially prone to understate mounting default risks as long as debts are being serviced.The main manifestation of myopia is a large jump in credit spreads on news of related default. It is impossible to reconcile such jumps with rational learning about stable risks. However, when risks are not expected to be stable, rational agents will focus disproportionately on recent news, since old news might have ceased to be relevant. When a model of rational learning is fit to historical evidence on corporate and sovereign defaults, markets alternate between long periods of calm with low spreads and shorter periods of turbulence with generally higher spreads. The contrasts are especially sharp for sovereign debt because the relevant pool size is much smaller. While this does not prove that debt markets behave rationally, it shows that extended oscillations in credit spreads, alternation of calm and turbulence, and occasional large jumps do not inherently signal irrationality.
SSRN
Like equity markets, credit markets seem chronically short-sighted. When debt is serviced regularly, creditors seem to get complacent about the risks. When default shocks them out of complacency, they seem to overreact. Reinhart and Rogoff (2009) contended that sovereign debt markets have been especially prone to understate mounting default risks as long as debts are being serviced.The main manifestation of myopia is a large jump in credit spreads on news of related default. It is impossible to reconcile such jumps with rational learning about stable risks. However, when risks are not expected to be stable, rational agents will focus disproportionately on recent news, since old news might have ceased to be relevant. When a model of rational learning is fit to historical evidence on corporate and sovereign defaults, markets alternate between long periods of calm with low spreads and shorter periods of turbulence with generally higher spreads. The contrasts are especially sharp for sovereign debt because the relevant pool size is much smaller. While this does not prove that debt markets behave rationally, it shows that extended oscillations in credit spreads, alternation of calm and turbulence, and occasional large jumps do not inherently signal irrationality.
Semiparametric Estimation of Latent Variable Asset Pricing Models
SSRN
This paper studies semi-parametric identification and estimation of the stochastic discount factor in consumption-based asset pricing models with latent state variables. The measurement equations for consumption and dividend shares are specified non-parametrically to allow for robust updating of the Markovian states describing the aggregate growth distribution. For the special case of affine state dynamics and polynomial approximation of the measurement equations, we derive rank conditions for identification, tractable filtering algorithms for likelihood estimation, and closed-form expressions for risk premia and return volatility. Empirically, we find sizable non-linearities and interactions in the impact of shocks to expected growth and volatility on the consumption share and the discount factor, that help explain the divergence between macroeconomic and stock market volatility.
SSRN
This paper studies semi-parametric identification and estimation of the stochastic discount factor in consumption-based asset pricing models with latent state variables. The measurement equations for consumption and dividend shares are specified non-parametrically to allow for robust updating of the Markovian states describing the aggregate growth distribution. For the special case of affine state dynamics and polynomial approximation of the measurement equations, we derive rank conditions for identification, tractable filtering algorithms for likelihood estimation, and closed-form expressions for risk premia and return volatility. Empirically, we find sizable non-linearities and interactions in the impact of shocks to expected growth and volatility on the consumption share and the discount factor, that help explain the divergence between macroeconomic and stock market volatility.
Social Connections Between Media and Firm Executives and the Properties of Media Reporting
SSRN
We study how social connections between top executives of media and listed firms affect the properties of media reporting. We find that socially connected media are significantly more likely to cover a firm than their unconnected counterparts. Their reporting is significantly more optimistically toned and contains significantly less information, and both of these effects are significantly mitigated when the firm has better information environment as represented by greater analyst coverage and larger firm size. Additional analyses show that characteristics of the underlying news, firm, or media also affect the effects of social connections on media reporting properties. Collectively, our evidence suggests the impairment of media independence when media and firms have social connections and the importance of alternative information sources in mitigating this effect.
SSRN
We study how social connections between top executives of media and listed firms affect the properties of media reporting. We find that socially connected media are significantly more likely to cover a firm than their unconnected counterparts. Their reporting is significantly more optimistically toned and contains significantly less information, and both of these effects are significantly mitigated when the firm has better information environment as represented by greater analyst coverage and larger firm size. Additional analyses show that characteristics of the underlying news, firm, or media also affect the effects of social connections on media reporting properties. Collectively, our evidence suggests the impairment of media independence when media and firms have social connections and the importance of alternative information sources in mitigating this effect.
Style Factors in Emerging Asian Government Bond Markets
SSRN
This article is an abridged version of our working paper “Style Factors in Asian Government Bond Markets†(Lim & Lioui, 2020), where we examine the yield curve dynamics and premia in the China, India and Indonesia local currency government debt markets through the lens of Value, Carry and Momentum.
SSRN
This article is an abridged version of our working paper “Style Factors in Asian Government Bond Markets†(Lim & Lioui, 2020), where we examine the yield curve dynamics and premia in the China, India and Indonesia local currency government debt markets through the lens of Value, Carry and Momentum.
The Causal Effects of R&D Grants: Evidence from a Regression Discontinuity
SSRN
Direct public support for business R&D is a well-established remedy to market failures, yet empirical evidence on its effectiveness yields conflicting results. The paper investigates the impact of the first European public R&D grant program targeting small and medium enterprises (i.e. the SME Instrument) on a wide range of firm outcomes. We leverage the assignment mechanisms of the policy and employ a sharp regression discontinuity design to provide the broadest quasi- experimental evidence on R&D grants over both geographical and sectoral scopes. Results show that grants trigger sizable impacts. They increase investment, notably in intangibles, and innovation outcomes as measured by cite-weighted patents; they trigger faster growth in assets, employment and revenues; they lead to higher likelihood of receiving follow-on equity financing and lower failure chances. These effects tend to be larger for firms that are smaller and younger, or operating in sectors characterized by higher financial frictions. Furthermore, responses are stronger in countries and regions with lower economic development. The paper provides extensive evidence that the beneficial effects of R&D grants materialize through funding rather than certification effects.
SSRN
Direct public support for business R&D is a well-established remedy to market failures, yet empirical evidence on its effectiveness yields conflicting results. The paper investigates the impact of the first European public R&D grant program targeting small and medium enterprises (i.e. the SME Instrument) on a wide range of firm outcomes. We leverage the assignment mechanisms of the policy and employ a sharp regression discontinuity design to provide the broadest quasi- experimental evidence on R&D grants over both geographical and sectoral scopes. Results show that grants trigger sizable impacts. They increase investment, notably in intangibles, and innovation outcomes as measured by cite-weighted patents; they trigger faster growth in assets, employment and revenues; they lead to higher likelihood of receiving follow-on equity financing and lower failure chances. These effects tend to be larger for firms that are smaller and younger, or operating in sectors characterized by higher financial frictions. Furthermore, responses are stronger in countries and regions with lower economic development. The paper provides extensive evidence that the beneficial effects of R&D grants materialize through funding rather than certification effects.
The Dynamics of Earnings Management in IPOs and the Role of Venture Capital
SSRN
We investigate the dynamics of earnings management (EM) in IPOs and the role of venture capitalist (VC) in hampering such practice. We study the behavior of EM in four phases: Pre-IPO, IPO, Lock-up and Post-lock-up. We find that VC-sponsored firms tend to do more EM in the Pre-IPO period, and less in two subsequent periods. These results are distinct for those of Wongsunwai (2013), for which, VC-sponsored firms do less EM only in the IPO period. We also find that VC and non-VC-sponsored firms do EM around the IPO in distinct fashions. Non-VC-sponsored firms inflate earnings during the IPO period and deflate in the Lock-up and Post-lock-up periods. VC-sponsored firms inflate earnings in the Pre-IPO period and deflate earnings only in the Lock-up period. Our results are robust with respect to how one measures EM and the statistical methods used.
SSRN
We investigate the dynamics of earnings management (EM) in IPOs and the role of venture capitalist (VC) in hampering such practice. We study the behavior of EM in four phases: Pre-IPO, IPO, Lock-up and Post-lock-up. We find that VC-sponsored firms tend to do more EM in the Pre-IPO period, and less in two subsequent periods. These results are distinct for those of Wongsunwai (2013), for which, VC-sponsored firms do less EM only in the IPO period. We also find that VC and non-VC-sponsored firms do EM around the IPO in distinct fashions. Non-VC-sponsored firms inflate earnings during the IPO period and deflate in the Lock-up and Post-lock-up periods. VC-sponsored firms inflate earnings in the Pre-IPO period and deflate earnings only in the Lock-up period. Our results are robust with respect to how one measures EM and the statistical methods used.
The Effect of Behavioural Strategy on the Financial Stability of Insurers in the Russian Market Environment
SSRN
When assessing business goals, an insurance company is forced to consider the diverse interests of various stakeholders, who might be considered to resemble a kind of informal coalition. Such stakeholders may be less than cooperative, with conflicting and even competing interests. However, such interested parties should be considered as a unified whole, the contradictory components of which define the composition of an organisation’s path of development.Based on the stakeholder theory and the resource-based concept of competitiveness, this article analyses the optimal communication behavior of insurance providers in the Russian market. This is aimed towards building an equivalent system for the exchange of resources with their stakeholders, with the manner of such exchange depending on the significance of these acquirable resources. The subject of this study is a way towards accessible resources, one that implies the setting of an adequate exchange price for the most significant resources. In the insurance market, these resources are represented by insurance premiums.The nature of cause-and-effect relationships between macro factors and financially stable companies in the insurance industry was defined, impacts on the current system of relationships in the insurance business are identified. Statistical data on the Russian insurance market situation was established and compared in graphic format, ll of which results serve as data to inform a novel ‘resource exchange’ model.The novelty of this analysis is evident by the straightforward utility of the results of technical analyses, which have relevance to stakeholders in both the public and private sectors. This study touches upon the cultural impact of the insurance business in Russia and reveals the focus of top management during periods of growth and decline in the market. Further, the article articulates the pressing argument that a non-equivalent insurer-stakeholder exchange problem can be solved by establishing a strategic state program for the development of the insurance industry. This can help to lay foundations not only for compulsory insurance, but for the statutory regulation of non-compulsory insurance. As such, these conclusions will also be of interest to those in the fields stretching from social policy to economics to government administration. Finally, insurance companies can adopt the present findings as a framework for strategic risk management, regardless of their business scale and territorial affiliation.
SSRN
When assessing business goals, an insurance company is forced to consider the diverse interests of various stakeholders, who might be considered to resemble a kind of informal coalition. Such stakeholders may be less than cooperative, with conflicting and even competing interests. However, such interested parties should be considered as a unified whole, the contradictory components of which define the composition of an organisation’s path of development.Based on the stakeholder theory and the resource-based concept of competitiveness, this article analyses the optimal communication behavior of insurance providers in the Russian market. This is aimed towards building an equivalent system for the exchange of resources with their stakeholders, with the manner of such exchange depending on the significance of these acquirable resources. The subject of this study is a way towards accessible resources, one that implies the setting of an adequate exchange price for the most significant resources. In the insurance market, these resources are represented by insurance premiums.The nature of cause-and-effect relationships between macro factors and financially stable companies in the insurance industry was defined, impacts on the current system of relationships in the insurance business are identified. Statistical data on the Russian insurance market situation was established and compared in graphic format, ll of which results serve as data to inform a novel ‘resource exchange’ model.The novelty of this analysis is evident by the straightforward utility of the results of technical analyses, which have relevance to stakeholders in both the public and private sectors. This study touches upon the cultural impact of the insurance business in Russia and reveals the focus of top management during periods of growth and decline in the market. Further, the article articulates the pressing argument that a non-equivalent insurer-stakeholder exchange problem can be solved by establishing a strategic state program for the development of the insurance industry. This can help to lay foundations not only for compulsory insurance, but for the statutory regulation of non-compulsory insurance. As such, these conclusions will also be of interest to those in the fields stretching from social policy to economics to government administration. Finally, insurance companies can adopt the present findings as a framework for strategic risk management, regardless of their business scale and territorial affiliation.
The Effect of Young People Not In Employment, Education or Training, On Poverty Rate in European Union
arXiv
arXiv
This paper aims to estimate the effect of young people who are not in employment, education or training (neets rate) on the people at risk of poverty rate in the European Union. Statistical data covering the 2010-2016 period for all EU-28 Member States have been used. Regarding the methodology, the study was performed by using Panel Estimated Generalized Least Squares method, weighted by Period SUR option. The effect of neets rate on poverty rate proved to be positive and statistically significant in European Union, since this indicator includes two main areas which are extremely relevant for poverty dimension. Firstly, young unemployment rate was one of the main channels through which the financial crisis has affected the population income. Secondly, it accounts for the educational system coverage and its skills deficiencies.
The Extension of the Modified Jones Model With Control Variables: Empirical Finds From the Brazilian Capital Market
SSRN
The development of accruals models in earnings managements allowed several studies in this area. However, reviews regarding these approaches revealed their weakness related to the control of the sample diversity. In this context, the primary purpose of this study was to analyze how the inclusion of control variables proposed in the literature could improve the robustness of the modified Jones model in the Brazilian stock markets. To identify the most prominent control variables, we reviewed 84 manuscripts, which indicated us the six common control variables employed in accruals models with this purpose: ROA (Return on Assets), Book to Market (BTM), Industry, Financial Leverage, Size, and Timeliness. From this review, we tested the controls in a panel-data with a sample of 8,600 firm-observations collected from the Brazilian public companies on a quarterly frequency between 1999 and 2009. We selected the Brazilian capital market due to its concentration on a few public companies that composed this market. It is important to mention that we did not include years after 2009 due to the Brazilian IFRS adoption. Our results indicate that ROA, BTM, Market Segment and Timeliness were statistically significant, showing an increase in the finds robustness. Other variables did not present significance.
SSRN
The development of accruals models in earnings managements allowed several studies in this area. However, reviews regarding these approaches revealed their weakness related to the control of the sample diversity. In this context, the primary purpose of this study was to analyze how the inclusion of control variables proposed in the literature could improve the robustness of the modified Jones model in the Brazilian stock markets. To identify the most prominent control variables, we reviewed 84 manuscripts, which indicated us the six common control variables employed in accruals models with this purpose: ROA (Return on Assets), Book to Market (BTM), Industry, Financial Leverage, Size, and Timeliness. From this review, we tested the controls in a panel-data with a sample of 8,600 firm-observations collected from the Brazilian public companies on a quarterly frequency between 1999 and 2009. We selected the Brazilian capital market due to its concentration on a few public companies that composed this market. It is important to mention that we did not include years after 2009 due to the Brazilian IFRS adoption. Our results indicate that ROA, BTM, Market Segment and Timeliness were statistically significant, showing an increase in the finds robustness. Other variables did not present significance.
The Impact of Currency Risk on Firm’s Value in Emerging Countries
SSRN
This study is dedicated to estimating the impact of currency risk on the cost of equity in Brazil, Russia, India and South Africa. Our contribution to the literature is that we obtain further evidence on pricing of exchange rate risk in developing countries which for now is quite scarce. These motivates our research which is dedicated to BRICS capital markets with Chinese stock market excluded since it is heavily regulated. The aim of the research is to determine whether in emerging countries stock markets currency risk is a significant factor that influence cost of equity capital of a company.Changes in the value of exchange rate can impact cash flows of a firm and their riskiness, hence, the value of the company. In our research we will discuss the influence of exchange rate movements on the value of the firm through their impact on the cost of equity. Specifically, we investigate whether companies that report substantial currency gains or losses have to pay a higher required return on equity. Furthermore, in this study we take an attempt to estimate currency risk premia for exposure to appreciation and depreciation of currency separately and identify possible differences.For each country three models that extend Fama-French Three Factor Model by incorporating currency risk are estimated. We used equal-weighted portfolio approach to construction currency risk factors. They are estimated using information about the ratio of currency gains to sales or the magnitude of covariation between equity returns and exchange rate changes. In the second case appreciation and depreciation of domestic currency against US dollar is considered separately.Results indicate that in Russia firms which report substantial currency losses pay a positive risk premium, while in Brazil, India and South Africa companies with significantly positive or negative currency gains pay a lower required return on equity than firms with almost zero currency gains. Finally, we are trying to explain estimation results using sectoral breakdown of product exports in each country of data sample.
SSRN
This study is dedicated to estimating the impact of currency risk on the cost of equity in Brazil, Russia, India and South Africa. Our contribution to the literature is that we obtain further evidence on pricing of exchange rate risk in developing countries which for now is quite scarce. These motivates our research which is dedicated to BRICS capital markets with Chinese stock market excluded since it is heavily regulated. The aim of the research is to determine whether in emerging countries stock markets currency risk is a significant factor that influence cost of equity capital of a company.Changes in the value of exchange rate can impact cash flows of a firm and their riskiness, hence, the value of the company. In our research we will discuss the influence of exchange rate movements on the value of the firm through their impact on the cost of equity. Specifically, we investigate whether companies that report substantial currency gains or losses have to pay a higher required return on equity. Furthermore, in this study we take an attempt to estimate currency risk premia for exposure to appreciation and depreciation of currency separately and identify possible differences.For each country three models that extend Fama-French Three Factor Model by incorporating currency risk are estimated. We used equal-weighted portfolio approach to construction currency risk factors. They are estimated using information about the ratio of currency gains to sales or the magnitude of covariation between equity returns and exchange rate changes. In the second case appreciation and depreciation of domestic currency against US dollar is considered separately.Results indicate that in Russia firms which report substantial currency losses pay a positive risk premium, while in Brazil, India and South Africa companies with significantly positive or negative currency gains pay a lower required return on equity than firms with almost zero currency gains. Finally, we are trying to explain estimation results using sectoral breakdown of product exports in each country of data sample.
The Impact of Diversification of Production Activities by Major Public Oil Companies on the Value of Their Shares
SSRN
This study aims to identify a system of factors that influence the market value of the largest oil companies. In order to create the most robust analysis with real-world applicability, we test several hypotheses which aim to establish those patterns of behavior and composition within oil company structures that interact most predictably with market trends and processes.To achieved this, we collected quarterly data on the 5 largest private oil companies (BP, Chevron, Exxon Mobil, Royal Dutch Shell, Total) for the period from Q1 2006 to Q3 2016. The financial indicators for these companies were calculated based on data from the Thomson Reuters Eikon database, as well as from the quarterly reports of the companies themselves. An econometric analysis using panel data was used to test hypotheses.The following results were revealed. First, the capital structure of the largest oil companies has a direct impact on the value of shares. Second, the increase in capital costs attributable to the downstream segment relative to total capital costs adversely affects the price of shares. Third, we discovered that with the growth of Tobin’s Q, the share price of the largest oil companies increases. It was also revealed that factors such as the conclusion of mergers and acquisitions, profitability in the downstream segment, and the dividend payout ratio were insignificant in the model.These results confirm that any study assessing the value of companies in the oil industry ought to evaluate influential variables affecting the capitalization of companies operating in both upstream and downstream segments, while also considering companies engaged in production in only one such segment. It is also imperative to conduct a separate analysis of the influence of factors on the capitalization of companies with respect to the prevailing trends in the oil market.The novelty of this study relates to the immediate applicability of the real-world data utilized. We focus on such fundamental econometric variables from market-leading companies as profit levels, returns on sales, debt burdens, capital costs, and the effects of mergers and acquisitions. These factors are relevant at every level of business and academic analysis in every commercial endeavor. As such our conclusions may be instantly implemented into business strategies, research, and economic analyses related to the oil industry as well as other markets. Additionally, since there are no significant discrepancies between our results and established academic consensus, our contributions require little further interpretation to be instrumental.
SSRN
This study aims to identify a system of factors that influence the market value of the largest oil companies. In order to create the most robust analysis with real-world applicability, we test several hypotheses which aim to establish those patterns of behavior and composition within oil company structures that interact most predictably with market trends and processes.To achieved this, we collected quarterly data on the 5 largest private oil companies (BP, Chevron, Exxon Mobil, Royal Dutch Shell, Total) for the period from Q1 2006 to Q3 2016. The financial indicators for these companies were calculated based on data from the Thomson Reuters Eikon database, as well as from the quarterly reports of the companies themselves. An econometric analysis using panel data was used to test hypotheses.The following results were revealed. First, the capital structure of the largest oil companies has a direct impact on the value of shares. Second, the increase in capital costs attributable to the downstream segment relative to total capital costs adversely affects the price of shares. Third, we discovered that with the growth of Tobin’s Q, the share price of the largest oil companies increases. It was also revealed that factors such as the conclusion of mergers and acquisitions, profitability in the downstream segment, and the dividend payout ratio were insignificant in the model.These results confirm that any study assessing the value of companies in the oil industry ought to evaluate influential variables affecting the capitalization of companies operating in both upstream and downstream segments, while also considering companies engaged in production in only one such segment. It is also imperative to conduct a separate analysis of the influence of factors on the capitalization of companies with respect to the prevailing trends in the oil market.The novelty of this study relates to the immediate applicability of the real-world data utilized. We focus on such fundamental econometric variables from market-leading companies as profit levels, returns on sales, debt burdens, capital costs, and the effects of mergers and acquisitions. These factors are relevant at every level of business and academic analysis in every commercial endeavor. As such our conclusions may be instantly implemented into business strategies, research, and economic analyses related to the oil industry as well as other markets. Additionally, since there are no significant discrepancies between our results and established academic consensus, our contributions require little further interpretation to be instrumental.
The Impact of Economic Policy Uncertainty on Capital Structure: Evidence from Russia
SSRN
This paper is a study of the influence of economic policy uncertainty on the capital structure of companies operating in the Russian market. The sample size is particularly notable (over 16,000 companies and 230,000 observations are included) insofar as previous studies have invariably used smaller selections due to the complexities of data processing. Several hypotheses are proposed and treated which concern the interrelations between company debt policies and the status of individual, sectoral, or industry relevant commercial activity, where the constant threat of economic uncertainty due to political or other external machinations affects the market.This research paper examines the following capital structure determinants: profitability, asset structure, company size, tax shield, non-debt tax shield, growth opportunity, and risk. The following methods are applied to test a series of nine hypotheses proposed as the most salient indicators of the present state of academic consensus: the Pool model (Pool), the fixed effect model (FE), and the random effect model (RE). In this context, the influence of economic uncertainty on the status of different debt types in 16,882 Russian companies between 2000 and 2017 was studied using the economic policy uncertainty index calculated in 2012.The results serve to confirm many of the extant hypotheses in the academic literature in the area of capital structural evaluation. For example, it is immediately apparent that the influence of uncertainty is of less significance for large companies as regards all types of debt (joint, short-term and long-term), due to their greater stability and lower risks for creditors. Among other conclusions, it is confirmed that as long as serious government participation is characteristic of the Russian banking system, the efficacy of the debt financing system is not equal for all sectors, and those sectors which are of strategic importance for the state are particularly resilient in troubled economic periods. However, interestingly, in the case of a short-term debt leverage such influence does not materialise.From a theoretical point of view this paper will be useful for researchers studying the fluctuating market conditions of developing or transitional markets (the large sample size will make this study particularly attractive for further evaluation at all levels of academic analysis). An understanding of the multivariate interrelations described in this paper may also be useful to company managers and investors who will gain insight into the consequences of fluctuations in levels of economic uncertainty for different types of companies.
SSRN
This paper is a study of the influence of economic policy uncertainty on the capital structure of companies operating in the Russian market. The sample size is particularly notable (over 16,000 companies and 230,000 observations are included) insofar as previous studies have invariably used smaller selections due to the complexities of data processing. Several hypotheses are proposed and treated which concern the interrelations between company debt policies and the status of individual, sectoral, or industry relevant commercial activity, where the constant threat of economic uncertainty due to political or other external machinations affects the market.This research paper examines the following capital structure determinants: profitability, asset structure, company size, tax shield, non-debt tax shield, growth opportunity, and risk. The following methods are applied to test a series of nine hypotheses proposed as the most salient indicators of the present state of academic consensus: the Pool model (Pool), the fixed effect model (FE), and the random effect model (RE). In this context, the influence of economic uncertainty on the status of different debt types in 16,882 Russian companies between 2000 and 2017 was studied using the economic policy uncertainty index calculated in 2012.The results serve to confirm many of the extant hypotheses in the academic literature in the area of capital structural evaluation. For example, it is immediately apparent that the influence of uncertainty is of less significance for large companies as regards all types of debt (joint, short-term and long-term), due to their greater stability and lower risks for creditors. Among other conclusions, it is confirmed that as long as serious government participation is characteristic of the Russian banking system, the efficacy of the debt financing system is not equal for all sectors, and those sectors which are of strategic importance for the state are particularly resilient in troubled economic periods. However, interestingly, in the case of a short-term debt leverage such influence does not materialise.From a theoretical point of view this paper will be useful for researchers studying the fluctuating market conditions of developing or transitional markets (the large sample size will make this study particularly attractive for further evaluation at all levels of academic analysis). An understanding of the multivariate interrelations described in this paper may also be useful to company managers and investors who will gain insight into the consequences of fluctuations in levels of economic uncertainty for different types of companies.
The Jury is Still Out On the Performance of Naive Diversification (1/N rule)
SSRN
For many decades academics have presented theories on optimal portfolio allocations, with mean-variance models at their front and center. However, the work of DeMiguel et al. (2009) has made a compelling case that estimation error completely dwarfs the benefits of these optimal allocation rules, making naive diversification (1/N) a dominating strategy. In this paper, we show that the jury is still out on the relative performance of 1/N. We demonstrate that risk-based diversification - which rely solely on the variance-covariance matrix - strongly outperform the 1/N naive rule in terms of Sharpe ratio, certainty equivalent returns and turnover. We also show that machine learning and clustering techniques can be used to enhance the benefits from diversification when using risk-based allocation rules. We present simulation exercises that illustrate the source of the outperformance of risk-based diversification and the importance of clustering. Our results are robust across different asset types by considering portfolios of (a) equities only, (b) equities and bonds, and (c) a large set of equity anomalies.
SSRN
For many decades academics have presented theories on optimal portfolio allocations, with mean-variance models at their front and center. However, the work of DeMiguel et al. (2009) has made a compelling case that estimation error completely dwarfs the benefits of these optimal allocation rules, making naive diversification (1/N) a dominating strategy. In this paper, we show that the jury is still out on the relative performance of 1/N. We demonstrate that risk-based diversification - which rely solely on the variance-covariance matrix - strongly outperform the 1/N naive rule in terms of Sharpe ratio, certainty equivalent returns and turnover. We also show that machine learning and clustering techniques can be used to enhance the benefits from diversification when using risk-based allocation rules. We present simulation exercises that illustrate the source of the outperformance of risk-based diversification and the importance of clustering. Our results are robust across different asset types by considering portfolios of (a) equities only, (b) equities and bonds, and (c) a large set of equity anomalies.
The Persistent Decline in Asset Utilization and the Investment-q Paradox
SSRN
Despite the significant increase in Tobin’s q since the mid-1970s, the rate of corporate investment has been declining while net shareholder payouts and cash holdings have been increasing. We shed light on this paradox by decomposing q into three components relating to valuation, profitability and an overlooked fundamental factor â€" asset utilization. This decomposition reveals that investment is quite responsive to asset utilization, more so than to valuation or profitability. This robust result, combined with the unexpected but pervasive and persistent decline in asset utilization over time, explains the significant drop in investment spending. Consistent with the idea that managers treat the stock market as a sideshow, we find that the impact of the valuation component of q on investment is marginal at best. Finally, we demonstrate how this methodology can be used to evaluate key questions in corporate finance. We revisit the debate around stock buybacks and find no evidence that they crowd out investment.
SSRN
Despite the significant increase in Tobin’s q since the mid-1970s, the rate of corporate investment has been declining while net shareholder payouts and cash holdings have been increasing. We shed light on this paradox by decomposing q into three components relating to valuation, profitability and an overlooked fundamental factor â€" asset utilization. This decomposition reveals that investment is quite responsive to asset utilization, more so than to valuation or profitability. This robust result, combined with the unexpected but pervasive and persistent decline in asset utilization over time, explains the significant drop in investment spending. Consistent with the idea that managers treat the stock market as a sideshow, we find that the impact of the valuation component of q on investment is marginal at best. Finally, we demonstrate how this methodology can be used to evaluate key questions in corporate finance. We revisit the debate around stock buybacks and find no evidence that they crowd out investment.
The Politics of Personalized News Aggregation
arXiv
arXiv
We study how personalized news aggregation for rational inattentive voters (NARI) affects policy polarization and public opinion. In a two-candidate electoral competition model, an attention-maximizing infomediary aggregates information about candidates' valence into news. Voters decide whether to consume news, trading off the expected utility gain from improved expressive voting against the attention cost. NARI generates policy polarization even if candidates are office-motivated. Personalized news serves extreme voters with skewed signals and makes them the disciplining entities of policy polarization. Analysis of disciplining voters sheds light on the political effects of recent regulatory proposals to tame the tech giants.
The Uncertainty of Credit Safety
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Credit grades are ordinal measures of default risk that are used to rank the relative creditworthiness of different borrowers rather than the relative safety of different environments. They are assigned by specialized rating agencies, which face short-term pressures to fudge their rankings and long-term pressures to nurture a reputation for insight and objectivity. Their biggest analytic challenge is to find enough data with enough explanatory power to justify their rankings.For quantitative modeling, credit grades are best viewed as multipliers on a fluctuating aggregate default risk . Experience shows that the scale is roughly logarithmic, with each full-letter drop in credit grade roughly quadrupling the default risk. The regularities suggest that credit grades are usually assigned correctly or near-correctly. However, the pool of relevant servicing history is not always large enough to measure high safety well. The triple-A grade should arguably be dropped and most tiering of A-grade sovereign credits ended. However, this need not coarsen overall ratings. Instead, ratings agencies should be encouraged to offer a second dimension of rating geared to perceived stability. A highly stable double-A rating would offer everything a triple-A rating does. For long bonds from A-grades, higher rated stability might be more valuable than a higher grade.
SSRN
Credit grades are ordinal measures of default risk that are used to rank the relative creditworthiness of different borrowers rather than the relative safety of different environments. They are assigned by specialized rating agencies, which face short-term pressures to fudge their rankings and long-term pressures to nurture a reputation for insight and objectivity. Their biggest analytic challenge is to find enough data with enough explanatory power to justify their rankings.For quantitative modeling, credit grades are best viewed as multipliers on a fluctuating aggregate default risk . Experience shows that the scale is roughly logarithmic, with each full-letter drop in credit grade roughly quadrupling the default risk. The regularities suggest that credit grades are usually assigned correctly or near-correctly. However, the pool of relevant servicing history is not always large enough to measure high safety well. The triple-A grade should arguably be dropped and most tiering of A-grade sovereign credits ended. However, this need not coarsen overall ratings. Instead, ratings agencies should be encouraged to offer a second dimension of rating geared to perceived stability. A highly stable double-A rating would offer everything a triple-A rating does. For long bonds from A-grades, higher rated stability might be more valuable than a higher grade.
The impact of government health and education expenditure on income inequality in European Union
arXiv
arXiv
This research aims to provide an overview of the existing inequalities and their drivers in the member states of the European Union as well as their developements in the 2002-2008 and 2009- 2015 sub-periods. It also analyses the impact of health and education government spending on income inequality in the European Union over the 2002-2015 period. In this context, I applied the Estimated Generalized Least Squares method using panel data for the 28-member states of the European Union.
The impact of life-saving interventions on fertility
arXiv
arXiv
Many interventions in global health save lives. One criticism sometimes lobbed at these interventions invokes the spirit of Malthus. The good done, the charge goes, is offset by the harm of spreading the earth's limited resources more thinly: more people, and more misery per person. To the extent this holds, the net benefit of savings lives is lower than it appears at first. On the other hand, if lower mortality, especially in childhood, leads families to have fewer children, life-saving interventions could reduce population. This document critically reviews the evidence. It finds that the impact of life-saving interventions on fertility and population growth varies by context, and is rarely greater than 1:1. In places where lifetime births/woman has been converging to 2 or lower, saving one child's life should lead parents to avert a birth they would otherwise have. The impact of mortality drops on fertility will be nearly 1:1, so population growth will hardly change. In the increasingly exceptional locales where couples appear not to limit fertility much, such as Niger and Mali, the impact of saving a life on total births will be smaller, and may come about mainly through the biological channel of lactational amenorrhea. Here, mortality-drop-fertility-drop ratios of 1:0.5 and 1:0.33 appear more plausible. But in the long-term, it would be surprising if these few countries do not join the rest of the world in the transition to lower and more intentionally controlled fertility.
The impact of private sector credit on income inequalities in European Union (15 member states)
arXiv
arXiv
This paper aims to provide a comprehensive analysis on the income inequalities recorded in the EU-15 in the 1995-2014 period and to estimate the impact of private sector credit on income disparities. In order to estimate the impact, I used the panel data technique with 15 cross-sections for the first 15 Member States of the European Union, applying generalized error correction model.
The implications of institutional specificities on the income inequalities drivers in European Union
arXiv
arXiv
This paper aims to review the different impacts of income inequality drivers on the Gini coefficient, depending on institutional specificities. In this context, we divided the European Union member states in two clusters (the cluster of member states with inclusive institutions / extractive institutions) using the institutional pillar as a clustering criterion. In both cases, we assesed the impact of income inequality drivers on Gini coefficient by using a fixed effects model in order to examine the role and importance of the institutions in the dynamics of income disparities.The models were estimated by applying the Panel Estimated Generalized Least Squares (EGLS) method, this being weighted by Cross-section weights option. The separate assessment of the income inequality reactivity to the change in its determinants according to the institutional criterion represents a new approach in this field of research and the results show that the impact of moderating income inequality strategies is limitedin the case of member states with extractive institutions.
Third-degree Price Discrimination Versus Uniform Pricing
arXiv
arXiv
We compare the revenue of the optimal third-degree price discrimination policy against a uniform pricing policy. A uniform pricing policy offers the same price to all segments of the market. Our main result establishes that for a broad class of third-degree price discrimination problems with concave revenue functions and common support, a uniform price is guaranteed to achieve one half of the optimal monopoly profits. This revenue bound holds for any arbitrary number of segments and prices that the seller would use with third-degree price discrimination. We further establish that these conditions are tight and that weakening either common support or concavity leads to arbitrarily poor revenue comparisons.
Trading Skills in Mutual Funds - Evidence from Daily Transactions
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Using a proprietary dataset of daily mutual fund trades, we document strong evidence of manager skills in the Finnish market for both buys and sells. We find that manager’s risk-adjusted outperformance lasts up to five days. Additionally, we find that the capital-weighted average of trade returns for bought stocks is positively correlated with funds’ net alphas. We explain fund performance with several stock and fund characteristics and document a positive correlation between the invested net capital in each trade and trading profits. These results show that mutual fund managers provide value to their clients through above par investment skills.
SSRN
Using a proprietary dataset of daily mutual fund trades, we document strong evidence of manager skills in the Finnish market for both buys and sells. We find that manager’s risk-adjusted outperformance lasts up to five days. Additionally, we find that the capital-weighted average of trade returns for bought stocks is positively correlated with funds’ net alphas. We explain fund performance with several stock and fund characteristics and document a positive correlation between the invested net capital in each trade and trading profits. These results show that mutual fund managers provide value to their clients through above par investment skills.
Universal Ownership in Practice: A Practical Positive Investment Framework for Asset Owners
SSRN
Universal owners such as pension funds, insurance companies, university endowments, and sovereign wealth funds have an interest in the long-term health of the financial system as a whole (Hawley and Williams 2000; Dimson et al. 2013; Quigley 2019). These asset owners cannot diversify away from systemic risks such as climate change, inequality, and pandemics, and can only mitigate whole-system threats by effecting change in the real economy. Conversely, traditional socially responsible investment (SRI), responsible investment (RI), or environmental, social, and governance (ESG) frameworks tend to adopt a climate or social risk lens, with a focus on risks to the portfolio from the real economy. These (S)RI or ESG frameworks therefore typically apply wholly or largely to public equity portfolios (Hill 2020a), from which returns and dividends to the portfolio disproportionately flow but which have little to no impact on the real economy from an asset allocation perspective. For universal owners whose goal is to mitigate systemic risks, the focus must instead be on positive investment: the impact of asset owners’ investment decisions on the real economy, not the real economy’s environmental and social risks to these asset owners’ portfolios. A positive investment approach, then, eschews stock-picking in the public markets in favour of a focus on primary market asset allocation â€" flows of new capital to the companies they own â€" and forceful stewardship within the secondary market. In essence, (S)RI and ESG aim to protect individual portfolios from systemic risks; universal owners aim to mitigate systemic risks in the real world, which has the effect of internalising externalities and protecting the long-term health of the system as a whole. An (S)RI or ESG framework, then, is not fit for universal owners’ purpose. A new framework is necessary â€" one that replaces the lens of climate risk with the lens of universal ownership: real-world, real-economy social and environmental impact. The universal ownership framework proposed in this paper includes the following: a more urgent and tactical version of active ownership within public equity (and even within corporate bond holdings); asset allocation within the primary market; a particular focus on assets that make the transition from the primary to the secondary market; “ungameable†metrics linked to real-world effects; strategic engagement with public policy and standard-setting regimes; and forward signalling to reduce wastage and accelerate decarbonisation timelines. Together these elements of the framework have the potential to change the rules of the game, alter company behaviour and fundamental strategy, reallocate capital, and bend the emissions curve permanently downwards â€" precisely what is required of universal owners in this last crucial decade of climate action.
SSRN
Universal owners such as pension funds, insurance companies, university endowments, and sovereign wealth funds have an interest in the long-term health of the financial system as a whole (Hawley and Williams 2000; Dimson et al. 2013; Quigley 2019). These asset owners cannot diversify away from systemic risks such as climate change, inequality, and pandemics, and can only mitigate whole-system threats by effecting change in the real economy. Conversely, traditional socially responsible investment (SRI), responsible investment (RI), or environmental, social, and governance (ESG) frameworks tend to adopt a climate or social risk lens, with a focus on risks to the portfolio from the real economy. These (S)RI or ESG frameworks therefore typically apply wholly or largely to public equity portfolios (Hill 2020a), from which returns and dividends to the portfolio disproportionately flow but which have little to no impact on the real economy from an asset allocation perspective. For universal owners whose goal is to mitigate systemic risks, the focus must instead be on positive investment: the impact of asset owners’ investment decisions on the real economy, not the real economy’s environmental and social risks to these asset owners’ portfolios. A positive investment approach, then, eschews stock-picking in the public markets in favour of a focus on primary market asset allocation â€" flows of new capital to the companies they own â€" and forceful stewardship within the secondary market. In essence, (S)RI and ESG aim to protect individual portfolios from systemic risks; universal owners aim to mitigate systemic risks in the real world, which has the effect of internalising externalities and protecting the long-term health of the system as a whole. An (S)RI or ESG framework, then, is not fit for universal owners’ purpose. A new framework is necessary â€" one that replaces the lens of climate risk with the lens of universal ownership: real-world, real-economy social and environmental impact. The universal ownership framework proposed in this paper includes the following: a more urgent and tactical version of active ownership within public equity (and even within corporate bond holdings); asset allocation within the primary market; a particular focus on assets that make the transition from the primary to the secondary market; “ungameable†metrics linked to real-world effects; strategic engagement with public policy and standard-setting regimes; and forward signalling to reduce wastage and accelerate decarbonisation timelines. Together these elements of the framework have the potential to change the rules of the game, alter company behaviour and fundamental strategy, reallocate capital, and bend the emissions curve permanently downwards â€" precisely what is required of universal owners in this last crucial decade of climate action.
Why is Confidence in Sovereign Debt Fickle?
SSRN
One of the main conclusions of Reinhart and Rogoff’s study of sovereign debt crises, highlighted in its title This Time is Different, is that markets for sovereign debt are prone to manic mood swings. When things go well for an extended period, lenders tend to underestimate risks of crisis. They are too short-sighted even to anticipate their own vulnerability to self-fulfilling panic.This paper shows that rational learning about unstable risks can explain most of these phenomena, even when perceptions don’t affect the underlying default risks. Between the relative infrequency of default and the small number of relevant comparators, sovereign debt markets are bound to make rational learners unusually sensitive to recent news. The resulting “rational myopia†makes both confidence and lack of confidence fickle. This can be useful from a policy perspective since it speeds recovery after crisis. However, one bad surprise can deflate it.Simulations show striking understatement of risk on the eve of default. Hence our analysis supports Reinhart and Rogoff’s warning (2009, xxv) that “excessive debt accumulation […] often poses greater system risks than it seems during a boomâ€. Indeed, it implicitly calls for extra vigilance by policymakers, to help check what lenders almost surely won’t.
SSRN
One of the main conclusions of Reinhart and Rogoff’s study of sovereign debt crises, highlighted in its title This Time is Different, is that markets for sovereign debt are prone to manic mood swings. When things go well for an extended period, lenders tend to underestimate risks of crisis. They are too short-sighted even to anticipate their own vulnerability to self-fulfilling panic.This paper shows that rational learning about unstable risks can explain most of these phenomena, even when perceptions don’t affect the underlying default risks. Between the relative infrequency of default and the small number of relevant comparators, sovereign debt markets are bound to make rational learners unusually sensitive to recent news. The resulting “rational myopia†makes both confidence and lack of confidence fickle. This can be useful from a policy perspective since it speeds recovery after crisis. However, one bad surprise can deflate it.Simulations show striking understatement of risk on the eve of default. Hence our analysis supports Reinhart and Rogoff’s warning (2009, xxv) that “excessive debt accumulation […] often poses greater system risks than it seems during a boomâ€. Indeed, it implicitly calls for extra vigilance by policymakers, to help check what lenders almost surely won’t.
Ð'лиÑние ÑƒÑ€Ð¾Ð²Ð½Ñ Ð¾Ð¿Ñ‚Ð¸Ð¼Ð¸Ð·Ð¼Ð° и ÑƒÑ€Ð¾Ð²Ð½Ñ Ð½Ð°Ñ€Ñ†Ð¸ÑÑизма CEO на Ñтруктуру капитала компании (The Influence of the Level of Optimism and the Level of Narcissism of the CEO on Companies’ Capital Structure)
SSRN
Russian Abstract: Ð¡Ñ‚Ð°Ñ‚ÑŒÑ Ð¿Ð¾Ð´Ð³Ð¾Ñ‚Ð¾Ð²Ð»ÐµÐ½Ð° по результатам иÑÑледований, выполненных за Ñчет бюджетных ÑредÑтв по гоÑударÑтвенному заданию ФинуниверÑитета 2019 г.Ð'олны кризиÑов в ÑффективноÑти Ñ„ÑƒÐ½ÐºÑ†Ð¸Ð¾Ð½Ð¸Ñ€Ð¾Ð²Ð°Ð½Ð¸Ñ ÑформировавшихÑÑ Ð¾Ð±Ñ‰ÐµÐ¿Ñ€Ð¸Ð½ÑÑ‚Ñ‹Ñ… в мире моделей корпоративного управлениÑ, которые наблюдаютÑÑ Ð² поÑледнее времÑ, ÑвлÑÑŽÑ‚ÑÑ Ð¾Ð´Ð½Ð¾Ð¹ из оÑновных и еÑтеÑтвенных причин резкого роÑта интереÑа к вопроÑам корпоративного управлениÑ.ÐеÑÐ¼Ð¾Ñ‚Ñ€Ñ Ð½Ð° большое количеÑтво подобных иÑÑледований, универÑальной теории объÑÑÐ½ÐµÐ½Ð¸Ñ Ð¼ÐµÑ‚Ð¾Ð´Ð¾Ð² финанÑÐ¸Ñ€Ð¾Ð²Ð°Ð½Ð¸Ñ ÐºÐ¾Ð¼Ð¿Ð°Ð½Ð¸Ð¹ нет, что и определÑет актуальноÑÑ‚ÑŒ выбранной темы.ÐÐ°ÑƒÑ‡Ð½Ð°Ñ Ð½Ð¾Ð²Ð¸Ð·Ð½Ð° объÑÑнÑетÑÑ Ñ‚ÐµÐ¼, что на роÑÑийÑком рынке ранее не производилоÑÑŒ иÑÑледование влиÑÐ½Ð¸Ñ Ð½Ð°Ñ€Ñ†Ð¸ÑÑизма и оптимизма CEO на Ñтруктуру капитала компании.Цель иÑÑледовать влиÑние корпоративного ÑƒÐ¿Ñ€Ð°Ð²Ð»ÐµÐ½Ð¸Ñ Ð½Ð° Ñтруктуру капитала.Ð"Ð»Ñ Ð´Ð¾ÑÑ‚Ð¸Ð¶ÐµÐ½Ð¸Ñ Ñтой цели были Ñформулированы Ñледующие задачи:определить концептуальные оÑновы корпоративного ÑƒÐ¿Ñ€Ð°Ð²Ð»ÐµÐ½Ð¸Ñ Ð¸ его влиÑÐ½Ð¸Ñ Ð½Ð° Ñтруктуру капитала;провеÑти ÑмпиричеÑкий анализ влиÑÐ½Ð¸Ñ ÐºÐ¾Ñ€Ð¿Ð¾Ñ€Ð°Ñ‚Ð¸Ð²Ð½Ð¾Ð³Ð¾ ÑƒÐ¿Ñ€Ð°Ð²Ð»ÐµÐ½Ð¸Ñ Ð½Ð° Ñтруктуру капитала роÑÑийÑких компаний;обобщить результаты ÑмпиричеÑкого иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ Ð²Ð»Ð¸ÑÐ½Ð¸Ñ ÐºÐ¾Ñ€Ð¿Ð¾Ñ€Ð°Ñ‚Ð¸Ð²Ð½Ð¾Ð³Ð¾ ÑƒÐ¿Ñ€Ð°Ð²Ð»ÐµÐ½Ð¸Ñ Ð½Ð° Ñтруктуру капитала роÑÑийÑких компаний.Объектом иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ ÑвлÑетÑÑ Ñ„Ð¸Ð½Ð°Ð½Ñовый рычаг крупнейших роÑÑийÑких компаний в Ñ€Ñде отраÑлей роÑÑийÑкой Ñкономики.Предметом иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ ÑвлÑетÑÑ Ð¿Ñ€Ð¾Ñ†ÐµÑÑ Ñ„Ð¾Ñ€Ð¼Ð¸Ñ€Ð¾Ð²Ð°Ð½Ð¸Ñ Ñ„Ð¸Ð½Ð°Ð½Ñового рычага крупнейших роÑÑийÑких компаний Ñ Ð²Ð»Ð¸Ñнием аÑпекта корпоративного управлениÑ.ТеоретичеÑкой оÑновой иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ ÑвлÑÑŽÑ‚ÑÑ Ñ€Ð°Ð±Ð¾Ñ‚Ñ‹ зарубежных и отечеÑтвенных ученых, которые изучали вопроÑÑ‹ о Ñтруктуре капитала компаний. ÐœÐµÑ‚Ð¾Ð´Ð¾Ð»Ð¾Ð³Ð¸Ñ Ð¸Ñпользовала инÑтрументы иÑÑледованиÑ, оÑнованные на Ñ€Ñде научных методов: наблюдение, Ñравнение, абÑтракциÑ, анализ и Ñинтез, ÑкономичеÑкое и математичеÑкое моделирование и другие. ПрактичеÑÐºÐ°Ñ Ð·Ð½Ð°Ñ‡Ð¸Ð¼Ð¾ÑÑ‚ÑŒ иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ ÑоÑтоит в возможноÑти иÑÐ¿Ð¾Ð»ÑŒÐ·Ð¾Ð²Ð°Ð½Ð¸Ñ ÐµÐ³Ð¾ результатов при корпоративном управлении компаниÑми, а именно: иÑпользование модели оценки влиÑÐ½Ð¸Ñ Ð²Ð½ÑƒÑ‚Ñ€ÐµÐ½Ð½Ð¸Ñ… и внешних факторов на Ñтруктуру капитала организаций, позволÑющей определить характер и Ñтепень влиÑÐ½Ð¸Ñ Ñ€Ñда факторов на коÑффициент финанÑового рычага Ð´Ð»Ñ Ð¾Ð¿Ñ‚Ð¸Ð¼Ð°Ð»ÑŒÐ½Ð¾Ð³Ð¾ выбора ÑÐ¾Ð¾Ñ‚Ð½Ð¾ÑˆÐµÐ½Ð¸Ñ ÑобÑтвенного и заемного чаÑтей капитала организаций; формировании топ-менеджмента; анализа финанÑовых показателей компании Ñ Ñ†ÐµÐ»ÑŒÑŽ Ð¿Ð¾Ð²Ñ‹ÑˆÐµÐ½Ð¸Ñ Ñ€Ñ‹Ð½Ð¾Ñ‡Ð½Ð¾Ð¹ ÑтоимоÑти организаций. ÐмпиричеÑÐºÐ°Ñ Ð±Ð°Ð·Ð° иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ ÑоÑтоит из 225 наблюдений, отобранных из 300 крупнейших компаний по капитализации в РоÑÑии за 2012-2016гг. ЧаÑтично подтвердилиÑÑŒ гипотезы о том, что чем выше уровень оптимизма и нарциÑÑизма CEO, тем больше Ð´Ð¾Ð»Ñ Ð·Ð°ÐµÐ¼Ð½Ñ‹Ñ… ÑредÑтв в Ñтруктуре капитала.English Abstract: In this paper, we aim to estimate how both CEO optimism and CEO narcissism levels influence the capital structure of companies. These factors are considered as aspects of a CEO’s personality in psychological terms, as evidenced by (and in conjunction with) his or her public persona and business activity. We endeavor to estimate as accurately as possible the pertinent factors in this task by utilising qualitative and quantitative analytical approaches founded in linguistics and economic science.The methodological approach is based on a textual analysis and a panel regression approach. CEO announcement documentation and annual reports are analysed to evaluate the relevant levels of optimism, while public pronouncements in CEO interviews are analysed to estimate the narcissism factor. Both approaches feature the “bag-of-words“ model, which measures, among other things, word frequency and multiplicity. The level of the optimism is calculated according to the quantity of positive and negative terms utilised using context-specific dictionaries. To evaluate the level of narcissism, indicators based on the number of singular and plural pronouns are employed. Additionally, the Gunning fog index is computed for all the texts, to further evaluate technical communication proficiency and associated conscien- tiousness. The positive and negative terms distribution is estimated using the Herfindahlâ€"Hirschman index (HHI).As an additional indicator of the narcissism levels, the total number of the CEO photos per report is calculated.Additional variables considered include the percentage of women involved in the company’s board, CEO age, the length of service of the CEO, the average age of the board, the quantity of the managers in the company, and the firm’s financial indicators. The empirical base of this research is comprised of data relating to 225 Russian companies. By accounting for these variables, we aim to better estimate the influence of the estimated narcissism and optimism levels on decision making which affects the capital structure of these firms.Our findings indicate that the total number of CEO photos included per report is one of the key factors linked with optimism levels. The Gunning fog index is notably important in this context. The variables calculated with the HHI were found to be insignificant, and thus excluded from the model. The results of the research show that jointly with the CEO general characteristics it is reasonable to estimate the CEO personality features. The originality of the paper is primarily founded in the evaluation of CEO optimism and CEO narcissism levels on the Russian companies’ capital structure by the specific means of the advanced textual analysis utilized herein.
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Russian Abstract: Ð¡Ñ‚Ð°Ñ‚ÑŒÑ Ð¿Ð¾Ð´Ð³Ð¾Ñ‚Ð¾Ð²Ð»ÐµÐ½Ð° по результатам иÑÑледований, выполненных за Ñчет бюджетных ÑредÑтв по гоÑударÑтвенному заданию ФинуниверÑитета 2019 г.Ð'олны кризиÑов в ÑффективноÑти Ñ„ÑƒÐ½ÐºÑ†Ð¸Ð¾Ð½Ð¸Ñ€Ð¾Ð²Ð°Ð½Ð¸Ñ ÑформировавшихÑÑ Ð¾Ð±Ñ‰ÐµÐ¿Ñ€Ð¸Ð½ÑÑ‚Ñ‹Ñ… в мире моделей корпоративного управлениÑ, которые наблюдаютÑÑ Ð² поÑледнее времÑ, ÑвлÑÑŽÑ‚ÑÑ Ð¾Ð´Ð½Ð¾Ð¹ из оÑновных и еÑтеÑтвенных причин резкого роÑта интереÑа к вопроÑам корпоративного управлениÑ.ÐеÑÐ¼Ð¾Ñ‚Ñ€Ñ Ð½Ð° большое количеÑтво подобных иÑÑледований, универÑальной теории объÑÑÐ½ÐµÐ½Ð¸Ñ Ð¼ÐµÑ‚Ð¾Ð´Ð¾Ð² финанÑÐ¸Ñ€Ð¾Ð²Ð°Ð½Ð¸Ñ ÐºÐ¾Ð¼Ð¿Ð°Ð½Ð¸Ð¹ нет, что и определÑет актуальноÑÑ‚ÑŒ выбранной темы.ÐÐ°ÑƒÑ‡Ð½Ð°Ñ Ð½Ð¾Ð²Ð¸Ð·Ð½Ð° объÑÑнÑетÑÑ Ñ‚ÐµÐ¼, что на роÑÑийÑком рынке ранее не производилоÑÑŒ иÑÑледование влиÑÐ½Ð¸Ñ Ð½Ð°Ñ€Ñ†Ð¸ÑÑизма и оптимизма CEO на Ñтруктуру капитала компании.Цель иÑÑледовать влиÑние корпоративного ÑƒÐ¿Ñ€Ð°Ð²Ð»ÐµÐ½Ð¸Ñ Ð½Ð° Ñтруктуру капитала.Ð"Ð»Ñ Ð´Ð¾ÑÑ‚Ð¸Ð¶ÐµÐ½Ð¸Ñ Ñтой цели были Ñформулированы Ñледующие задачи:определить концептуальные оÑновы корпоративного ÑƒÐ¿Ñ€Ð°Ð²Ð»ÐµÐ½Ð¸Ñ Ð¸ его влиÑÐ½Ð¸Ñ Ð½Ð° Ñтруктуру капитала;провеÑти ÑмпиричеÑкий анализ влиÑÐ½Ð¸Ñ ÐºÐ¾Ñ€Ð¿Ð¾Ñ€Ð°Ñ‚Ð¸Ð²Ð½Ð¾Ð³Ð¾ ÑƒÐ¿Ñ€Ð°Ð²Ð»ÐµÐ½Ð¸Ñ Ð½Ð° Ñтруктуру капитала роÑÑийÑких компаний;обобщить результаты ÑмпиричеÑкого иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ Ð²Ð»Ð¸ÑÐ½Ð¸Ñ ÐºÐ¾Ñ€Ð¿Ð¾Ñ€Ð°Ñ‚Ð¸Ð²Ð½Ð¾Ð³Ð¾ ÑƒÐ¿Ñ€Ð°Ð²Ð»ÐµÐ½Ð¸Ñ Ð½Ð° Ñтруктуру капитала роÑÑийÑких компаний.Объектом иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ ÑвлÑетÑÑ Ñ„Ð¸Ð½Ð°Ð½Ñовый рычаг крупнейших роÑÑийÑких компаний в Ñ€Ñде отраÑлей роÑÑийÑкой Ñкономики.Предметом иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ ÑвлÑетÑÑ Ð¿Ñ€Ð¾Ñ†ÐµÑÑ Ñ„Ð¾Ñ€Ð¼Ð¸Ñ€Ð¾Ð²Ð°Ð½Ð¸Ñ Ñ„Ð¸Ð½Ð°Ð½Ñового рычага крупнейших роÑÑийÑких компаний Ñ Ð²Ð»Ð¸Ñнием аÑпекта корпоративного управлениÑ.ТеоретичеÑкой оÑновой иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ ÑвлÑÑŽÑ‚ÑÑ Ñ€Ð°Ð±Ð¾Ñ‚Ñ‹ зарубежных и отечеÑтвенных ученых, которые изучали вопроÑÑ‹ о Ñтруктуре капитала компаний. ÐœÐµÑ‚Ð¾Ð´Ð¾Ð»Ð¾Ð³Ð¸Ñ Ð¸Ñпользовала инÑтрументы иÑÑледованиÑ, оÑнованные на Ñ€Ñде научных методов: наблюдение, Ñравнение, абÑтракциÑ, анализ и Ñинтез, ÑкономичеÑкое и математичеÑкое моделирование и другие. ПрактичеÑÐºÐ°Ñ Ð·Ð½Ð°Ñ‡Ð¸Ð¼Ð¾ÑÑ‚ÑŒ иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ ÑоÑтоит в возможноÑти иÑÐ¿Ð¾Ð»ÑŒÐ·Ð¾Ð²Ð°Ð½Ð¸Ñ ÐµÐ³Ð¾ результатов при корпоративном управлении компаниÑми, а именно: иÑпользование модели оценки влиÑÐ½Ð¸Ñ Ð²Ð½ÑƒÑ‚Ñ€ÐµÐ½Ð½Ð¸Ñ… и внешних факторов на Ñтруктуру капитала организаций, позволÑющей определить характер и Ñтепень влиÑÐ½Ð¸Ñ Ñ€Ñда факторов на коÑффициент финанÑового рычага Ð´Ð»Ñ Ð¾Ð¿Ñ‚Ð¸Ð¼Ð°Ð»ÑŒÐ½Ð¾Ð³Ð¾ выбора ÑÐ¾Ð¾Ñ‚Ð½Ð¾ÑˆÐµÐ½Ð¸Ñ ÑобÑтвенного и заемного чаÑтей капитала организаций; формировании топ-менеджмента; анализа финанÑовых показателей компании Ñ Ñ†ÐµÐ»ÑŒÑŽ Ð¿Ð¾Ð²Ñ‹ÑˆÐµÐ½Ð¸Ñ Ñ€Ñ‹Ð½Ð¾Ñ‡Ð½Ð¾Ð¹ ÑтоимоÑти организаций. ÐмпиричеÑÐºÐ°Ñ Ð±Ð°Ð·Ð° иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ ÑоÑтоит из 225 наблюдений, отобранных из 300 крупнейших компаний по капитализации в РоÑÑии за 2012-2016гг. ЧаÑтично подтвердилиÑÑŒ гипотезы о том, что чем выше уровень оптимизма и нарциÑÑизма CEO, тем больше Ð´Ð¾Ð»Ñ Ð·Ð°ÐµÐ¼Ð½Ñ‹Ñ… ÑредÑтв в Ñтруктуре капитала.English Abstract: In this paper, we aim to estimate how both CEO optimism and CEO narcissism levels influence the capital structure of companies. These factors are considered as aspects of a CEO’s personality in psychological terms, as evidenced by (and in conjunction with) his or her public persona and business activity. We endeavor to estimate as accurately as possible the pertinent factors in this task by utilising qualitative and quantitative analytical approaches founded in linguistics and economic science.The methodological approach is based on a textual analysis and a panel regression approach. CEO announcement documentation and annual reports are analysed to evaluate the relevant levels of optimism, while public pronouncements in CEO interviews are analysed to estimate the narcissism factor. Both approaches feature the “bag-of-words“ model, which measures, among other things, word frequency and multiplicity. The level of the optimism is calculated according to the quantity of positive and negative terms utilised using context-specific dictionaries. To evaluate the level of narcissism, indicators based on the number of singular and plural pronouns are employed. Additionally, the Gunning fog index is computed for all the texts, to further evaluate technical communication proficiency and associated conscien- tiousness. The positive and negative terms distribution is estimated using the Herfindahlâ€"Hirschman index (HHI).As an additional indicator of the narcissism levels, the total number of the CEO photos per report is calculated.Additional variables considered include the percentage of women involved in the company’s board, CEO age, the length of service of the CEO, the average age of the board, the quantity of the managers in the company, and the firm’s financial indicators. The empirical base of this research is comprised of data relating to 225 Russian companies. By accounting for these variables, we aim to better estimate the influence of the estimated narcissism and optimism levels on decision making which affects the capital structure of these firms.Our findings indicate that the total number of CEO photos included per report is one of the key factors linked with optimism levels. The Gunning fog index is notably important in this context. The variables calculated with the HHI were found to be insignificant, and thus excluded from the model. The results of the research show that jointly with the CEO general characteristics it is reasonable to estimate the CEO personality features. The originality of the paper is primarily founded in the evaluation of CEO optimism and CEO narcissism levels on the Russian companies’ capital structure by the specific means of the advanced textual analysis utilized herein.
Ко-наем как ÑÑ‚Ñ€Ð°Ñ‚ÐµÐ³Ð¸Ñ Ð²Ñ‹Ñ…Ð¾Ð´Ð° из выÑокотехнологичных инновационных компаний (Acqui-hire as an Exit Strategy from High-Tech Innovative Companies)
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Russian Abstract: Ð'енчурный Ð±Ð¸Ð·Ð½ÐµÑ Ñ‚Ñ€Ð°Ð´Ð¸Ñ†Ð¸Ð¾Ð½Ð½Ð¾ ÑвÑзан Ñ Ð²Ñ‹Ñокой Ñтепенью риÑка. По оценке конÑалтинговых компаний, лишь 23% инвеÑтиций окажутÑÑ ÐºÐ¾Ð¼Ð¼ÐµÑ€Ñ‡ÐµÑки ÑоÑтоÑтельными. Ðто говорит о том, что большинÑтво вложений не будут возвращены. Такие потери неприемлемы Ð´Ð»Ñ Ñтагнирующего отечеÑтвенного рынка венчурных инвеÑтиций, поÑтому одна из ключевых задач, вÑтающих перед инвеÑторами, â€" нахождение методов макÑимизации отдачиот неудачных инвеÑтиций. Ко-наем может Ñтать таким методом. Цель работы â€" проанализировать механизм ко-найма и раÑÑмотреть его финанÑовую модель.Ð"Ð»Ñ Ð°Ð½Ð°Ð»Ð¸Ð·Ð° механизма был иÑпользован кейÑовый метод. Ð' Ñтатье раÑÑмотрена активноÑÑ‚ÑŒ корпорации Facebook на рынке поглощений, выделены и проанализированы примеры, в которых поглощение ноÑит характер ко-найма. Определены также предпоÑылки поÑÐ²Ð»ÐµÐ½Ð¸Ñ Ñтого механизма, раÑÑмотрены финанÑÐ¾Ð²Ð°Ñ Ð¼Ð¾Ð´ÐµÐ»ÑŒ, методы оценки Ñтартапа, изучена Ñтруктура Ñделок.Ð' результате было выведено определение ко-найма, произведены анализ и опиÑание механизма, определены текущие подходы к Ñтруктурированию подобных Ñделок, опиÑана финанÑÐ¾Ð²Ð°Ñ Ð¼Ð¾Ð´ÐµÐ»ÑŒ и раÑÑмотрены альтернативные подходы к финанÑированию механизма. Ð'ыло обнаружено, что в наÑтоÑщее Ð²Ñ€ÐµÐ¼Ñ Ð½Ðµ ÑущеÑтвует уÑтоÑвшихÑÑ Ð¿Ñ€Ð°ÐºÑ‚Ð¸Ðº по поглощению Ñтартапов Ñ Ñ†ÐµÐ»ÑŒÑŽ найма. Сделки могут регулироватьÑÑ Ð´Ð¾Ð³Ð¾Ð²Ð¾Ñ€Ð¾Ð¼ об оказании уÑлуг, договором о покупке иÑключительных прав на интеллектуальную ÑобÑтвенноÑÑ‚ÑŒ или покупке доли в Ñтартапе. ФинанÑÐ¾Ð²Ð°Ñ Ð¼Ð¾Ð´ÐµÐ»ÑŒ включает два пула: пул «раÑÑÐ¼Ð¾Ñ‚Ñ€ÐµÐ½Ð¸Ñ Ñделки» и компенÑационный пул. Первый пул попадает в руки инвеÑторов и Ñтейкхолдеров поÑле ликвидации компании. КомпенÑационный пул ÑоÑтоит из денежных ÑредÑтв и опционов, которые предназначены Ð´Ð»Ñ Ñотрудников, нанимаемых в корпорацию.ÐÐ°ÑƒÑ‡Ð½Ð°Ñ Ð½Ð¾Ð²Ð¸Ð·Ð½Ð° Ñтатьи заключаетÑÑ Ð² том, что опиÑываютÑÑ ÑпецифичеÑкие черты ко-найма, позволÑющие клаÑÑифицировать его как отдельный механизм выхода.ОпиÑанный в Ñтатье механизм имеет практичеÑкую ценноÑÑ‚ÑŒ Ð´Ð»Ñ Ð²ÐµÐ½Ñ‡ÑƒÑ€Ð½Ñ‹Ñ… инвеÑторов, оÑущеÑтвивших инвеÑтиции в проекты, темпы роÑта которых не удовлетворÑÑŽÑ‚ ожидаемым. Применение Ñтого механизма на практике будет ÑпоÑобÑтвовать повышению рентабельноÑти подобных инвеÑтиций.English Abstract: Traditional venture investments are associated with a high degree of risk. According to industry consultants, only 23% of investments are commercially viable, which means that most investments will not see returns. Such losses are unacceptable in the stagnating Russian venture market. Therefore, a key goal of investors is to find methods for maximising returns on failed investments. ‘Acqui-hire’, or the acquisition of companies in order to recruit from their pool of talented employees, can become such a method. This paper aims to describe the acqui-hire mechanism and analyse its financial model. Presented herein is a case study method which examines Facebook’s activity on the M&A market. As part of this evaluation, we will identify specific cases where acquisitions display relevant characteristics of the acqui-hire model. Common motivations behind acqui-hire are also discussed, the financial models which apply to the process are described, and startup valuation methods and typical deal structures associated with this mechanism are investigated. As a result of this examination, we can assert that while distinct characteristics of acqui-hire may be identified, there is currently no broadly-established standard approach to acqui-hire activities. Individual deals may be structured in the form of service agreements, purchases of intellectual property, or equity acquisitions. We can identify that the relevant financial models comprise two general categories: the ‘deal consideration’ pool and the ‘compensation’ pool. The first pool relates primarily to investors and stakeholders, and concerns funds that are distributed after company liquidation. The second pool consists of options and funds that are dedicated to the employees who are going to join the acquiring corporation. The scientific novelty of this particular investigation consists in the descriptive breakdown of the specifics of acqui-hire, which allow for distinguishing it as a separate and distinct exit mechanism within the corporate milieu. As described herein, acqui-hire has practical value for venture investors in projects where growth rates do not meet expectations. Putting this mechanism into practice can certainly help to shore up the profitability of such investments.
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Russian Abstract: Ð'енчурный Ð±Ð¸Ð·Ð½ÐµÑ Ñ‚Ñ€Ð°Ð´Ð¸Ñ†Ð¸Ð¾Ð½Ð½Ð¾ ÑвÑзан Ñ Ð²Ñ‹Ñокой Ñтепенью риÑка. По оценке конÑалтинговых компаний, лишь 23% инвеÑтиций окажутÑÑ ÐºÐ¾Ð¼Ð¼ÐµÑ€Ñ‡ÐµÑки ÑоÑтоÑтельными. Ðто говорит о том, что большинÑтво вложений не будут возвращены. Такие потери неприемлемы Ð´Ð»Ñ Ñтагнирующего отечеÑтвенного рынка венчурных инвеÑтиций, поÑтому одна из ключевых задач, вÑтающих перед инвеÑторами, â€" нахождение методов макÑимизации отдачиот неудачных инвеÑтиций. Ко-наем может Ñтать таким методом. Цель работы â€" проанализировать механизм ко-найма и раÑÑмотреть его финанÑовую модель.Ð"Ð»Ñ Ð°Ð½Ð°Ð»Ð¸Ð·Ð° механизма был иÑпользован кейÑовый метод. Ð' Ñтатье раÑÑмотрена активноÑÑ‚ÑŒ корпорации Facebook на рынке поглощений, выделены и проанализированы примеры, в которых поглощение ноÑит характер ко-найма. Определены также предпоÑылки поÑÐ²Ð»ÐµÐ½Ð¸Ñ Ñтого механизма, раÑÑмотрены финанÑÐ¾Ð²Ð°Ñ Ð¼Ð¾Ð´ÐµÐ»ÑŒ, методы оценки Ñтартапа, изучена Ñтруктура Ñделок.Ð' результате было выведено определение ко-найма, произведены анализ и опиÑание механизма, определены текущие подходы к Ñтруктурированию подобных Ñделок, опиÑана финанÑÐ¾Ð²Ð°Ñ Ð¼Ð¾Ð´ÐµÐ»ÑŒ и раÑÑмотрены альтернативные подходы к финанÑированию механизма. Ð'ыло обнаружено, что в наÑтоÑщее Ð²Ñ€ÐµÐ¼Ñ Ð½Ðµ ÑущеÑтвует уÑтоÑвшихÑÑ Ð¿Ñ€Ð°ÐºÑ‚Ð¸Ðº по поглощению Ñтартапов Ñ Ñ†ÐµÐ»ÑŒÑŽ найма. Сделки могут регулироватьÑÑ Ð´Ð¾Ð³Ð¾Ð²Ð¾Ñ€Ð¾Ð¼ об оказании уÑлуг, договором о покупке иÑключительных прав на интеллектуальную ÑобÑтвенноÑÑ‚ÑŒ или покупке доли в Ñтартапе. ФинанÑÐ¾Ð²Ð°Ñ Ð¼Ð¾Ð´ÐµÐ»ÑŒ включает два пула: пул «раÑÑÐ¼Ð¾Ñ‚Ñ€ÐµÐ½Ð¸Ñ Ñделки» и компенÑационный пул. Первый пул попадает в руки инвеÑторов и Ñтейкхолдеров поÑле ликвидации компании. КомпенÑационный пул ÑоÑтоит из денежных ÑредÑтв и опционов, которые предназначены Ð´Ð»Ñ Ñотрудников, нанимаемых в корпорацию.ÐÐ°ÑƒÑ‡Ð½Ð°Ñ Ð½Ð¾Ð²Ð¸Ð·Ð½Ð° Ñтатьи заключаетÑÑ Ð² том, что опиÑываютÑÑ ÑпецифичеÑкие черты ко-найма, позволÑющие клаÑÑифицировать его как отдельный механизм выхода.ОпиÑанный в Ñтатье механизм имеет практичеÑкую ценноÑÑ‚ÑŒ Ð´Ð»Ñ Ð²ÐµÐ½Ñ‡ÑƒÑ€Ð½Ñ‹Ñ… инвеÑторов, оÑущеÑтвивших инвеÑтиции в проекты, темпы роÑта которых не удовлетворÑÑŽÑ‚ ожидаемым. Применение Ñтого механизма на практике будет ÑпоÑобÑтвовать повышению рентабельноÑти подобных инвеÑтиций.English Abstract: Traditional venture investments are associated with a high degree of risk. According to industry consultants, only 23% of investments are commercially viable, which means that most investments will not see returns. Such losses are unacceptable in the stagnating Russian venture market. Therefore, a key goal of investors is to find methods for maximising returns on failed investments. ‘Acqui-hire’, or the acquisition of companies in order to recruit from their pool of talented employees, can become such a method. This paper aims to describe the acqui-hire mechanism and analyse its financial model. Presented herein is a case study method which examines Facebook’s activity on the M&A market. As part of this evaluation, we will identify specific cases where acquisitions display relevant characteristics of the acqui-hire model. Common motivations behind acqui-hire are also discussed, the financial models which apply to the process are described, and startup valuation methods and typical deal structures associated with this mechanism are investigated. As a result of this examination, we can assert that while distinct characteristics of acqui-hire may be identified, there is currently no broadly-established standard approach to acqui-hire activities. Individual deals may be structured in the form of service agreements, purchases of intellectual property, or equity acquisitions. We can identify that the relevant financial models comprise two general categories: the ‘deal consideration’ pool and the ‘compensation’ pool. The first pool relates primarily to investors and stakeholders, and concerns funds that are distributed after company liquidation. The second pool consists of options and funds that are dedicated to the employees who are going to join the acquiring corporation. The scientific novelty of this particular investigation consists in the descriptive breakdown of the specifics of acqui-hire, which allow for distinguishing it as a separate and distinct exit mechanism within the corporate milieu. As described herein, acqui-hire has practical value for venture investors in projects where growth rates do not meet expectations. Putting this mechanism into practice can certainly help to shore up the profitability of such investments.
Роль нефинанÑовых реÑурÑов в повышении капитализации Ñтраховой компании (Role of Non-financial Resources in the Capitalization of Insurance Company)
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Russian Abstract: Ð' Ñовременных уÑловиÑÑ… потребноÑÑ‚ÑŒ в роÑте капитализации Ñтраховой компании удовлетворÑетÑÑ Ð² результате обеÑÐ¿ÐµÑ‡ÐµÐ½Ð¸Ñ Ð´Ð¾ÑтаточноÑти капитала Ð´Ð»Ñ Ð¿Ð¾Ð´Ð´ÐµÑ€Ð¶Ð°Ð½Ð¸Ñ Ñтраховой деÑтельноÑти компании на определенном уровне и адекватноÑти качеÑтва и Ñтруктуры капитала. Она определÑетÑÑ Ñ ÑƒÑ‡ÐµÑ‚Ð¾Ð¼ номенклатуры предлагаемых компанией Ñтраховых продуктов и уÑлуг, Ñтепени риÑков, ÑвÑзанных Ñо Ñтраховой и инвеÑтиционной деÑтельноÑтью компании, перÑпектив ее роÑта и др.Целью Ñтатьи ÑвлÑетÑÑ Ð¿Ñ€Ð¾Ð²ÐµÐ´ÐµÐ½Ð¸Ðµ концептуального иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ Ð¿Ð¾ определению роли и меÑта нефинанÑовых реÑурÑов в капитализации Ñтраховой компании на оÑнове гипотезы, ÑоглаÑно которой превращение нефинанÑовых реÑурÑов в капитал проиÑходит путем их Ð¾Ð±ÑŠÐµÐ´Ð¸Ð½ÐµÐ½Ð¸Ñ Ñ Ð¿Ñ€ÐµÐ´Ð¿Ñ€Ð¸Ð½Ð¸Ð¼Ð°Ñ‚ÐµÐ»ÑŒÑким реÑурÑом, его ноÑителем выÑтупает либо Ñам Ñотрудник, либо управлÑющий его трудом менеджер.Ð' ходе реализации иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ Ð±Ñ‹Ð»Ð¸ иÑпользованы Ñледующие методы: метод дедукции при ÑхематичеÑком поÑтроении архитектуры человечеÑких реÑурÑов и ÑоÑтавлÑющих инÑÑ‚Ñ€ÑƒÐ¼ÐµÐ½Ñ‚Ð°Ñ€Ð¸Ñ ÐºÐ¾Ð½ÐºÑƒÑ€ÐµÐ½Ñ‚Ð¾ÑпоÑобноÑти компании; метод индукции при определении Ñлементов человечеÑкого капитала; абÑтрагирование в процеÑÑе выÑÐ²Ð»ÐµÐ½Ð¸Ñ Ñ‚Ñ€Ð°Ð½Ñформации нефинанÑовых реÑурÑов в финанÑовый капитал; анализ теоретичеÑких подходов в международном опыте Ñтраховой бизнеÑ-практики.ПоиÑк Ñтруктуры капитала Ñтраховой компании оÑущеÑтвлÑлÑÑ Ð½Ð° оÑнове реÑурÑной концепции конкурентоÑпоÑобноÑти и раÑÑÐ¼Ð¾Ñ‚Ñ€ÐµÐ½Ð¸Ñ Ñтейкхолдеров как поÑтавщиков реÑурÑов компании, Ñуммарное множеÑтво которых в конечном итоге воплощаетÑÑ Ð² форму финанÑового капитала. Привлекаемые Ñтраховщиком реÑурÑÑ‹ имеют ценноÑÑ‚ÑŒ, поÑкольку могут быть транÑформированы в форму финанÑовых активов (оÑновных и оборотных), и в Ñтой форме ÑодейÑтвовать обеÑпечению интереÑов тех его Ñтейкхолдеров, которые поÑтавлÑÑŽÑ‚ компании реÑурÑÑ‹ в финанÑовой форме: Ñтрахователей и Ñтраховщиков. ÐффективноÑÑ‚ÑŒ Ñтруктуры нефинанÑового капитала компании оÑнована на ее ÑпоÑобноÑти порождать или транÑформироватьÑÑ Ð² финанÑовый капитал.Ð' результате иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ Ð±Ñ‹Ð»Ð¸ определены наÑтупление ÑтоимоÑтной Ñинергии как комбинации вÑех реÑурÑов Ñтраховой компании, а также необходимоÑÑ‚ÑŒ внеÑÐµÐ½Ð¸Ñ Ñтраховыми компаниÑми перÑонифицированных знаний в корпоративную Ñтратегию как полноценного Ñтруктурного Ñлемента, через который развиваетÑÑ Ð¸ пополнÑетÑÑ Ð¸Ð½Ð½Ð¾Ð²Ð°Ñ†Ð¸Ð¾Ð½Ð½Ñ‹Ð¹ капитал.Результаты иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ Ð¼Ð¾Ð³ÑƒÑ‚ быть внедрены в Ñтраховых компаниÑÑ… как новый управленчеÑкий подход Ð¿Ð¾Ð²Ñ‹ÑˆÐµÐ½Ð¸Ñ ÑффективноÑти деÑтельноÑти и ÑтратегичеÑкой ÑтабильноÑти фирмы.ЦенноÑÑ‚ÑŒ Ñтатьи заключаетÑÑ Ð² разработке универÑального практичеÑкого инÑÑ‚Ñ€ÑƒÐ¼ÐµÐ½Ñ‚Ð°Ñ€Ð¸Ñ Ð¿Ð¾ повышению капитализации незавиÑимо от рыночной Ñпециализации Ñтраховой компании.English Abstract: The aim of this article is to conduct a conceptual study on the role of non-financial resources in the capitalization of an insurance company. The effectiveness of a company’s non-financial resources is based on its ability to generate financial capital from them, and a company’s employees and clients are the embodiment and creators of the most fundamental non-financial resources. We postulate that the needs of insurance companies to increase their capitalization is first addressed by ensuring adequate and quality capital is in place to maintain day to day business, and ensuring this capital is effectively structured. Therefore, our evaluation of the effectiveness of capital structure is conducted according to the resource based view of competitiveness. We explore the hypothesis that a company’s non-financial resources may be converted into financial capital when they are combined with an entrepreneurial influence - in this case, either an employee or a manager.We apply the following diverse methodologies. First, a deductive approach is used to construct a virtual human resources architecture, which allows us to allocate conceptual corporate tools for improving competitiveness. Next, using an inductive method, we determine the relevant components of human capital. The abstraction method is applied to demonstrate a situation whereby non-financial resources transform into financial capital. Finally, we utilize an analytical methodology to evaluate the respective theoretical approaches used by international insurance companies.We establish our methodological prerequisites in a conceptual model and successfully determined the onset of cost synergy as a combination of all company resources. Further, we identify the need for insurance companies to introduce personalized knowledge into corporate strategy. We thereby validate our hypothesis and confirm that the knowledge and experience of insurance companies’ employee and client bases represents an essential non-financial resource, and constitutes a legitimate structural element through which innovation capital may be developed and replenished.The novelty of our study is represented by its practical and theoretical applications. As our results indicate, we successfully outline a universal conceptual approach that enables an increase in capitalization regardless of the market specialization in which an insurance company operates. As such, not only can our findings be directly implemented by insurance companies as a new management approach in order to improve corporate efficiency and strategic stability, but can be seen to have immediate bearing on consumer and business interests beyond the insurance industry, as well as informing further theoretical strategy development in academia.
SSRN
Russian Abstract: Ð' Ñовременных уÑловиÑÑ… потребноÑÑ‚ÑŒ в роÑте капитализации Ñтраховой компании удовлетворÑетÑÑ Ð² результате обеÑÐ¿ÐµÑ‡ÐµÐ½Ð¸Ñ Ð´Ð¾ÑтаточноÑти капитала Ð´Ð»Ñ Ð¿Ð¾Ð´Ð´ÐµÑ€Ð¶Ð°Ð½Ð¸Ñ Ñтраховой деÑтельноÑти компании на определенном уровне и адекватноÑти качеÑтва и Ñтруктуры капитала. Она определÑетÑÑ Ñ ÑƒÑ‡ÐµÑ‚Ð¾Ð¼ номенклатуры предлагаемых компанией Ñтраховых продуктов и уÑлуг, Ñтепени риÑков, ÑвÑзанных Ñо Ñтраховой и инвеÑтиционной деÑтельноÑтью компании, перÑпектив ее роÑта и др.Целью Ñтатьи ÑвлÑетÑÑ Ð¿Ñ€Ð¾Ð²ÐµÐ´ÐµÐ½Ð¸Ðµ концептуального иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ Ð¿Ð¾ определению роли и меÑта нефинанÑовых реÑурÑов в капитализации Ñтраховой компании на оÑнове гипотезы, ÑоглаÑно которой превращение нефинанÑовых реÑурÑов в капитал проиÑходит путем их Ð¾Ð±ÑŠÐµÐ´Ð¸Ð½ÐµÐ½Ð¸Ñ Ñ Ð¿Ñ€ÐµÐ´Ð¿Ñ€Ð¸Ð½Ð¸Ð¼Ð°Ñ‚ÐµÐ»ÑŒÑким реÑурÑом, его ноÑителем выÑтупает либо Ñам Ñотрудник, либо управлÑющий его трудом менеджер.Ð' ходе реализации иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ Ð±Ñ‹Ð»Ð¸ иÑпользованы Ñледующие методы: метод дедукции при ÑхематичеÑком поÑтроении архитектуры человечеÑких реÑурÑов и ÑоÑтавлÑющих инÑÑ‚Ñ€ÑƒÐ¼ÐµÐ½Ñ‚Ð°Ñ€Ð¸Ñ ÐºÐ¾Ð½ÐºÑƒÑ€ÐµÐ½Ñ‚Ð¾ÑпоÑобноÑти компании; метод индукции при определении Ñлементов человечеÑкого капитала; абÑтрагирование в процеÑÑе выÑÐ²Ð»ÐµÐ½Ð¸Ñ Ñ‚Ñ€Ð°Ð½Ñформации нефинанÑовых реÑурÑов в финанÑовый капитал; анализ теоретичеÑких подходов в международном опыте Ñтраховой бизнеÑ-практики.ПоиÑк Ñтруктуры капитала Ñтраховой компании оÑущеÑтвлÑлÑÑ Ð½Ð° оÑнове реÑурÑной концепции конкурентоÑпоÑобноÑти и раÑÑÐ¼Ð¾Ñ‚Ñ€ÐµÐ½Ð¸Ñ Ñтейкхолдеров как поÑтавщиков реÑурÑов компании, Ñуммарное множеÑтво которых в конечном итоге воплощаетÑÑ Ð² форму финанÑового капитала. Привлекаемые Ñтраховщиком реÑурÑÑ‹ имеют ценноÑÑ‚ÑŒ, поÑкольку могут быть транÑформированы в форму финанÑовых активов (оÑновных и оборотных), и в Ñтой форме ÑодейÑтвовать обеÑпечению интереÑов тех его Ñтейкхолдеров, которые поÑтавлÑÑŽÑ‚ компании реÑурÑÑ‹ в финанÑовой форме: Ñтрахователей и Ñтраховщиков. ÐффективноÑÑ‚ÑŒ Ñтруктуры нефинанÑового капитала компании оÑнована на ее ÑпоÑобноÑти порождать или транÑформироватьÑÑ Ð² финанÑовый капитал.Ð' результате иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ Ð±Ñ‹Ð»Ð¸ определены наÑтупление ÑтоимоÑтной Ñинергии как комбинации вÑех реÑурÑов Ñтраховой компании, а также необходимоÑÑ‚ÑŒ внеÑÐµÐ½Ð¸Ñ Ñтраховыми компаниÑми перÑонифицированных знаний в корпоративную Ñтратегию как полноценного Ñтруктурного Ñлемента, через который развиваетÑÑ Ð¸ пополнÑетÑÑ Ð¸Ð½Ð½Ð¾Ð²Ð°Ñ†Ð¸Ð¾Ð½Ð½Ñ‹Ð¹ капитал.Результаты иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ Ð¼Ð¾Ð³ÑƒÑ‚ быть внедрены в Ñтраховых компаниÑÑ… как новый управленчеÑкий подход Ð¿Ð¾Ð²Ñ‹ÑˆÐµÐ½Ð¸Ñ ÑффективноÑти деÑтельноÑти и ÑтратегичеÑкой ÑтабильноÑти фирмы.ЦенноÑÑ‚ÑŒ Ñтатьи заключаетÑÑ Ð² разработке универÑального практичеÑкого инÑÑ‚Ñ€ÑƒÐ¼ÐµÐ½Ñ‚Ð°Ñ€Ð¸Ñ Ð¿Ð¾ повышению капитализации незавиÑимо от рыночной Ñпециализации Ñтраховой компании.English Abstract: The aim of this article is to conduct a conceptual study on the role of non-financial resources in the capitalization of an insurance company. The effectiveness of a company’s non-financial resources is based on its ability to generate financial capital from them, and a company’s employees and clients are the embodiment and creators of the most fundamental non-financial resources. We postulate that the needs of insurance companies to increase their capitalization is first addressed by ensuring adequate and quality capital is in place to maintain day to day business, and ensuring this capital is effectively structured. Therefore, our evaluation of the effectiveness of capital structure is conducted according to the resource based view of competitiveness. We explore the hypothesis that a company’s non-financial resources may be converted into financial capital when they are combined with an entrepreneurial influence - in this case, either an employee or a manager.We apply the following diverse methodologies. First, a deductive approach is used to construct a virtual human resources architecture, which allows us to allocate conceptual corporate tools for improving competitiveness. Next, using an inductive method, we determine the relevant components of human capital. The abstraction method is applied to demonstrate a situation whereby non-financial resources transform into financial capital. Finally, we utilize an analytical methodology to evaluate the respective theoretical approaches used by international insurance companies.We establish our methodological prerequisites in a conceptual model and successfully determined the onset of cost synergy as a combination of all company resources. Further, we identify the need for insurance companies to introduce personalized knowledge into corporate strategy. We thereby validate our hypothesis and confirm that the knowledge and experience of insurance companies’ employee and client bases represents an essential non-financial resource, and constitutes a legitimate structural element through which innovation capital may be developed and replenished.The novelty of our study is represented by its practical and theoretical applications. As our results indicate, we successfully outline a universal conceptual approach that enables an increase in capitalization regardless of the market specialization in which an insurance company operates. As such, not only can our findings be directly implemented by insurance companies as a new management approach in order to improve corporate efficiency and strategic stability, but can be seen to have immediate bearing on consumer and business interests beyond the insurance industry, as well as informing further theoretical strategy development in academia.
СовершенÑтвование инÑÑ‚Ñ€ÑƒÐ¼ÐµÐ½Ñ‚Ð°Ñ€Ð¸Ñ Ð¾Ñ†ÐµÐ½ÐºÐ¸ финанÑового потенциала отраÑли ÑлектроÑнергетики (Improving Tools for Assessing Financial Capacity in the Electric Power Industry)
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Russian Abstract: Ð'лиÑние внешних и внутренних факторов на Ñкономику компаний приводит к изменению финанÑового потенциала отраÑли ÑлектроÑнергетики и недоÑтаточно полной оценке активноÑти компаний ее ÑлектроÑнергетики Ð´Ð»Ñ Ð¿Ð¾Ð²Ñ‹ÑˆÐµÐ½Ð¸Ñ ÑффективноÑти ÑƒÐ¿Ñ€Ð°Ð²Ð»ÐµÐ½Ð¸Ñ Ñ€ÐµÑурÑами, что обуÑловило актуальноÑÑ‚ÑŒ Ð¿Ñ€Ð¾Ð²ÐµÐ´ÐµÐ½Ð¸Ñ Ð´Ð°Ð½Ð½Ð¾Ð³Ð¾ иÑÑледованиÑ. Ð' качеÑтве объекта иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ Ð²Ñ‹Ð±Ñ€Ð°Ð½ вид ÑкономичеÑкой деÑтельноÑти, который отноÑитÑÑ Ðº производÑтву, передаче и перераÑпределению ÑлектроÑнергии Ð´Ð»Ñ Ð¸Ð·Ð¼ÐµÑ€ÐµÐ½Ð¸Ñ Ñ„Ð¸Ð½Ð°Ð½Ñового потенциала и поиÑка резервов Ð¿Ð¾Ð²Ñ‹ÑˆÐµÐ½Ð¸Ñ Ð²ÐºÐ»Ð°Ð´Ð° в ÑкономичеÑкий роÑÑ‚ Ñтраны.Цель иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ ÑоÑтоит в оценке финанÑового потенциала отраÑли как иÑточника роÑта Ñкономики, а также возможноÑтей Ð¿Ñ€Ð¾Ð³Ð½Ð¾Ð·Ð¸Ñ€Ð¾Ð²Ð°Ð½Ð¸Ñ Ñ€Ð°Ð·Ð²Ð¸Ñ‚Ð¸Ñ Ñкономики в ÑлектроÑнергетике.Ð' Ñтатье раÑÑмотрены иÑточники финанÑÐ¸Ñ€Ð¾Ð²Ð°Ð½Ð¸Ñ Ð¸Ð½Ð²ÐµÑтиций в оÑновной капитал в отраÑли ÑлектроÑнергетики в РоÑÑийÑкой Федерации, определена динамика параметров, воздейÑтвующих на уровень финанÑового потенциала компаний отраÑли ÑлектроÑнергетики, проиллюÑтрирована динамика ÑтоимоÑти инвеÑтиций в денежном Ñквиваленте в Ñоотношении Ñ Ð¾Ð±Ð¾Ñ€Ð¾Ñ‚Ð¾Ð¼ ÑнергетичеÑких компаний. Ðа оÑнове проведенного иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ Ð°Ð²Ñ‚Ð¾Ñ€Ð°Ð¼Ð¸ разработаны модель гибкого Ñ€Ð°Ð·Ð²Ð¸Ñ‚Ð¸Ñ Ð¸ финанÑÐ¸Ñ€Ð¾Ð²Ð°Ð½Ð¸Ñ ÐºÐ¾Ð¼Ð¿Ð°Ð½Ð¸Ð¹ реального Ñектора Ñкономики (на примере компаний ÑлектроÑнергетики) и методичеÑкие рекомендации по формированию конкурентного механизма финанÑÐ¸Ñ€Ð¾Ð²Ð°Ð½Ð¸Ñ ÐºÐ¾Ð¼Ð¿Ð°Ð½Ð¸Ð¹ ÑлектроÑнергетики.Ðовизна предлагаемой модели заключаетÑÑ Ð² раÑширении возможноÑтей по инвеÑтированию в отраÑль ÑлектроÑнергетики как на региональном, так и на федеральном уровне и направлена на повышение финанÑового потенциала компаний â€" инициаторов проекта. Проведенный анализ позволил выделить четыре типа инÑтрументов финанÑированиÑ, которые рекомендуетÑÑ Ð¿Ñ€Ð¸Ð¼ÐµÐ½ÑÑ‚ÑŒ Ð´Ð»Ñ ÑовершенÑÑ‚Ð²Ð¾Ð²Ð°Ð½Ð¸Ñ Ð´ÐµÑтельноÑти компаний реального Ñектора Ñкономики: инÑтрументы гоÑударÑтвенно-чаÑтного партнерÑтва, инновационного развитиÑ, гоÑударÑтвенной ÑкономичеÑкой политики и фиÑкальные инÑтрументы.ПрактичеÑÐºÐ°Ñ Ð·Ð½Ð°Ñ‡Ð¸Ð¼Ð¾ÑÑ‚ÑŒ разработанных методичеÑких рекомендаций заключаетÑÑ Ð² том, что их Ð°Ð´Ð°Ð¿Ñ‚Ð°Ñ†Ð¸Ñ Ðº компаниÑм реального Ñектора Ñкономики позволит уÑовершенÑтвовать ÑтратегичеÑкое управление финанÑовым механизмом Ð°ÐºÐºÑƒÐ¼ÑƒÐ»Ð¸Ñ€Ð¾Ð²Ð°Ð½Ð¸Ñ Ð¿Ð¾Ñ‚Ð¾ÐºÐ¾Ð² доходов таких компаний в долгоÑрочной перÑпективе и выработать модель гибкого Ð¿Ð»Ð°Ð½Ð¸Ñ€Ð¾Ð²Ð°Ð½Ð¸Ñ Ð±ÑŽÐ´Ð¶ÐµÑ‚Ð° и оценки ключевых риÑков, возникающих на вÑех уровнÑÑ… ÑкономичеÑкого развитиÑ.English Abstract: This study is dedicated to estimating the impact of currency risk on the cost of equity in Brazil, Russia, India and South Africa. Our contribution to the literature is that we have obtained evidence on the pricing of exchange rate risk in developing countries, which at the time of writing is quite scarce. This scarcity is one motivation for our research, which is dedicated to BRICS capital markets, though with the Chinese stock market excluded since it is heavily regulated. The aim of this research is to determine whether in emerging countries stock markets currency risk is a significant factor that influences the cost of equity capital in a company. Changes in the value of exchange rates can impact the cash flows of a firm and its exposure to risk, and hence, the value of the company. In our research we will discuss the influence of exchange rate movements on the value of firms through their impact on the cost of equity. Specifically, we investigate whether companies that report substantial currency gains or losses have to pay a higher required rate of return on equity. Furthermore, in this study we make an attempt to estimate currency risk premia for exposure to appreciation and depreciation of currency separately, and try to identify possible differences.For each country, three analytical models that extend the Fama-French Three Factor Model (by incorporating currency risk) are estimated. We use an equal-weighted portfolio approach to identify currency risk factors. These factors are estimated either by using information about the ratio of currency gains to sales, or the magnitude of covariation between equity returns and exchange rate changes. In the second case appreciation and depreciation of domestic currency against the US dollar is considered separately.The results indicate that in Russia, firms which report substantial currency losses pay a positive risk premium, while in Brazil, India and South Africa companies with significantly positive or negative currency gains pay a lower required return on equity than firms with almost zero currency gains. Finally, we attempt to explain the estimation results using a sectoral breakdown of product exports for each country of the data sample.
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Russian Abstract: Ð'лиÑние внешних и внутренних факторов на Ñкономику компаний приводит к изменению финанÑового потенциала отраÑли ÑлектроÑнергетики и недоÑтаточно полной оценке активноÑти компаний ее ÑлектроÑнергетики Ð´Ð»Ñ Ð¿Ð¾Ð²Ñ‹ÑˆÐµÐ½Ð¸Ñ ÑффективноÑти ÑƒÐ¿Ñ€Ð°Ð²Ð»ÐµÐ½Ð¸Ñ Ñ€ÐµÑурÑами, что обуÑловило актуальноÑÑ‚ÑŒ Ð¿Ñ€Ð¾Ð²ÐµÐ´ÐµÐ½Ð¸Ñ Ð´Ð°Ð½Ð½Ð¾Ð³Ð¾ иÑÑледованиÑ. Ð' качеÑтве объекта иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ Ð²Ñ‹Ð±Ñ€Ð°Ð½ вид ÑкономичеÑкой деÑтельноÑти, который отноÑитÑÑ Ðº производÑтву, передаче и перераÑпределению ÑлектроÑнергии Ð´Ð»Ñ Ð¸Ð·Ð¼ÐµÑ€ÐµÐ½Ð¸Ñ Ñ„Ð¸Ð½Ð°Ð½Ñового потенциала и поиÑка резервов Ð¿Ð¾Ð²Ñ‹ÑˆÐµÐ½Ð¸Ñ Ð²ÐºÐ»Ð°Ð´Ð° в ÑкономичеÑкий роÑÑ‚ Ñтраны.Цель иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ ÑоÑтоит в оценке финанÑового потенциала отраÑли как иÑточника роÑта Ñкономики, а также возможноÑтей Ð¿Ñ€Ð¾Ð³Ð½Ð¾Ð·Ð¸Ñ€Ð¾Ð²Ð°Ð½Ð¸Ñ Ñ€Ð°Ð·Ð²Ð¸Ñ‚Ð¸Ñ Ñкономики в ÑлектроÑнергетике.Ð' Ñтатье раÑÑмотрены иÑточники финанÑÐ¸Ñ€Ð¾Ð²Ð°Ð½Ð¸Ñ Ð¸Ð½Ð²ÐµÑтиций в оÑновной капитал в отраÑли ÑлектроÑнергетики в РоÑÑийÑкой Федерации, определена динамика параметров, воздейÑтвующих на уровень финанÑового потенциала компаний отраÑли ÑлектроÑнергетики, проиллюÑтрирована динамика ÑтоимоÑти инвеÑтиций в денежном Ñквиваленте в Ñоотношении Ñ Ð¾Ð±Ð¾Ñ€Ð¾Ñ‚Ð¾Ð¼ ÑнергетичеÑких компаний. Ðа оÑнове проведенного иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ Ð°Ð²Ñ‚Ð¾Ñ€Ð°Ð¼Ð¸ разработаны модель гибкого Ñ€Ð°Ð·Ð²Ð¸Ñ‚Ð¸Ñ Ð¸ финанÑÐ¸Ñ€Ð¾Ð²Ð°Ð½Ð¸Ñ ÐºÐ¾Ð¼Ð¿Ð°Ð½Ð¸Ð¹ реального Ñектора Ñкономики (на примере компаний ÑлектроÑнергетики) и методичеÑкие рекомендации по формированию конкурентного механизма финанÑÐ¸Ñ€Ð¾Ð²Ð°Ð½Ð¸Ñ ÐºÐ¾Ð¼Ð¿Ð°Ð½Ð¸Ð¹ ÑлектроÑнергетики.Ðовизна предлагаемой модели заключаетÑÑ Ð² раÑширении возможноÑтей по инвеÑтированию в отраÑль ÑлектроÑнергетики как на региональном, так и на федеральном уровне и направлена на повышение финанÑового потенциала компаний â€" инициаторов проекта. Проведенный анализ позволил выделить четыре типа инÑтрументов финанÑированиÑ, которые рекомендуетÑÑ Ð¿Ñ€Ð¸Ð¼ÐµÐ½ÑÑ‚ÑŒ Ð´Ð»Ñ ÑовершенÑÑ‚Ð²Ð¾Ð²Ð°Ð½Ð¸Ñ Ð´ÐµÑтельноÑти компаний реального Ñектора Ñкономики: инÑтрументы гоÑударÑтвенно-чаÑтного партнерÑтва, инновационного развитиÑ, гоÑударÑтвенной ÑкономичеÑкой политики и фиÑкальные инÑтрументы.ПрактичеÑÐºÐ°Ñ Ð·Ð½Ð°Ñ‡Ð¸Ð¼Ð¾ÑÑ‚ÑŒ разработанных методичеÑких рекомендаций заключаетÑÑ Ð² том, что их Ð°Ð´Ð°Ð¿Ñ‚Ð°Ñ†Ð¸Ñ Ðº компаниÑм реального Ñектора Ñкономики позволит уÑовершенÑтвовать ÑтратегичеÑкое управление финанÑовым механизмом Ð°ÐºÐºÑƒÐ¼ÑƒÐ»Ð¸Ñ€Ð¾Ð²Ð°Ð½Ð¸Ñ Ð¿Ð¾Ñ‚Ð¾ÐºÐ¾Ð² доходов таких компаний в долгоÑрочной перÑпективе и выработать модель гибкого Ð¿Ð»Ð°Ð½Ð¸Ñ€Ð¾Ð²Ð°Ð½Ð¸Ñ Ð±ÑŽÐ´Ð¶ÐµÑ‚Ð° и оценки ключевых риÑков, возникающих на вÑех уровнÑÑ… ÑкономичеÑкого развитиÑ.English Abstract: This study is dedicated to estimating the impact of currency risk on the cost of equity in Brazil, Russia, India and South Africa. Our contribution to the literature is that we have obtained evidence on the pricing of exchange rate risk in developing countries, which at the time of writing is quite scarce. This scarcity is one motivation for our research, which is dedicated to BRICS capital markets, though with the Chinese stock market excluded since it is heavily regulated. The aim of this research is to determine whether in emerging countries stock markets currency risk is a significant factor that influences the cost of equity capital in a company. Changes in the value of exchange rates can impact the cash flows of a firm and its exposure to risk, and hence, the value of the company. In our research we will discuss the influence of exchange rate movements on the value of firms through their impact on the cost of equity. Specifically, we investigate whether companies that report substantial currency gains or losses have to pay a higher required rate of return on equity. Furthermore, in this study we make an attempt to estimate currency risk premia for exposure to appreciation and depreciation of currency separately, and try to identify possible differences.For each country, three analytical models that extend the Fama-French Three Factor Model (by incorporating currency risk) are estimated. We use an equal-weighted portfolio approach to identify currency risk factors. These factors are estimated either by using information about the ratio of currency gains to sales, or the magnitude of covariation between equity returns and exchange rate changes. In the second case appreciation and depreciation of domestic currency against the US dollar is considered separately.The results indicate that in Russia, firms which report substantial currency losses pay a positive risk premium, while in Brazil, India and South Africa companies with significantly positive or negative currency gains pay a lower required return on equity than firms with almost zero currency gains. Finally, we attempt to explain the estimation results using a sectoral breakdown of product exports for each country of the data sample.
СтратегичеÑкий ФинанÑовый Ðнализ Корпораций Санаторной Специализации в УÑловиÑÑ… СезонноÑти (Strategic Financial Analyses of Sanatorium Corporations under Conditions of Seasonality)
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Russian Abstract: Цель иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ ÑоÑтоит в разработке нового метода финанÑового анализа, обеÑпечивающего решение ÑтратегичеÑких задач Ñ€Ð°Ð·Ð²Ð¸Ñ‚Ð¸Ñ Ñ„Ð¸Ð½Ð°Ð½Ñовой уÑтойчивоÑти бизнеÑ-Ñтруктур, которые оÑущеÑтвлÑÑŽÑ‚ Ñвою деÑтельноÑÑ‚ÑŒ в уÑловиÑÑ… выраженной ÑезонноÑти внешней Ñреды. Структурированный ÑезонноÑтью отчетный финанÑовый период значительно затруднÑет уÑтановление ÑтоимоÑти компании, оценку финанÑовых риÑков и Ñдерживает инвеÑтиционную активноÑÑ‚ÑŒ в ключевой Ð´Ð»Ñ Ñ€ÐµÐ³Ð¸Ð¾Ð½Ð° Ð'ольшой Ялты Ñанаторной отраÑли. ОграниченноÑÑ‚ÑŒ клаÑÑичеÑких методов проÑвлÑетÑÑ Ð² отÑутÑтвии аналитичеÑких инÑтрументов, ÑпоÑобных объективно обоÑновывать программируемое временное Ñнижение финанÑовой уÑтойчивоÑти. ÐœÐ¾Ð±Ð¸Ð»Ð¸Ð·Ð°Ñ†Ð¸Ñ Ñ„Ð¸Ð½Ð°Ð½Ñовых реÑурÑов в ÑоответÑтвии Ñо ÑтратегичеÑкой программой ÑвлÑетÑÑ Ð¾Ð±Ñзательным уÑловием поддержки конкурентного ÑтатуÑа в отраÑли и регионе. Ð'ажна возможноÑÑ‚ÑŒ методичеÑки разделÑÑ‚ÑŒ тенденции финанÑового ÑоÑтоÑниÑ, приÑущие отдельным Ñтапам в жизненном цикле организации, и временные ÐºÐ¾Ð»ÐµÐ±Ð°Ð½Ð¸Ñ Ñ„Ð¸Ð½Ð°Ð½Ñового ÑоÑтоÑÐ½Ð¸Ñ Ð¿Ð¾Ð´ воздейÑтвием ÑезонноÑти. ИÑÑледование заполнÑет методичеÑкий пробел между положениÑми ÑтратегичеÑкого менеджмента и ÑтратегичеÑкого финанÑового анализа зарубежных и отечеÑтвенных авторов. Первую чаÑÑ‚ÑŒ методологичеÑкой базы ÑоÑтавлÑÑŽÑ‚ Ð¿Ð¾Ð»Ð¾Ð¶ÐµÐ½Ð¸Ñ ÑˆÐºÐ¾Ð»Ñ‹ конфигурации (в клаÑÑификации школ ÑтратегичеÑкого менеджмента Ð". Минцберга), ÐºÐ¾Ñ‚Ð¾Ñ€Ð°Ñ Ð¿Ñ€ÐµÐ´Ð¿Ð¾Ð»Ð°Ð³Ð°ÐµÑ‚ управление на оÑнове цепочки профилей («фирма-Ñреда») и поÑтапное доÑтижение конкурентоÑпоÑобноÑти бизнеÑа. Ð'Ñ‚Ð¾Ñ€Ð°Ñ Ñ‡Ð°ÑÑ‚ÑŒ â€" Ñто клаÑÑÐ¸Ñ„Ð¸ÐºÐ°Ñ†Ð¸Ñ Ñ‚Ð¸Ð¿Ð¾Ð² финанÑовых кризиÑов фирмы отечеÑтвенными авторами: капитала, прибыли, ликвидноÑти. Ð"Ð°Ð½Ð½Ð°Ñ Ð¿Ð¾ÑледовательноÑÑ‚ÑŒ была дополнена кризиÑами деловой активноÑти и денежного потока, что легло в оÑнову Ñ€Ð°Ð½Ð¶Ð¸Ñ€Ð¾Ð²Ð°Ð½Ð¸Ñ Ñ„Ð¸Ð½Ð°Ð½Ñовых коÑффициентов в новой модели (по признаку опаÑноÑти Ñ€Ð°Ð·Ð²Ð¸Ñ‚Ð¸Ñ Ð±Ð°Ð½ÐºÑ€Ð¾Ñ‚Ñтва). Методики финанÑового анализа уÑтанавливают лишь входÑщие уÑÐ»Ð¾Ð²Ð¸Ñ Ð¸ неÑколько альтернатив транÑформации финанÑового ÑоÑтоÑниÑ. Ð"Ð»Ñ Ñанаториев количеÑтво альтернативных вариантов из-за плохих и хороших Ñезонов может увеличиватьÑÑ ÐºÐ°Ð¶Ð´Ñ‹Ð¹ год прогреÑÑивно и требовать ÑущеÑтвенного переÑмотра Ñтратегии. Применение новой модели раÑкрывает поÑтапную поÑледовательноÑÑ‚ÑŒ реализации ÑтратегичеÑкой программы корпорации в ÑложившихÑÑ ÑƒÑловиÑÑ… внешней Ñреды и более определенно в чаÑти влиÑÐ½Ð¸Ñ ÑезонноÑти.English abstract: The purpose of this study is to develop a new method of financial analysis that aids the strategic development of financial sustainability in businesses operating in the context of pronounced seasonality. In this study, we consider the example of the sanatorium industry, which is a crucial industry for the Greater Yalta region. In this case, the seasoned reporting financial period can make it difficult to determine a company’s value and to assess relevant financial risks, and can restrain investment activity in these businesses.The limitations of classical analytical methods are apparent in the absence of tools available to objectively justify programmable temporary decreases in financial standing. However, such a strategic program is practically a prerequisite for maintaining competitive status in this particular region and industry, given the constant threat of recessions and the ubiquitous necessity for mobilization of financial resources. It is important to be able to methodically separate those recurring trends of financial activities that are inherent in individual stages in the life cycle of such organisations from the temporary fluctuations in financial conditions created through the influence of seasonality.This study aims to fill a methodological gap between the general provisions of strategic management studies and the strategic financial analyses of foreign and domestic authors. The first part of the methodological base relates to the provisions of the School of Configuration (as per the classification of the strategic management schools of H. Mintzberg). This approach involves management based on a chain of profiles (“firm-environmentâ€) and the gradual achievement of competitiveness. The second approach is related to the classification of the types of financial crises experienced by firms according to domestic authors, of which capital, profits, and liquidity are the paramount factors. This sequence of factors was additionally complemented by the inclusion of business activity and cash flow crises. The foregoing factors formed the basis for the ranking of financial ratios according to the new analytical model presented in this study, which is based on the central danger of bankruptcy. Methods of financial analysis establish only incoming conditions and several alternatives for the transformation of a business’s financial state. Sanatoriums may be faced with the situation whereby the number of alternative competing sources of respite or similar services available to their potential customers would increase progressively each year. A successive series of good or bad commercial seasons may easily require a substantial reappraisal of a business’s fundamental financial strategy. The application of the new model presented in this study reveals a phased sequence of strategic implementation which is catered more specifically to the potential challenges of seasonality inherent to these corporations.
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Russian Abstract: Цель иÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ ÑоÑтоит в разработке нового метода финанÑового анализа, обеÑпечивающего решение ÑтратегичеÑких задач Ñ€Ð°Ð·Ð²Ð¸Ñ‚Ð¸Ñ Ñ„Ð¸Ð½Ð°Ð½Ñовой уÑтойчивоÑти бизнеÑ-Ñтруктур, которые оÑущеÑтвлÑÑŽÑ‚ Ñвою деÑтельноÑÑ‚ÑŒ в уÑловиÑÑ… выраженной ÑезонноÑти внешней Ñреды. Структурированный ÑезонноÑтью отчетный финанÑовый период значительно затруднÑет уÑтановление ÑтоимоÑти компании, оценку финанÑовых риÑков и Ñдерживает инвеÑтиционную активноÑÑ‚ÑŒ в ключевой Ð´Ð»Ñ Ñ€ÐµÐ³Ð¸Ð¾Ð½Ð° Ð'ольшой Ялты Ñанаторной отраÑли. ОграниченноÑÑ‚ÑŒ клаÑÑичеÑких методов проÑвлÑетÑÑ Ð² отÑутÑтвии аналитичеÑких инÑтрументов, ÑпоÑобных объективно обоÑновывать программируемое временное Ñнижение финанÑовой уÑтойчивоÑти. ÐœÐ¾Ð±Ð¸Ð»Ð¸Ð·Ð°Ñ†Ð¸Ñ Ñ„Ð¸Ð½Ð°Ð½Ñовых реÑурÑов в ÑоответÑтвии Ñо ÑтратегичеÑкой программой ÑвлÑетÑÑ Ð¾Ð±Ñзательным уÑловием поддержки конкурентного ÑтатуÑа в отраÑли и регионе. Ð'ажна возможноÑÑ‚ÑŒ методичеÑки разделÑÑ‚ÑŒ тенденции финанÑового ÑоÑтоÑниÑ, приÑущие отдельным Ñтапам в жизненном цикле организации, и временные ÐºÐ¾Ð»ÐµÐ±Ð°Ð½Ð¸Ñ Ñ„Ð¸Ð½Ð°Ð½Ñового ÑоÑтоÑÐ½Ð¸Ñ Ð¿Ð¾Ð´ воздейÑтвием ÑезонноÑти. ИÑÑледование заполнÑет методичеÑкий пробел между положениÑми ÑтратегичеÑкого менеджмента и ÑтратегичеÑкого финанÑового анализа зарубежных и отечеÑтвенных авторов. Первую чаÑÑ‚ÑŒ методологичеÑкой базы ÑоÑтавлÑÑŽÑ‚ Ð¿Ð¾Ð»Ð¾Ð¶ÐµÐ½Ð¸Ñ ÑˆÐºÐ¾Ð»Ñ‹ конфигурации (в клаÑÑификации школ ÑтратегичеÑкого менеджмента Ð". Минцберга), ÐºÐ¾Ñ‚Ð¾Ñ€Ð°Ñ Ð¿Ñ€ÐµÐ´Ð¿Ð¾Ð»Ð°Ð³Ð°ÐµÑ‚ управление на оÑнове цепочки профилей («фирма-Ñреда») и поÑтапное доÑтижение конкурентоÑпоÑобноÑти бизнеÑа. Ð'Ñ‚Ð¾Ñ€Ð°Ñ Ñ‡Ð°ÑÑ‚ÑŒ â€" Ñто клаÑÑÐ¸Ñ„Ð¸ÐºÐ°Ñ†Ð¸Ñ Ñ‚Ð¸Ð¿Ð¾Ð² финанÑовых кризиÑов фирмы отечеÑтвенными авторами: капитала, прибыли, ликвидноÑти. Ð"Ð°Ð½Ð½Ð°Ñ Ð¿Ð¾ÑледовательноÑÑ‚ÑŒ была дополнена кризиÑами деловой активноÑти и денежного потока, что легло в оÑнову Ñ€Ð°Ð½Ð¶Ð¸Ñ€Ð¾Ð²Ð°Ð½Ð¸Ñ Ñ„Ð¸Ð½Ð°Ð½Ñовых коÑффициентов в новой модели (по признаку опаÑноÑти Ñ€Ð°Ð·Ð²Ð¸Ñ‚Ð¸Ñ Ð±Ð°Ð½ÐºÑ€Ð¾Ñ‚Ñтва). Методики финанÑового анализа уÑтанавливают лишь входÑщие уÑÐ»Ð¾Ð²Ð¸Ñ Ð¸ неÑколько альтернатив транÑформации финанÑового ÑоÑтоÑниÑ. Ð"Ð»Ñ Ñанаториев количеÑтво альтернативных вариантов из-за плохих и хороших Ñезонов может увеличиватьÑÑ ÐºÐ°Ð¶Ð´Ñ‹Ð¹ год прогреÑÑивно и требовать ÑущеÑтвенного переÑмотра Ñтратегии. Применение новой модели раÑкрывает поÑтапную поÑледовательноÑÑ‚ÑŒ реализации ÑтратегичеÑкой программы корпорации в ÑложившихÑÑ ÑƒÑловиÑÑ… внешней Ñреды и более определенно в чаÑти влиÑÐ½Ð¸Ñ ÑезонноÑти.English abstract: The purpose of this study is to develop a new method of financial analysis that aids the strategic development of financial sustainability in businesses operating in the context of pronounced seasonality. In this study, we consider the example of the sanatorium industry, which is a crucial industry for the Greater Yalta region. In this case, the seasoned reporting financial period can make it difficult to determine a company’s value and to assess relevant financial risks, and can restrain investment activity in these businesses.The limitations of classical analytical methods are apparent in the absence of tools available to objectively justify programmable temporary decreases in financial standing. However, such a strategic program is practically a prerequisite for maintaining competitive status in this particular region and industry, given the constant threat of recessions and the ubiquitous necessity for mobilization of financial resources. It is important to be able to methodically separate those recurring trends of financial activities that are inherent in individual stages in the life cycle of such organisations from the temporary fluctuations in financial conditions created through the influence of seasonality.This study aims to fill a methodological gap between the general provisions of strategic management studies and the strategic financial analyses of foreign and domestic authors. The first part of the methodological base relates to the provisions of the School of Configuration (as per the classification of the strategic management schools of H. Mintzberg). This approach involves management based on a chain of profiles (“firm-environmentâ€) and the gradual achievement of competitiveness. The second approach is related to the classification of the types of financial crises experienced by firms according to domestic authors, of which capital, profits, and liquidity are the paramount factors. This sequence of factors was additionally complemented by the inclusion of business activity and cash flow crises. The foregoing factors formed the basis for the ranking of financial ratios according to the new analytical model presented in this study, which is based on the central danger of bankruptcy. Methods of financial analysis establish only incoming conditions and several alternatives for the transformation of a business’s financial state. Sanatoriums may be faced with the situation whereby the number of alternative competing sources of respite or similar services available to their potential customers would increase progressively each year. A successive series of good or bad commercial seasons may easily require a substantial reappraisal of a business’s fundamental financial strategy. The application of the new model presented in this study reveals a phased sequence of strategic implementation which is catered more specifically to the potential challenges of seasonality inherent to these corporations.
