Finance: Theory and Practice最新文献

{"title":"Application of the Company’s “Golden Age” Effect in the Economic Practice","authors":"P. Brusov, T. V. Filatova, V. Kulik","doi":"10.26794/2587-5671-2024-28-3-61-83","DOIUrl":"https://doi.org/10.26794/2587-5671-2024-28-3-61-83","url":null,"abstract":"Taking into account the conditions of the real functioning of companies, one of the most striking effects in financial management is investigated: the “golden age” of the company (when the cost of capital raised is below the perpetuity limit, and the company’s value is higher). With this aim the dependence of cost of raising capital, WACC, on the age of company, n, is studied at various leverage levels, at various values of equity and debt costs, at different frequencies of tax on income payments, p, with advance payments of tax on income and payments at the end of periods, at variable income of the companies. The existence of the weighted average cost of capital, WACC, minimum and its behavior at wide range of above parameters is investigated. All calculations are made within modern theory of capital cost and capital structure by Brusov-Filatova-Orekhova (BFO theory), generalized to the conditions of the real functioning of the company. Practical recommendations for using and maintaining the “golden age” effect are given. It is shown, that “the golden age” depends on the financial indicators of the company. It can change and be controlled by changing parameters such as the cost of capital (equity and debt), frequency and method of tax on income payments, growth income rate etc. The study of the dependence of WACC on the age of the company n, WACC(n), which can only be carried out within the framework of the BFO theory, turns out to be very important in the income approach to business valuation. This allows you to link a retrospective analysis of a company’s financial condition with a representative analysis as part of a business valuation.","PeriodicalId":36110,"journal":{"name":"Finance: Theory and Practice","volume":"98 12","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141657419","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Simulation of the Bankruptcy Event of Companies Associated with a Business Group","authors":"V. V. Lopatenko, A. M. Karminsky","doi":"10.26794/2587-5671-2024-28-3-94-108","DOIUrl":"https://doi.org/10.26794/2587-5671-2024-28-3-94-108","url":null,"abstract":"The purpose of the study is to determine the influence of a business group on the assessment of the borrower’s creditworthiness, as well as to identify the most significant credit risk factors. Despite the fact that creditworthiness assessment is widely disseminated in both domestic and foreign literature, the impact of the consolidated group in the context of this problem is practically not mentioned. The authors use a statistical modeling method using logistic regression. The variable models are based on the annual financial statements of both individual companies and business groups. To select factors and build a model, approaches used in statistics and machine learning were used to obtain unbiased and effective estimates, independent of the sample generating these estimates. Analyzed data of 8691 companies providing annual financial statements in accordance with Russian accounting standards from 2015 to 2021. The total sample size was 22 201 observations. The number of bankruptcy events in the sample is 238 observations. Variables calculated from consolidated financial statements in accordance with international standards were used as information about the group. Various views on the concepts of “business group” and “holding” in the domestic literature are considered and systematized. Features of the behavior of companies united in groups are given. Variables associated with the business group that are significant in assessing the probability of bankruptcy of individual companies have been identified. Various specific aspects of the activities of companies associated with the group are mentioned. A statistical model is constructed to confirm a number of hypotheses, which is subject to verification and analysis. The bankruptcy event is used to determine the significant deterioration of a company’s creditworthiness. It is concluded that the use of group reporting data can improve the quality of model prediction for companies associated with a business group.","PeriodicalId":36110,"journal":{"name":"Finance: Theory and Practice","volume":"96 24","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141657901","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"COVID‑19 and the Stock Market Crash: Evidence from Indonesia","authors":"N. Nurcahyono, D. Purwanto","doi":"10.26794/2587-5671-2024-28-3-120-130","DOIUrl":"https://doi.org/10.26794/2587-5671-2024-28-3-120-130","url":null,"abstract":"The purpose of the study is to determine the impact of the COVID‑19 pandemic on the market response, measured by abnormal returns, cumulative abnormal returns and average abnormal returns. The authors use OLS events and regression analysis methods to measure market response at three-time intervals: in the beginning of COVID‑19, during the onset of Delta and Omicron viruses. OLS is used to measure the capital market reaction in the window (–10, +10) for each industry index. The results of the study show that investors reacted very sharply to the onset of COVID‑19, which caused high volatility in the market. Most abnormal returns after the pandemic announcement reacted negatively. Only three sectors — consumer, infrastructure and trade — were in the safe zone. At the same time, the spread periods of Delta and Omicron viruses are characterized by slight differences in the average abnormal yield after the announcement. The results of a study in three time frames concluded that the market response was significant only to five-day (0, +5) ads based on AAR and CAAR.","PeriodicalId":36110,"journal":{"name":"Finance: Theory and Practice","volume":"90 26","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141657749","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Financial Development of the Russian Federation: Problems of Measurement and Evaluation","authors":"G. Gospodarchuk, M. Y. Postnikov","doi":"10.26794/2587-5671-2024-28-3-19-30","DOIUrl":"https://doi.org/10.26794/2587-5671-2024-28-3-19-30","url":null,"abstract":"Financial development has a significant impact on the restructuring of the economy, long-term economic growth and improvement of the level and quality of life of the population. In this regard, this study aims to address the challenge of adequate measurement and assessment of the level and dynamics of financial development a relevant task for public administration. The goal of the study is to develop a system of indicators to measure the level and dynamics of financial development of countries. These indicators could improve the effectiveness of public decision-making in the sphere of finance. The research used the methods of systemic, comparative, and matrix analysis. As a result, the authors present a matrix system of financial development indicators, which characterizes the levels, dynamics, and interrelationships of financial development in the country as a whole, and in the context of financial market segments and sectors of the economy. This system reflects the real value of financial assets per capita, thereby, providing the scientific novelty of the study and increasing the objectivity of the results of analysis and evaluation. The developed indicators were tested with regard to the Russian Federation for the period of 2013–2021 using statistical data of the System of National Accounts in terms of financial balances. The results made it possible to determine the level and dynamics of financial development of the Russian Federation, to identify the sectors of the economy and financial instruments that contributed most to financial development in 2021; the sectors and instruments that impeded financial development; as well as to determine prospective directions of financial development in the near future. The use of new indicators will improve the comprehensiveness and quality of the analysis of financial development, as well as ensure the adoption of researchbased and effective decisions in the design of state strategic documents.","PeriodicalId":36110,"journal":{"name":"Finance: Theory and Practice","volume":"71 5","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141655349","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Investments in Fixed Capital of the Oil and Gas Region as an Indicator of Its Readiness for the Financial Embargo and Transformation of the Global Energy Balance","authors":"I. Beilin","doi":"10.26794/2587-5671-2024-28-3-157-173","DOIUrl":"https://doi.org/10.26794/2587-5671-2024-28-3-157-173","url":null,"abstract":"The financial embargo has a special impact on the economic systems of oil and gas regions. This is explained by the increased foreign trade turnover of oil and gas regions, as well as the high capital intensity of the oil and gas industry, a long period of return on financial investments, and the high profitability of innovative investments. The purpose of the study is to identify various aspects of the problem of investing in fixed assets in oil and gas regions, find ways, forms and methods of investment stimulation of their innovative production development and assess the possibilities of transitioning to new technological structures in the conditions of a financial embargo and the transformation of the global energy balance. Methods of regression analysis of the structure and dynamics of investment in fixed capital of organizations in the oil and gas regions of the Volga Federal District were used and polynomial trend lines were constructed until 2030. An economic analysis of the structure of investment in fixed capital of oil and gas regions was made by sources of financing, types of fixed assets, forms of ownership, types of economic activity, as well as a regression analysis of the dynamics and forecast of the balance (receipt minus withdrawal) of foreign direct investment in oil and gas regions according to the balance of payments of the Russian Federation. The result of the study was the development and justification of a system of priority factors for creating a favorable investment climate in oil and gas regions to increase their resistance to the conditions of the financial embargo and the economic transformation of the global energy balance.","PeriodicalId":36110,"journal":{"name":"Finance: Theory and Practice","volume":"114 19","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141657163","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Model of Growth of the Region’s Economy Based on the Index of Economic Complexity","authors":"A. Chupin, V. N. Zas’ko, D. E. Morkovkin, O. Dontsova","doi":"10.26794/2587-5671-2024-28-3-52-60","DOIUrl":"https://doi.org/10.26794/2587-5671-2024-28-3-52-60","url":null,"abstract":"An important target of the UN Sustainable Development Goals (SDGs) is the efficient use of the planet’s resources. In this study, the authors show a strong exponential relationship between the economic complexity index and the efficiency of resource use in a country. The economic complexity index is a characterization of the productive capacity of large economies. This index measures the level of knowledge accumulated by a society that enables production. Assessing the level of a country’s index also makes it possible to predict future trends in the region’s economy. The model of economic sophistication index proposed by the authors includes the service economy, retail trade and manufacturing. Thus, in the paper, the authors identify how the economic complexity index affects the product level by defining the product space for each country and identifying the main products that contribute to a high product complexity index and prospective scalability, indicating the potential to produce better products in the future. Policies focused on increasing economic complexity and investing in staple products appear to be a priority for achieving sustainable development.","PeriodicalId":36110,"journal":{"name":"Finance: Theory and Practice","volume":"107 4","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141657215","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Analytical Toolkit for Assessing Financial Security Risks of Companies in the Russian Construction Sector","authors":"N. Kazakova, A. K. Zavalishina","doi":"10.26794/2587-5671-2024-28-3-109-119","DOIUrl":"https://doi.org/10.26794/2587-5671-2024-28-3-109-119","url":null,"abstract":"The construction sector today accounts for the largest volume of public procurement, bankruptcies and corporate fraud. Practice shows that the methods used to identify unscrupulous companies are not effective enough, which determines the relevance of the development of integrated risk assessment tools for financial security. In this regard, the purpose of the study was to substantiate the risk-factor approach to assessing and diagnosing financial security risks using a comprehensive analytical toolkit developed based on the concepts of industry analysis, professional auditing standards and financial reporting. The scientific novelty of the study is to integrate methods of assessment of financial security risks, the application of basic data processing technologies and flexible situation modeling with the possibility of adjusting models to a specific situation, taking into account identified industry risks. The theoretical significance of the study is represented by the concept of financial security as an aggregate result of the action of identified risk factors in the conditions of a highly turbulent economy, which served as a navigator for the development of an analytical tool that ensures consistency of the interpretation of the results at the stages of industry analysis, assessment of the likelihood of bankruptcy by logit-model and diagnosis of corporate fraud risks based on indicators of probability of distortion of financial statements. The practical value of the toolkit is the application of the international classification of financial risks, the selection of adequate, statistically significant indicators, calculated on the empirical basis of the financial statements of companies in the construction industry, downloaded from the Spark-Interfax information resource, which also proves the relevance of the results obtained and the possibility of using for the selection of organizations — potential participants in public procurement, in the audit practice, related audit services, arbitration practice, investment and banking to identify unscrupulous borrowers.","PeriodicalId":36110,"journal":{"name":"Finance: Theory and Practice","volume":"82 13","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141657802","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Risk Modeling and Connectedness Across Global and Industrial US Fintech Stock Market: Evidence from the COVID‑19 Crisis","authors":"O. Gharbi, M. Boujelbène, R. Zouari","doi":"10.26794/2587-5671-2025-29-2-6-19","DOIUrl":"https://doi.org/10.26794/2587-5671-2025-29-2-6-19","url":null,"abstract":"The main purpose of this paper is to test the performance of GARCH models in estimating and forecasting VaR (value at risk) of the US Fintech stock market from July 20, 2016, to December 31, 2021. In addition, this study examines the impact of COVID‑19 on the risk spillover between the adequate VaR series of the US global KFTX index and the five Fintech industries. Specifically, we compare different VaR estimates (862 in‑sample daily returns) and predictions (550 out‑of‑sample daily returns) of several GARCH model specifications under a normal and Student‑t distribution with 1% and 5% significance. The Backtesting results indicate that I‑GARCH with Student‑t distribution is a good model for estimating and forecasting VaR of the US Fintech stock market before and during COVID-19. Moreover, the total connectedness results suggest that global and each Fintech industry increases significantly under turbulent market conditions. Given these considerations, this paper provides policymakers and regulators with a better understanding of risk in the Fintech industry without inhibiting innovation.","PeriodicalId":36110,"journal":{"name":"Finance: Theory and Practice","volume":"89 13","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141123071","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Does the Disposition Effect Justify the Options Traders’ Irrationality?","authors":"V. Choubey, P. V. Joshi","doi":"10.26794/2587-5671-2024-28-4-6-17","DOIUrl":"https://doi.org/10.26794/2587-5671-2024-28-4-6-17","url":null,"abstract":"","PeriodicalId":36110,"journal":{"name":"Finance: Theory and Practice","volume":"14 8S","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141016767","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Determination of Investment Success and its Factors for Russian Cinema at the Box Office Using Machine Learning","authors":"A. Dozhdikov","doi":"10.26794/25875671-2024-28-1-188-203","DOIUrl":"https://doi.org/10.26794/25875671-2024-28-1-188-203","url":null,"abstract":"Historical data of the box office of Russian cinema is the object of research. The purpose  of  the  study  is  to determine the possibility of forecasting the cash fees of  the  film  project  at  an  early stage  in  the  production  of films, which is especially important due to withdrawal of foreign distributors from the Russian market. The analysis was carried out on data for the entire population (N = 1400) of Russian national films that were released from the beginning of 2004 to April 2022. These data are introduced into scientific circulation for the first time. The study used methods of evaluation of film projects based on historical profitability and classification of films by genres, directors, screenwriters. The result of the experiment on 7 machine learning and neural network models achieved an accuracy of 0.96 and ROC (AUC) = 0.98. The article provides conclusions about the directions for improving forecasting methods and conclusions about the limitations of the proposed approach. Taking into account the high volatility of the individual financial result of a film project, recommendations were made by the “portfolio” principle of investment, which opens the prospects of debt and equity financing of cinema using market financial instruments, issuance of bonds and shares by producers and distributors.","PeriodicalId":36110,"journal":{"name":"Finance: Theory and Practice","volume":"42 6","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140276073","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}