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Real options application for innovate investment in limited information conditions

Trifonov Yu.V. professor, dean of Economic Faculty, Nizhniy Novgorod State University n.a. N.I. Lobachevsky ( decanat@ef.unn.ru )

Yashin S.N. doctor of economic sciences, professor of chair of innovating management, Nizhny Novgorod State Technical University ( jashin@52.ru )

Koshelev E.V. associate professor, Nizhny Novgorod State University by N.I. Lobachevskiy ( ekoshelev@yandex.ru )

Journal: Finance and credit, #30, 2011

Real options method is adapted for the limited information about forecast business profitableness. Illustrated that the Black-Scholes option pricing model is not applicable for the real options valuing in this case. For the solving this problem used binomial model, modified in high risk conditions. Also modified model make it possible to follow the moments, profitable for advance execute the real option.


The assessment of organizational innovation of the company based on differential cash flow

Yashin S.N. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( jashinsn@yandex.ru )

Trifonov Yu.V. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( decanat@ef.unn.ru )

Koshelev E.V. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( ekoshelev@yandex.ru )

Journal: Financial Analytics: Science and Experience, #8, 2017

Importance The paper focuses on the problems of innovation profitability assessment. Organizational innovation is important for the companies as well as technical and technological ones.
Objectives The study aims at creating a relevant methodology allowing to estimate the efficiency of organizational innovations to choose a favorable version of similar administrative decisions from a set of the alternatives.
Methods We used the method of differential cash flow which represents the difference between the alternative and basic versions of organizational decision. For the solution of direct and inverse problems, we applied for the computational methods and computer modeling.
Results Besides the evaluation of the efficiency of organizational innovation, we have also solved the inverse task of calculation of the average debts maturity and current productive costs.
Conclusions and Relevance Use of a differential cash flow can have a practical application for evaluating the efficiency of various projects which have no individual commercial result.


An impact of value added tax on the effect of the economically standalone project with incorporation of a separate legal entity

Yashin S.N. Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( jashinsn@yandex.ru )

Trifonov Yu.V. Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( decanat@ef.unn.ru )

Koshelev E.V. Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( ekoshelev@yandex.ru )

Journal: Financial Analytics: Science and Experience, #11, 2016

Importance The research investigates how taxes influence corporate operations and result in various financial models, which allow optimizing tax policies of a certain corporation.
     Objectives The research demonstrates that not only income tax has a significant influence on financial decisions; reflects how VAT influences the project effect; shows that the tax will provide the opportunity only if the project is economically separated, with the incorporation of the separate legal entity.
     Methods The project effect is evaluated in three steps, considering VAT: formation of the project cash flow, assessment of its Net Present Value net of VAT, consideration how VAT influences the project NPV. This effect can be assessed using the Internal Rate of Return (IRR), with and without VAT.
     Results The article demonstrates that Value Added Tax reduces the project effect through NPV, and it can possibly increase VAT. It results in considerable reduction of the project IRR.
     Conclusions and Relevance VAT reduces the project effect and changes our understanding of initial capital needs for financing purposes. The findings may help business proprietors, top executives and financial analysts to more accurately plan cash flows from investment and innovative projects and evaluate their efficiency.


Forecasting the company growth rate based on reinvestment rate, profit margin and capital turnover

Yashin S.N. Lobachevsky State University of Nizhny Novgorod – National Research University, Nizhny Novgorod, Russian Federation ( jashinsn@yandex.ru )

Trifonov Yu.V. Lobachevsky State University of Nizhny Novgorod – National Research University, Nizhny Novgorod, Russian Federation ( decanat@unn.ru )

Koshelev E.V. Lobachevsky State University of Nizhny Novgorod – National Research University, Nizhny Novgorod, Russian Federation ( ekoshelev@yandex.ru )

Journal: Finance and credit, #1, 2016

Importance When investing money in company development, investors primarily assess ROI and risk. Therefore, it is important to reliably estimate prospects for future company growth by breaking it into several phases.
     Objectives The study aims to estimate the company growth rate to use it for earnings multiplier, book value and revenue calculations.
     Methods We offer a method, under which the growth is included in the company value and instilled with endogenous nature. In other words, it is necessary to convert the growth into the function of the volume of firm’s reinvestment in future growth and the quality of such reinvestment. For this purpose, we use a model for assessing the increment in retained earnings.
     Results It is important to determine the type of the growth model, i.e. single-phase or two-phase. The single-phase model of company growth may lead to serious distortions in forecasting the growth rate. If we revise the two-phase model (namely, apply constant growth rate, average balance sheet estimates and exclude short-term liabilities), it will provide more reliable results as compared with the one-phase model.
     Conclusions The findings may be useful for financial analysts to forecast company growth, to calculate the theoretical values of multipliers and compare them with market values.


A key cost analysis within the activity-based management

Trifonov Yu.V. Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( vizgunovhse@yandex.ru )

Vizgunov A.N. National Research University Higher School of Economics - Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( vizgunovhse@yandex.ru )

Journal: Economic Analysis: Theory and Practice, #37, 2015

Importance One of the most progressive modern concepts of management is the activity-based management. Many Russian enterprises use the elements of activity-based management; however, its integrated implementation is subject to certain difficulties. The major problem is to accurately determine the cost of activities and resources associated with business processes. Traditionally, the activity-based costing (ABC) method serves for this purpose; nevertheless, it is not efficient for fast changing business processes. The time-driven activity-based costing (TD ABC) method is not practical either due to its limited scope of application.
     Objectives The purpose of the study is to develop techniques for detailed accounting for, and efficient analysis and control of the cost of activities and resources associated with business processes.
     Methods The offered methodology considers only the most important key costs. Key costs are the basis for building a model of accurate allocation of indirect costs related to business process implementation. The key cost data are also used to find ways to reduce costs and mitigate risks.
     Results We offer criteria to assign costs to the key cost category. The article presents conditions, under which it is possible to use the key costs as an information base for management decision-making. Furthermore, we define how to develop an ABC-model based on the key cost data, and how to efficiently analyze fast changing business processes.
     Relevance The work may be useful for managers and employees of enterprises, implementing a process-based approach to management.


Estimated value of motivation of corporate top managers based on warrants

Yashin S.N. Lobachevsky State University of Nizhny Novgorod – National Research University, Nizhny Novgorod, Russian Federation ( jashinsn@yandex.ru )

Trifonov Yu.V. Lobachevsky State University of Nizhny Novgorod – National Research University, Nizhny Novgorod, Russian ( Federation decanat@unn.ru )

Koshelev E.V. Lobachevsky State University of Nizhny Novgorod – National Research University, Nizhny Novgorod, Russian Federation ( ekoshelev@yandex.ru )

Journal: Finance and credit, #11, 2016

Importance Motivation for company development is an important characteristic of top management. Most of modern researchers believe that to make an unbiased appraisal of top management performance, the results of their work should be assessed by the market.
     Objectives The study aims to assess the motivation of top managers by means of warrants. It is obvious that the motivation should have a certain price for the company, which needs to be preliminarily estimated. The stock price is adjusted for expected dilution, which is a consequence of warrant exercise.
     Methods The Black-Scholes model provides a conservative option value, therefore, it is often used to evaluate European options. However, for a more realistic picture of corporate operations, the model with dividends for European warrants should be used.
     Results We recommend to take the adjustment of the fair price of shares, which is obtained after the first specification of the fair price of the warrant. In this case, the price of motivation of top managers by means of warrants is calculated by multiplying the decrease in value of shares by the number of outstanding shares.
     Conclusions The obtained price of motivation of top managers should be compared to the current gain in the market value of the corporation for the planned period till the date of warrant exercise. If the current gain in the market value is expected to be higher than the price of motivation of top managers, the warrant-based motivation is considered as justified.


Using a real put option to manage risks of cluster's innovation strategy

Yashin S.N. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( jashinsn@yandex.ru )

Trifonov Yu.V. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( decanat@ef.unn.ru )

Koshelev E.V. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( ekoshelev@yandex.ru )

Journal: Finance and credit, #26, 2017

Subject The article addresses the problem of adjusting the innovation strategy of innovative and industrial clusters under uncertainty in external and internal environment.
Objectives The objective of the research is to develop a method to adjust the innovation strategy of innovative and industrial cluster development.
Methods To manage risks inherent in innovation and industrial cluster evolution, we apply the real put option technology to abandon a strategy. The level of market capitalization in money terms can be used as a function that most adequately characterizes the status and development prospects for individual companies or industries. The incremental cash flow, which represents a difference between the values of market capitalization at certain time intervals can be used as a cash flow of branch projects.
Results Using the real put option method to adjust the strategy of the Nizhny Novgorod innovation and industrial cluster made it possible to obtain a full effect from the strategy, which is substantially higher than the minimum required value determined by the sale of the Volga Shipping company. In this case, the option for a possible abandonment of the started strategy of the cluster substantially increases the considered total effect.
Conclusions and Relevance Such an approach to managing the risks of cluster evolution, which applies real option technologies enables to adjust the global strategy of the region, if necessary.


Developing a corporate investment program under conditions of limited information on future reinvestment opportunities

Trifonov Yu.V. Lobachevsky State University of Nizhny Novgorod - National Research University, Nizhny Novgorod, Russian Federation ( decanat@ef.unn.ru )

Yashin S.N. Lobachevsky State University of Nizhny Novgorod - National Research University, Nizhny Novgorod, Russian Federation ( jashinsn@yandex.ru )

Koshelev E.V. Lobachevsky State University of Nizhny Novgorod - National Research University, Nizhny Novgorod, Russian Federation ( ekoshelev@yandex.ru )

Journal: Finance and credit, #37, 2014

The work describes a method of developing a corporate investment program under conditions of limited information on future reinvestment opportunities. The authors show that the renowned Dean method may not produce a final result in the form of the best program due to the problem of circling, which is popular in the financial literature. A serious disadvantage of the Dean's solution is the inclusion of projects into a program on a stand-alone basis. This does not allow assessing the resulting effectiveness of the entire pipeline of projects. To resolve this problem, the authors suggest using the following criteria: overall profitability index, modified index of overall profitability, index of overall profitability of equivalent annuities. The last of the three indices is the most appropriate for evaluating the effectiveness of the pipeline of projects, though other indexes also contain additional useful information for investors. The most significant result of the three indices is that they enable to test the Dean's solution with sufficient reliability at the first iteration after its receipt. In addition, the proposed indexes contain more information about the most optimal program for investors depending on their purpose: whether to invest to maximum effect or effectively implement the maximum number of projects. Thus, the authors solve the problem of circling in the Dean's solution, it becomes possible to structure more profitable investments and choose the most effective options of maximum diversification of investment risk.


A concept of creating innovative and industrial clusters in the region

Yashin S.N. National Research Lobachevsky State University of Nizhny Novgorod (UNN), Nizhny Novgorod, Russian Federation ( jashinsn@yandex.ru )

Trifonov Yu.V. National Research Lobachevsky State University of Nizhny Novgorod (UNN), Nizhny Novgorod, Russian Federation ( decanat@ef.unn.ru )

Koshelev E.V. National Research Lobachevsky State University of Nizhny Novgorod (UNN), Nizhny Novgorod, Russian Federation ( ekoshelev@yandex.ru )

Journal: Financial Analytics: Science and Experience, #24, 2016

Importance Despite the existence of standard models to manage clusters, their formation and evolution processes are understudied. The required models should adequately describe organizational problems and market mechanisms of their realization, using proper tools.
Objectives The aim of the study is to develop an approach enabling to distinguish the core company of the future innovative and industrial cluster so as to subsequently expand this type of business to a pilot cluster of the region.
Methods We offer using a book value multiplier, Tobin's Q Ratio and revenue multipliers. They help find out whether the investigated company is able to become the core company of the potential cluster in the near future. To manage the risk of cluster evolution, we apply the technologies of real options.
Results To estimate the cost of real options, we compared three the most common models, i.e. the Black-Scholes model, binomial model and trinomial model. We accounted for money depreciation, even over one-year period. This is especially important for emerging markets like Russia. Thus, we used the Asian option model, i.e. an option with changing exercise price (in our case, at the inflation rate). The findings show that the trinomial model is more precise as compared to the binomial or Black-Scholes model.
Conclusions and Relevance This approach to risk management of cluster evolution enables to correct the global strategy of a cluster, if required.


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