+7 925 966 4690, 9am6pm (GMT+3), Monday – Friday
ИД «Финансы и кредит»






Digest Finance

Behavioral valuation in the Russian and Western stock markets

Vol. 28, Iss. 4, DECEMBER 2023

PDF  Article PDF Version

Received: 28 November 2019

Received in revised form: 12 December 2019

Accepted: 26 December 2019

Available online: 28 December 2023

Subject Heading: THEORY OF FINANCE

JEL Classification: C9, C92, D81, D90, G02

Pages: 461–478


Semen Yu. BOGATYREV Financial University under Government of Russian Federation, Moscow, Russian Federation


Subject. The article discusses changes in qualities of market actors that influence the valuation of assets, behavioral valuation, ranges of the valuation apparatus components. I focus on the practical implementation of the behavioral pricing and a technique for assessing key indicators of behavioral valuation of assets.
Objectives. The study measures ranges of certain values adjusting the beta coefficient, which is used to assess the discount rate under the CAPM so as to arrive at the behavioral discount rate and market value of assets in markets with reference to behavioral factors.
Methods. The article demonstrates how the behavioral pricing apparatus is applied. I also present some computations, propose benchmarks for assessing the adjustment to components of the discount rate formula for valuation purposes and in line with the emotional tone in stock markets.
Results. I devised and implemented the technique for measuring the emotional tone of news and integrated methods for assessing the behavioral beta in accordance with the behavioral CAMP of Hersch Shefrin and Meir Statman. I tested and verified the hypothesis stating that emotions cause the beta coefficient, which is used by irrational investors use, to diverge from the one embedded in the CAPM. The article shows a range of the beta coefficient used by irrational investors from the one embedded in the CAPM. It can be used to assess the market value of shares in a particular case.
Conclusions and Relevance. The theory of behavioral valuation of financial assets was put into practice, unveiling the value of the discount rate constituents, which can serve for cost analysts and appraisers. The findings are useful for valuation, corporate finance, public and municipal finance, fiscal issues, stock exchanges. Behavioral valuation tools are especially relevant in case of instability and crisis, a changing market paradigm, market developments, changes in the rate of return and volatility of financial instruments. Behavioral valuation tools supplements and expands the classical one, improves decision-making on value management in modern markets.

Keywords: behavioral finance, behavioral valuation, irrational beta, beta coefficient, behavioral discount rate


  1. Shefrin H., Statman M. Behavioral Capital Asset Pricing Theory. Journal of Financial and Quantitative Analysis, 1994, vol. 29, no. 3, pp. 323–349. URL: Link
  2. Statman M., Fisher K.L., Anginer D. Affect in a Behavioral Asset-Pricing Model. Financial Analysts Journal, 2008, vol. 64, no. 2, pp. 20–29. URL: Link
  3. Shefrin H., Belotti M.L. Risk and Return in Behavioral SDF-based Asset Pricing Models. Journal of Investment Management, 2008, vol. 6, no. 3, pp. 2–23.
  4. Shefrin H., Statman M. Behavioral Portfolio Theory. The Journal of Financial and Quantitative Analysis, 2000, vol. 35, no. 2, pp. 127–151. URL: Link
  5. Athey S., Eckles D., Imbens G.W. Exact p-Values for Network Interference. Journal of the American Statistical Association, 2018, vol. 113, iss. 521, pp. 230–240. URL: Link
  6. Bogatyrev S.Yu. [Valuation analysis of shares in the Bloomberg data analysis service]. Voprosy oсenki, 2014, no. 1, pp. 12–38. (In Russ.)
  7. Bogatyrev S.Yu. [Valuation using the residual income method: Application algorithms and means of information]. Upravlencheskii uchet i finansy = Managerial Accounting and Finance, 2017, no. 2, pp. 146–155. (In Russ.)
  8. Hausman J. Contingent Valuation: From Dubious to Hopeless. Journal of Economic Perspectives, 2012, vol. 26, no. 4, pp. 43–56. URL: Link
  9. Grigor'ev V.V. [Specifics of the discount rate calculation in the business valuation]. Ekonomika. Nalogi. Pravo = Economy, Taxes & Law, 2018, vol. 11, no. 3, pp. 83–88. (In Russ.) URL: Link
  10. Zimin V.S., Trishin V.N. [Analyzing the value of assets held by major resource companies in Russia by the 2006 Forbes rating]. Ekonomicheskie strategii = Economic Strategies, 2006, vol. 8, no. 5-6, pp. 50–61. (In Russ.)
  11. Mikhailets V.B. [Continuing the talk of the discount rate in valuation and income methods]. Voprosy ocenki, 2005, no. 1, pp. 2–14. URL: Link (In Russ.)
  12. Cornell B., Damodaran A. Tesla: Anatomy of a Run-Up Value Creation or Investor Sentiment? URL: Link
  13. Taylor R. Common Mistakes in Valuation Reports. Financial Valuation and Litigation Expert Journal, 2018, no. 75, pp. 78–82. URL: Link
  14. Matschke M.J., Brösel G., Matschke X. Fundamentals of Functional Business Valuation. Journal of Business Valuation and Economic Loss Analysis, 2010, vol. 5, iss. 1, pp. 1–39. URL: Link
  15. Banz R.W. The Relation between Return and Market Value of Common Stocks. Journal of Financial Economics, 1981, vol. 9, iss. 1, pp. 3–18. URL: Link90018-0
  16. Basu S. The Relationship between Earnings Yield, Market Value, and Return for NYSE Common Stocks: Further Evidence. Journal of Financial Economics, 1983, vol. 12, iss. 1, pp. 129–156. URL: Link90031-4
  17. Bates D.S. The Crash of 87: Was it Expected? The Evidence from Options Markets. Journal of Finance, 1991, vol. 46, no. 3, pp. 1009–1044. URL: Link
  18. Blume L., Easley D. Evolution and Market Behavior. Journal of Economic Theory, 1992, vol. 58, iss. 1, pp. 9–40. URL: Link90099-4
  19. Brennan M.J., Chordia T., Subrahmanyam A. Alternative Factor Specifications, Security Characteristics and the Cross-Section of Expected Stock Returns. Journal of Financial Economics, 1998, vol. 49, iss. 3, pp. 345–373. URL: Link00028-2
  20. Rogalski R.J., Tinic S.M. The January Size Effect: Anomaly or Risk Mismeasurement? Financial Analysts Journal, 1986, vol. 42, no. 6, pp. 63–70.

View all articles of issue


ISSN 2311-9438 (Online)
ISSN 2073-8005 (Print)

Journal current issue

Vol. 28, Iss. 4
December 2023