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Behavioral valuation in the Russian and Western stock markets

Bogatyrev S.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( sbogatyrev@fa.ru )

Journal: Finance and Credit, #3, 2020

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.


The behavioral valuation apparatus

Bogatyrev S.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( sbogatyrev@fa.ru )

Journal: Finance and Credit, #2, 2020

Subject The article discusses behavioral valuation tools and focuses on the creation of the behavioral valuation methodology.
Objectives The study reveals mechanisms for setting behavioral valuation indicators.
Methods I prove it is reasonable to apply the classical theory of valuation to set behavioral valuation tools. The article presents elements and formulae of the classical valuation theory and provides mechanisms for setting respective tools.
Results Mood measurement in news is the backbone of analytical tools described in the article. As part of the mood measurement in news, researchers process all news relating to analyzable companies and measure it by seven-grade scale. I articulated the behavioral beta measurement theory in accordance with the behavioral pricing theory of Hersh Shefrin and Meyer Statman. The article unveils the possible effect of using analytical materials, which complement the decision-making process concerning an investment strategy in the most distant retrospect. I showcase how the fundamental analysis and valuation may help you record a quotation per each day while catching what opinion an analyst had about the quotation at the same point of time, what emotional environment surrounded the pricing process within the analyzable period of time.
Conclusions and Relevance The article presents the method to set behavioral valuation tools, being a step towards pricing based on behavioral valuation. The article showcases the relationship of behavioral valuation tools and classical valuation tools and new valuation models. I devised the framework for practical computations. The findings apply to valuation, corporate finance, public and municipal finance, tax issues, stock exchanges. It is especially important to use behavioral valuation tools during the instability and crisis, change in the market paradigm, market shifts, changes in the return and volatility of financial instruments. Behavioral valuation tools supplements and extends the conventional tools used in traditional finance, makes cost management decisions more informed.


Theoretical principles of behavioral valuation

Bogatyrev S.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( sbogatyrev@fa.ru )

Journal: Finance and Credit, #1, 2020

Subject The study examines properties of market actors that influence the valuation of assets, behavioral valuation processes, functions of constituents of the valuation practice, behavioral types of market actors, mutual impact of valuation parties in the financial market.
Objectives The study lays the basis for refining the classic framework for behavioral valuation on the basis of behavioral factors and irrational behavior of market actors and investors, disclosing the content of key constituents of the behavioral pricing theory.
Methods The article relies upon the analysis and generalization.
Results The article presents my own interpretation of the behavioral pricing theory. I overview how key principles of the above theory are applied nowadays. The theory of behavioral pricing for financial assets is construed as the basis for improving the classic framework of valuation. I show how valuation tools are used through behavioral factors, concerning the irrational behavior of market actors and investors. The article unveils the content of key constituents of the behavioral pricing theory.
Conclusions and Relevance Proposed by H. Shefrin and M. Statman, the behavioral view of asset valuation mirrors the Capital Asset Pricing Model. As the CAMP underlies traditional finance, behavioral finance stems from the discount rate based on the behavioral theory of asset valuation. I have discovered a group of investors which use the model for appraisal. The behavioral view of asset valuation was found to have useful characteristics and those ones reflecting predilections and behavioral aspects. The findings can be used for purposes of valuation, corporate finance, taxation, stock markets, especially during the instability and crisis, change in the market paradigm, market shifts, fluctuations of earnings and volatility of financial instruments.


Contemporary Issues of Valuation: Errors and Abuses

Bogatyrev S.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( sbogatyrev@fa.ru )

Journal: Digest Finance, #4, 2019

Subject The article reviews misstatements arising from appraisal when three key valuation methods are used, i.e. income, comparative and cost methods. I also focus on valuation practices and instances when the above methods are inconsistent with the theory and adequate information resources.
Objectives I identify key errors and show instances of abuse as part of key valuation methods, and propose methods to assess such instances and prevent misstatements.
Methods The research is based on methods of analysis, synthesis, and formalization in identifying and describing valuation errors.
Results I refer to multiple cases and examples to illustrate the incorrect use of valuation approaches. The article also describes key theoretical provisions of valuation, which should be applied to detect errors and abuses of appraisers and cost analysts. I suggest what mechanisms should be used to prevent valuation abuses and show how modern information systems can work to correct inadequate valuation results.
Conclusions and Relevance In the time of market turbulence, unbalanced information and key indicators, appraisers tend to commit a lot of incidental errors in reports and abuses by deliberately misstating valuation outcomes through manipulations. Referring to such instances identified and described, methods to detect them and proposed measures to adjust valuation procedures for available information, appraisers, cost analysts, users of valuation reports will have precise value benchmarks, compile unbiased economic indicators in order to make adequate managerial decisions.


Contemporary issues of appraisal: Errors and abuses

Bogatyrev S.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( sbogatyrev@fa.ru )

Journal: Financial Analytics: Science and Experience, #4, 2019

Subject The article reviews misstatements arising from appraisal when three key valuation methods are used, i.e. income, comparative and cost methods. I also focus on valuation practices and instances when the above methods are inconsistent with the theory and adequate information resources.
Objectives I identify key errors and show instances of abuse as part of key valuation methods, and propose methods to assess such instances and prevent misstatements.
Methods The research is based on methods of analysis, synthesis, and formalization in identifying and describing valuation errors.
Results I refer to multiple cases and examples to illustrate the incorrect use of valuation approaches. The article also describes key theoretical provisions of valuation, which should be applied to detect errors and abuses of appraisers and cost analysts. I suggest what mechanisms should be used to prevent valuation abuses and show how modern information systems can work to correct inadequate valuation results.
Conclusions and Relevance In the time of market turbulence, unbalanced information and key indicators, appraisers tend to commit a lot of incidental errors in reports and abuses by deliberately misstating valuation outcomes through manipulations. Referring to such instances identified and described, methods to detect them and proposed measures to adjust valuation procedures for available information, appraisers, cost analysts, users of valuation reports will have precise value benchmarks, compile unbiased economic indicators in order to make adequate managerial decisions.


Property tax system outside the Russian Federation

Bogatyrev S.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( rsorokina@fa.ru )

Journal: International Accounting, #9, 2019

Subject The article addresses foreign property tax systems, property tax assessment, administration and payment in developed countries, and measuring and analytical tools.
Objectives The purpose of the study is to review the experience of developed countries in property taxation.
Methods The study employs scientific methods to obtain new knowledge and methods for solving problems related to property taxation in Russia based on foreign experience, uses developments in the theory of property taxation, summarizes tax practices that reflect objective laws of property tax development abroad.
Results Property tax generates a significant share of local government revenues in countries with developed economies. The comparative analysis of property tax systems in developed and developing countries shows that the revenue from property taxes in developed countries provide a relatively large share of the budget than in developing countries. I analyzed significant factors of property taxation, i.e. tax rates and the distribution of tax revenues; revealed the non-elasticity of property taxes and their arbitrary nature.
Conclusions and Relevance I recommend using the identified mechanisms of property taxation in developed countries in the domestic tax practice to increase budget revenues, enhance social stability and well-being of Russian citizens.


Analysis of manipulations when applying the income approach method to valuation

Bogatyrev S.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( sbogatyrev@fa.ru )

Journal: Financial Analytics: Science and Experience, #3, 2019

Subject The article discusses distortions in the process of valuation under the income approach.
Objectives The aims of the study are to identify the main errors and demonstrate abuses in applying the income approach to valuation, to present methods for revealing such situations and preventing the distortion of cost.
Methods The study employs methods of analysis and synthesis, formalization in identifying and describing errors in valuation. I determine the degree of formalization of the problem and apply logical methods of research. I carry out logical formalization of instances of valuation process distortion, using the income approach.
Results The paper presents mechanisms to avoid mistakes and prevent abuse in the valuation under the income approach. It shows the scope of application of modern information systems in correcting improper valuation. The findings may be useful for analysis of valuation reports, cost analysis, recommendations on investing in the stock market.
Conclusions At present, there are many instances of involuntary error in reports and fraudulent misrepresentation of valuation results through data manipulation. The described cases of such behavior of some appraisers, ways to reveal such situations, and offered measures to adjust appraisal procedures may help cost analysts, appraisers, and users of valuation reports get clear understanding of cost and create an objective base of economic indicators to make proper management decisions.


Analytical Capabilities of Modern Information Systems as Part of the Income-Based Business Valuation Method

Bogatyrev S.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( sbogatyrev@fa.ru )

Journal: Digest Finance, #1, 2018

Importance The research focuses on new software and information tools for valuation. The research deals with aspects of business valuation based on the income-based valuation method.
Objectives I scrutinize aspects of adjusting the valuation framework to new analytical capabilities and demonstrate distinctive scope of information and analytical data on ratios and metrics stored in such systems and available for financial analysts.
Methods The research is based on the DCF method from perspectives of income-based business valuation.
Results I analyze capabilities of software and technological tools of modern information systems and measure the value of different items using the DCF method through various models. The article displays positive aspects of analytical tools of the information systems and identifies what restrictions and limits they impose on a financial analyst. The article unveils the limited nature of data resources in foreign information systems and indicates the Russian alternative information resources for improving the use of the DCF-based models.
Conclusions and Relevance Financial analysts may benefit from new capabilities of model information systems. They streamline primary data collection and processing for business valuation purposes and standardization of financial reporting. The article outlines the future of new information resources and their use in business valuation. The findings may prove useful in financial analysis and financial reporting.


New models for analysis of the reporting of organizations

Bogatyrev S.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( sbogatyrev@fa.ru )

Journal: Financial Analytics: Science and Experience, #11, 2017

Subject The article deals with the issues of accounting reporting of organizations. Objectives The article aims to assess the quality of accounting reporting of organizations and develop a report manipulation detection algorithm.
Methods For the study, I used the Beneish model obtained from the correlation and regression analysis of company's reporting data.
Results The article presents an algorithm for detecting manipulation of reporting. A set of procedures and analytical tools have been introduced into analyst practice. It is technological, economical in time and work, and easily algorithmized and embedded in mass computing. As well, the article exposes the limitations of validation of the model and outlines the prospects for future use in Russia.
Conclusions and Relevance In the Russian context, practice shows that the proposed model is fully applicable and provides some guidance based on the organizations' reporting. The prospects for launching it in the database of thousands of enterprises are open. This can have a huge effect in the massive monitoring of organizations.


Analytical possibilities of modern information systems in implementation of income approach to business valuation

Bogatyrev S.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( sbogatyrev@fa.ru )

Journal: Financial Analytics: Science and Experience, #1, 2018

Importance The article studies the new software and information tools for cost analysis, provided by modern information systems.
Objectives The article aims to estimate the value of an organization through the income approach method.
Methods For the study, I used the cash flow discounting method from the income approach perspective.
Results The article demonstrates the positive qualities of analytical tools of information systems. It reveals restrictions and frontier conditions of application of modern information means by financial analysts.
Conclusions and Relevance Financial analysts have new opportunities to use modern information systems. The results of the research can be used in calculation practices and analytical work by financial analysts, business value appraisers and Russian organizations for financial reporting purposes.


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