Minasov O.Yu. Formation of the market value of shares of Russian enterprises. Return on a share - how it is formed

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Minasov Oleg Yurievich. Formation of the market value of shares of Russian enterprises: Dis. ... cand. economy Sciences: 08.00.10: Moscow, 2002 197 p. RSL OD, 61:03-8/1024-3

Introduction

CHAPTER 1. THEORETICAL ASPECTS OF FORMING THE MARKET VALUE OF SHARES 10

1.1 Approaches to the formation of the market value of shares 15

1.2 The main factors influencing the formation of market value ^ n

shares of Russian and foreign enterprises: identification of features

CHAPTER 2. ANALYSIS OF THE INFLUENCE OF MACRO-LEVEL FACTORS ON THE FORMATION OF THE MARKET VALUE OF RUSSIAN SHARES 30

2.1 Analysis of the influence of factors of the socio-economic situation of the country on the formation of the market value of shares 30

2.2 Analysis of the influence of the industry attractiveness factor on the formation of the market value of shares 46

CHAPTER 3. ANALYSIS OF THE INFLUENCE OF MICRO-LEVEL FACTORS ON THE FORMATION OF THE MARKET VALUE OF SHARES OF RUSSIAN ENTERPRISES 65

3.1 Analysis of the impact of the state and development of the business of the issuing company 65

3.2 Analysis of the impact of individual characteristics of shares: 74

3.2.1 Impact of share capital distribution: (open/closed) companies75

3.2.2 The influence of the shareholding size and its control

3.2.3 Influence of the state as a shareholder 99

3.2.4 Impact of violation (non-observance) of the rights of shareholders-investors

3.2.5 Effect of the type of shares (common or preferred)

3.2.6 Effect of liquidity of shares/blocks of shares

CHAPTER 4

4.1 Methodology for determining the market value of illiquid and low-liquid shares

4.2 Managing the market value of shares 138

CONCLUSION 152

REFERENCES 157

APPS 167

Introduction to work

Everything is involved in the process of international capital integration more participants. The Russian stock market is currently being formed, the formation of which is associated with a choice of priorities in favor of Russian or foreign capital, protection from financial crises and overcoming their consequences, development practical advice for market management.

The formation of the stock market in Russia led to the emergence of a new sector of the economy, regulatory and service infrastructure, a class of owners, and also necessitated solving such problems as: legislative framework; choice in favor of Russian or foreign capital; protection from financial crises and overcoming their consequences.

The solution of these problems raises a number of questions for modern researchers, the main of which is: “How is the market value of shares of Russian enterprises formed?”. The dissertation sees the answer to this question in assessing the qualitative and quantitative impact of macro- and micro-level factors, industry specifics, features of the current legislation, as well as in developing methodological approaches for determining and managing the market value of shares.

Relevance of the research topic. The relevance of the research topic is due to the increased interest of Russian and foreign investors, as well as shareholders-owners to the process of formation, determination and management of the market value of shares of enterprises. The low capitalization and insufficient liquidity of the shares of most Russian companies necessitates a detailed consideration of this issue, its theoretical study and systematization of statistical data. The lack of understanding by the majority of issuers of the need for the process of managing the market value of shares, as well as ignorance of the factors affecting it and the results to which they lead, give the author grounds to conduct a study on the topic of this dissertation.

Currently, the process of managing the value of shares is not widely used in the practice of issuing companies. This leads to a distortion of the value of shares, creating the possibility of abuse during the transfer of ownership rights to them, infringement of the legitimate rights and interests of shareholders-investors. Under these conditions, the management of the market value of shares and the identification of factors influencing its formation is the main task in the process of formation efficient market shares as a tool for attracting investment resources to the real sector of the economy.

The lack of effective management methods and insufficient coverage in the literature of the mechanisms of formation of the market value of shares determine the relevance of these issues for Russian economy and, accordingly, the choice of the topic and the main directions of the dissertation research.

Purpose and objectives of the study. The purpose of the dissertation is to solve the scientific problem of determining and managing the market value of illiquid and low-liquid shares based on a qualitative and quantitative assessment of macro- and micro-level factors that affect its formation. In accordance with this goal, the following tasks are set:

Analyze the investment attractiveness of Russia in comparison with developed and developing countries, as well as the investment attractiveness of Russian sectors of the national economy;

Conduct an analysis of the Russian stock market and develop recommendations for increasing their value (capitalization), based on stimulating the growth of the market value of shares;

Assess the influence of micro-level factors (the state of the enterprise's business; conditions for the distribution of equity capital; the size and liquidity of a block of shares; violation of the legitimate rights and interests of shareholders, etc.) and identify the main problems in the formation of the market value of illiquid and low-liquid shares of Russian enterprises;

Conduct an analysis of the main approaches and methods used in determining the market value of shares and identify the features of their application.

Develop a methodology for determining and managing the market (closest to the market) value of illiquid and low-liquid shares of Russian enterprises;

Theoretical base of the research. The study used the works of foreign economists who contributed to the study of stock markets, transition economies and functioning of national companies. The main ones are: Richard J. Thewles, Edward S. Bradley, Tom Copeland, Tim Koller, Jack Murrin, Sidney Cottle, Roger F. Murray, Frank E. Block, George Soros, Cheng F. Lee, Joseph E. Finnerty , Robert Ling, Shannon P. Pratt et al.

Most of them conduct a study of the market value of shares on the example of countries with developed stock markets. The Russian stock market is developing and has many features that must be taken into account when considering the formation of the market value of shares.

The dissertation also used the works of Russian economists specializing in the study of the domestic stock market, the stock and bond market, financial and credit institutions, Russian enterprises and financial and industrial groups, national legislation and the system of regulation of stock market participants: Alekseeva M.Yu., Belyaeva I.Yu., Berzona N.I., Bulycheva G.V., Gryaznova A.G., Lavrushina O.I., Mirkina Ya.M., Rubtsova B.B., Semenkova E.V., Tazihina T. V., Feldman A.B., Fedotova M.A., Eskindarova M.A.

Information base of the study. Information base for

The conducted research was based on the open data of RTS, MICEX, MFB, published on the websites: www.rts.ru; www.mse-dsu.ru; www.micex.com the official information bulletin of the Russian Foundation for Basic Research "Reforma" for 1996-2000; statistical collection of the State Statistics Committee of Russia; periodicals. In addition, the dissertation student used the practical knowledge gained in the audit consulting company CJSC "UNICON/MS Consulting Group" in the process of working with such enterprises as: OJSC "Tyumen Oil Company"; OAO NK Rosneft; JSC NGK Slavneft; OJSC "Bashneft"; OJSC "Salavatnefteorgsintez"; JSC AVTOVAZ; OJSC Kama Pulp and Paper Mill; JSC "Krassugol"; OAO Vostsibugol; JSC "Moscow Tire Plant"; OAO "KomiTEK", OAO "LUKOIL" and others.

Object and subject of research. The subject of research in the work is the process of formation of the market (closest to the market) value of illiquid and low-liquid shares of Russian enterprises.

The object of the study is the main macro- and micro-level factors that influence the formation of the market value of illiquid and low-liquid shares of Russian enterprises. External and domestic factors were considered, a qualitative and quantitative assessment of factors in the system of relations between market participants was carried out ( government bodies authorities, professional members market, issuing companies, shareholders-investors) taking into account the peculiarities of the infrastructure of the Russian market: legislative, informational, regulatory and control.

Methodological basis of the study. The methodological basis of the thesis is the fundamental provisions modern theory functioning of capital markets, organization of joint-stock companies, business development, determination and management of the market value of shares.

The work applied a systematic approach based on a combination of macro- and microeconomic analysis. The determination of quantitative parameters was achieved by the methods of statistical analysis, as well as on the basis of an expert assessment, based on the practical experience of the author.

The scientific novelty of the dissertation lies in the development of a methodology for determining and managing the market value of illiquid and low-liquid shares of Russian enterprises and offering recommendations for increasing their capitalization. In the course of the study, the following results were obtained:

1. The influence of the main macro- and micro-factors on the formation of the market value of illiquid and low-liquid shares of Russian enterprises has been established. The result of these studies was the definition:

the qualitative influence of factors of country and industry attractiveness on the market value of illiquid and low-liquid shares of Russian companies;

qualitative and quantitative impact of micro-level factors (state of the issuer's business, distribution of share capital; size, liquidity and controllability1 of a block of shares; violation of the legitimate rights and interests of shareholders, etc., etc.) on the market value of shares;

the average value of the premium (discount) for the control and minority nature of the blocks of shares of enterprises sold by RFBR at auction in accordance with the privatization plan for the period 1996-2000;

1. Systematization of Russian industries according to investment attractiveness both from the standpoint of profitability, and from the standpoint of the prospects for their development for the domestic economic complex.

2. A classification of the distribution of the share capital of enterprises has been developed. The influence of shareholders (groups of shareholders) on the financial and economic activities of enterprises, depending on the size of their block of shares, has been established.

3. The systematization and comparative characteristics of existing approaches and methods used in determining the market value of shares have been carried out, the features of their application in modern conditions have been identified.

4. A methodology has been developed for determining and managing the market value of illiquid and low-liquid shares of Russian enterprises.

The practical significance of the dissertation lies in the fact that the main conclusions and the results obtained are focused on widespread use in the practice of determining and managing the market value of illiquid and low-liquid shares of Russian enterprises, which is necessary when:

Purchase and sale of shares of enterprises;

Making investment and management decisions in companies;

Carrying out restructuring of joint-stock companies;

Formation of stock portfolios in investment and pension funds; insurance companies, commercial banks;

Carrying out activities of anti-crisis management of companies;

Lending secured by blocks of shares;

Systematization of the methods used to determine and manage the value of shares;

In addition, the developed methodology for determining the market (closest to the market) value of illiquid and low-liquid shares of Russian enterprises, as well as recommendations for managing the value of shares can be used in programs to increase capitalization and manage the value of shares of large companies, in programs for managing the stock market, as well as in the development of measures to prevent possible crises in the stock market.

The main provisions of the dissertation and the results obtained in the work can be used in the practice of financial, investment, appraisal, audit and consulting companies, as well as in the educational process when teaching the following disciplines: "Professional activity in the securities market", "State in the securities market" , "Securities market and exchange business", "Business valuation", "Anti-crisis management".

Approbation of the research results. The results obtained, the main conclusions and recommendations were accepted for use in practical activities in the process of implementing projects related to business valuation, determining the market value of shares of Russian companies, corporate governance and financial consulting in the audit and consulting company UNIKON/MS Consulting Group CJSC. The main provisions of the dissertation work are published in the following articles:

Minasov O.Yu. Factors affecting the market value of shares of Russian enterprises // Moscow appraiser, 2001, No. 4.

Minasov O.Yu. Industry attractiveness of Russian companies // Digest Finance, 2001, No. 8.

Minasov O.Yu. Management of the market value of shares // Digest Finance,

Minasov O.Yu. Stock Market Dynamics: Factor Analysis // Finance,

Minasov O.Yu. Aspects of improving state financial control in Russia // Economic, legal and spiritual culture of Russia at the turn of the millennium: Nauchn.-prakt. Conf., held by the Humanitarian University (Ekaterinburg) May 20-21, 1999: Proceedings. dokl./ Editorial: L.A. Zaks et al.: In 3 volumes - Ekaterinburg: University of the Humanities. Vol. 2: Crisis and development of the Russian economy (problems and prospects).

Approaches to the formation of the market value of shares

The formation of the market value of the shares of enterprises is a process that occurs throughout the entire period of existence and operation of the enterprise. Throughout the life cycle of a joint-stock company, there is a continuous process of forming the value of its shares, as a result of which the capital of any enterprise changes: it increases or decreases under the influence of various macro- and micro-level factors. Shareholders - owners of shares and investors - potential shareholders constantly monitor changes in the state, structure and value of the capital of enterprises. In addition, shareholders and investors track changes in many macro-level factors. The changes (positive and negative) of macro- and micro-level factors identified by stock market participants (shareholders, investors, representatives of the market infrastructure and other interested parties) at each moment of time form their idea of ​​the fair market value of the shares of enterprises they monitor. This is reflected in the change in stock market participants of the quoted prices for shares. Participants in the stock market buy and sell shares of enterprises only at the price that, in their opinion, reflects the most accurate value at any given time. In the indicated share price, market participants include all information about events that have already occurred on the market, as well as information about upcoming events that have been publicly announced or become known to them as a result of access to insider information.

The multitude of opinions of market participants on the value of the shares of a particular company ensures the emergence of a price corridor formed from bid and offer prices for shares. The indicated price corridor reflects the opinion of many market participants about the fair market value of the shares of a particular company. Note that in order to form a fair market value of shares, a number of conditions must be met:

the stock market must be organized and information about the quotations and events taking place on the market must be available to all interested parties;

there should be many independent participants in the stock market, since a limited number of participants will most likely set manipulative prices formed under the influence of a limited number of factors;

market participants must act without coercion, taking into account many macro- and micro-level factors;

the market infrastructure should ensure that all market participants comply with the law and accepted business practices;

For companies whose shares are not traded or have limited circulation on the market, the process of formation of the value of shares is significantly different from the process of formation of the value of publicly traded shares. This is due to the fact that, as a rule, information about the state of capital and financial and economic activities of such companies is closed to the mass investor and is available only to a limited circle of people: company management; strategic shareholders owning controlling stakes; state bodies exercising control and supervision over the activities of enterprises; as well as specialized organizations, for example, banks in which accounts are opened; auditors and consultants. The value of the shares of such companies is also formed under the influence of macro- and micro-level factors, however, due to the fact that information about the state of the business of these companies is not public, shareholders and investors overlook many factors. This circumstance does not allow them to promptly (at any time) have information about the fair value of shares in accordance with

Analysis of the influence of factors of the socio-economic situation of the country on the formation of the market value of shares

Analysis of the relationship between the dynamics of the share price and the dynamics of the gross domestic product(an indicator of the general economic situation); between the dynamics of the share price and the dynamics of the net profit of companies (a generalizing indicator of the effectiveness of its functioning) does not give an unambiguous answer about the existence of a directly proportional relationship between the dynamics of share prices and indicators of the development of the economy, industry, company. This dependence is much more complicated: investors' expectations are based on the prospects for the development of the country, industry, company, as well as minimizing various risks. Multidirectional expectations of certain groups of investors provide fluctuation of expectations, although the direction of the general trend of the stock market coincides with the direction of trends in industry and country development.

Main macroeconomic indicators, which characterize the state and forecasts of the development of the Russian economy, strongly influence the formation of the market value of shares. First of all, they are based on GDP, as well as indicators that supplement it: data on the execution of the budget and its structure, on the development of sectors of the economy, on the number and employment of the population, on the analysis of the consumer market, on foreign exchange market, about price indices, inflation rates, the level of external and domestic debt, the movement of foreign investment, etc.

Along with economic political factors also have a significant impact. The most important political factor is the policy pursued by the President of the country and the Cabinet of Ministers. The messages of the President and the Cabinet of Ministers are not “taken into account” by the stock market in advance and are of great importance, as they contain recommendations, for example, regarding new taxes, measures to influence the economic development of the country, public spending and budget, public sector policy, defense spending programs, etc.

Elections, political assassinations and the deteriorating health of the President can have a very strong “bearish” influence on the market.

Therefore, stock market participants should always pay due attention to economic and political events, assessing their impact on the stock market as a whole and on the market value of individual shares.

The cumulative influence of macro-level factors causes a change in the investment attractiveness of Russia, the Russian stock market and the market value of shares of national companies. Investment attractiveness is a summary indicator calculated on the basis of economic, political, organizational, legal and sociocultural prerequisites that determine the attractiveness and expediency of investing in a particular economic system (country, region, company).

An integrated assessment of the factors of the socio-economic situation of any country is reflected in credit ratings assigned by international rating agencies, for example, Moody s. The analysis of the dependence of P/E and P/BV ratios on the credit ratings of countries with emerging stock markets shows that:

Figures 4 and 5 show this relationship. The curves, which are averages for emerging stock markets, have a pronounced slope that confirms the findings.

Analysis of the impact of the state and development of the business of the issuing company

The main micro-level factor influencing the formation of the market value of shares is the financial and economic state and prospects for the development of the company's business. The prospects for the business of any company determine the mood of stock market participants who are ready to purchase shares. If the issuer's business develops unsatisfactorily and does not meet their expectations, then, accordingly, the demand for shares as an investment asset will be minimal, and stock quotes will not only not increase, but may fall. If the company is doing well, the demand for its shares will increase and the value of the shares will increase. However, such, at first glance, predictable behavior of stock prices in most cases is not confirmed in practice. This is due to the untimely receipt of information on the activities of companies on the market.

The economic state and prospects for the development of the companies' business can be described using the indicators presented in Table 14. Note that the listed indicators are common to all companies. For a particular company, it is necessary to take into account specific indicators. For example, indicators for individual enterprises of a vertically integrated oil company (production, refining, sales) are presented in Appendix 3.

The organizational structure of the company's management includes:

a management structure that defines the hierarchy of subordination and official responsibility of internal divisions and employees of the company;

qualifications and job compliance of the company's employees with the requirements set by the owner, business and working conditions:

document management system covering accounting, tax, managerial and financial accounting;

a systematized database on the financial, economic and production activities of the company for previous reporting periods;

Practice shows that the organizational structure of management has an impact on the formation of the market value of shares - due to an incorrect management structure, companies can lose their income:

incorrectly organized workflow does not allow middle and top management to quickly receive information about the state of the business and, accordingly, make timely tactical and strategic decisions;

an incorrect management structure allows different departments to duplicate functions, perform unnecessary work, which makes management ineffective and leads to additional costs;

the lack of a clearly defined set of functions, powers and responsibilities, both for structural units and for officials, does not allow delegating powers, closing the solution of most issues to top management, diverting its attention from solving strategic tasks, which leads to lost profits.

The lack of a clear organizational management structure has a negative impact on the financial and economic performance: overall competitiveness decreases, the company's business efficiency decreases and, as a result, the demand for shares decreases, which leads to a drop in their market value.

Despite the fact that the issue of completeness and correctness of the organizational structure of the company's management is important in business management, nevertheless, it has a minimal impact on the formation of the market value of shares. The reason for this is that the owner of the company can effectively reform the management structure within a short period of time and at minimal cost. Shareholders, as well as potential investors - participants of the stock market are well aware of this, and, as a rule, assess the impact of this factor to a minimum. Business losses from a poorly organized management structure are mainly reduced to lost profits, which are almost impossible to quantify.

The corporate structure of the company includes:

the structure of the company's share capital, revealing the distribution of shares between shareholders;

ownership structure of the company: branches and representative offices, shares in the authorized capital of subsidiaries and affiliates, long-term financial investments;

the structure of friendly organizations: entry into financial and industrial groups, holdings, affiliated companies.

The influence of the corporate structure on the formation of the market value of shares is much stronger than the factor of the organizational structure of management. This influence is enhanced when the company owns highly liquid property: long-term financial investments, equity interests, etc. Moreover, the more liquid assets a company owns, the higher the market value of its shares.

By investing in shares, the investor is interested in maximum profitability and growth in the market value of this financial asset. How to place your savings in stocks and get a good income? To do this, it is important to understand the reasons for the change in the yield and market price of these corporate securities.

Stocks are the direction of aggressive investment. This means that by investing their savings in them, citizens can receive a significant income, and may lose most of their investments. In order to increase the likelihood of making high profits and protect yourself from losses, you should understand what factors can affect the profitability and market value of shares.

What is the market value of a share?

It is sometimes difficult for a person who does not have deep knowledge of the intricacies of the functioning of the stock market to understand the diverse options for the value of shares. Currently, we can talk about the existence of the balance sheet, nominal, issue and market price of securities. In this case, the latter is of the greatest importance.

The market value of a share is the price at which shares are bought and sold on the secondary market. Unlike other types, market value is formed during exchange trading. It depends on the supply and demand for the shares of a given corporation and is updated daily. In some cases, it is also called a quote.

It is quite obvious that shares should be bought during a short-term decline in their quotes, and sold - during an increase.

The investor must know...

To a depositor who decides to include shares in his investment portfolio It is important to take into account such factors that determine the value of this security:

• Market direction

Experienced investors are familiar with a simple truth: in a rising (bullish) market, the market value of a stock will increase, and in a falling (bear) market, it will decrease. How to correctly assess the mood of the market? Pay attention to stock indices (Dow Jones, Nikkei 225, Euronext 100, etc.) because they move in the same direction as the stock price.

• Industry efficiency

In profitable, profitable, constantly growing industries, the market value of shares increases. That is why it is important for an investor to monitor not only the dynamics of the stock market, but also situation in the real sector of the economy.

• Past earnings

Corporations generally publish quarterly income statements. If the company's revenue and profit increased in the current quarter, one should expect an increase in the market value of their shares.

• Mergers and acquisitions

Consolidation of a business always entails an increase in the market price of shares, and its splitting - to a decrease.

• Expansion of the sphere of influence

The development of new markets, the introduction of new products are factors that increase the value of shares on the stock exchange. The closure of production shops and the reduction of production lines give rise to the reverse process.

• Price manipulation

There are a number of methods by which a corporation can independently manipulate the price of its securities. Among them share split, which leads to a decrease in market value, as well as consolidation and buyout own shares can lead to an increase in their price on the exchange.

• Dividend amount

If in the current year the shareholders of this corporation received large dividends, then next year we should expect an increase in the market price.

• Insider Operations

Insiders are persons who have detailed information about the functioning of a particular corporation. Among them are major shareholders, members of the board of directors and management. If insiders sell shares, this is a signal of a decrease in their market price; if, on the contrary, they buy back from other shareholders, it is a guarantee of its imminent increase.

Return on a share - how is it formed?

Anyone that his income from owning a share will consist of two indicators - the amount of the dividend and the exchange rate difference ( the difference between the purchase price and the purchase price of a share).

Let's consider a simple example. Citizen Vasiliev A.P. purchased 10 shares of the corporation at a price of 100 rubles per share. The fixed dividend for each security amounted to 12 rubles. A year later, the investor sold them for 115 rubles apiece. As a result, the annual income of Vasiliev A.P. made up:

• Annual income = dividend income + foreign exchange difference
• Dividend income \u003d 10 * 12 \u003d 120 rubles per year
• Exchange difference \u003d (115-100) * 10 \u003d 150 rubles per year
• Annual income \u003d 120 + 150 \u003d 270 rubles.

As for the return on shares, it is the ratio of earnings per share to the market value of this security. Based on the information in the above example, you can set the amount of profitability.

• Earnings per share = 270 / 10 = 27 rubles
• Stock return = 27 / 115 * 100% = 23.47%.

What can affect stock returns?

There are many factors that affect the yield of corporate equity securities. Among them:

• Rates of growth its market value.
• Dividend amount, paid in the last few periods, as well as the trend of its change (increasing or decreasing).
• Dynamics of inflation in the country.
• The amount of income tax corporations.

Taking into account all the above parameters, even an investor who does not have extensive experience and special knowledge is able to predict changes in the market value and profitability of shares. This allows him to more rationally form his investment portfolio.

The article may also be of interest.

• Specialty HAC RF08.00.10
• Number of pages 197

CHAPTER 1. THEORETICAL ASPECTS OF FORMATION

MARKET VALUE OF SHARES

1.1 Approaches to the formation of the market value of shares

1.2 The main factors influencing the formation of the market value of shares of Russian and foreign enterprises: identifying features

CHAPTER 2. ANALYSIS OF THE INFLUENCE OF MACRO-LEVEL FACTORS ON THE FORMATION OF THE MARKET VALUE OF RUSSIAN SHARES

2.1 Analysis of the influence of factors of the socio-economic situation of the country 30 on the formation of the market value of shares

2.2 Analysis of the influence of the industry attractiveness factor on the formation of the market value of shares

CHAPTER 3

RUSSIAN ENTERPRISES

3.1 Analysis of the impact of the state and development of the business of the issuing company

3.2 Analysis of the influence of individual characteristics of shares:

3.2.1 Impact of equity allocation: 75 (open/closed) companies

3.2.2 The influence of shareholding size and its control™

3.2.3 Influence of the state as a shareholder

3.2.4 Impact of violation (non-observance) of the rights of shareholders-investors Yu

3.2.5 Effect of the type of shares (common or preferred)

3.2.6 Effect of liquidity of shares/blocks of shares 1st

CHAPTER 4. METHODOLOGY FOR DETERMINING AND MANAGING THE MARKET VALUE OF NON-LIQUID AND LOW-LIQUID SHARES 119

4.1 Methodology for determining the market value of 119 illiquid and low liquid shares

4.2 Managing the Market Value of Shares 138 CONCLUSION

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How to find out the true value of the company, what valuation method to use? Which calculation method can be used to obtain the most accurate company value? Those wishing to receive unambiguous answers to these questions I want to immediately disappoint - there is no unambiguous answer to these questions. The choice of the valuation method depends on the goals of the valuation and on the end user of its results, and the estimated (estimated) cost cannot be correct or incorrect, accurate or not accurate - it can be reasonable and unreasonable.

All valuation methods can be divided into 3 groups - profitable, market and cost. Let's take a look at what these methods are.

INCOME APPROACH

This is perhaps one of the most common approaches. It includes two main methods:

1.

2. Future income capitalization method.

Method of discounting future income is based on one of the axioms of economics - the current value of the enterprise is determined by future cash receipts, given (discounted) to date. As an income, it is better to use cash flow (CF), or simply net income (NP) (balance sheet income minus tax and dividends on preferred shares).

DP \u003d CHP + A - OK - KV, (1)

DP - cash flow

PE - net profit

A - depreciation

OK - increase in working capital (calculated as the difference at the end and beginning of the period)

KV - capital investments.

The formula for calculating the value of a company is as follows:

Vcalc. = DP1/(1+r)+ DP2/(1+r2) + ... DPn/(1+rn)+ Vres. /(1+rn) (2),

V calc. - the estimated value of the company,

r is the discount rate,

n is the number of forecasting periods (usually a year),

Vost. - the value of the company in the post-forecast period.

Vost. = DPn (1+g)/(r-g) , (3),

g is the company's growth rate (income growth rate).

The main steps in using the method are:

Calculation of DP for each forecast period;

Choice of discount rate;

Determination of income in the post-forecast period;

Calculation of the current value of the company.

The most important and most time-consuming process in applying the method is, of course, the forecast cash flows. This process itself is divided into several stages and involves the forecast of a number of factors - income, expenses, investments, etc.

Obviously, the longer the forecast period (n), the more likely the error.

The forecast period should not be taken longer than 5 years, since this significantly reduces the accuracy of forecasts. Moreover, I would recommend limiting yourself to 3 years and then using the company's growth rate factor (g). Of course, this advice is unacceptable if the valuation of the company is for strategic purposes.

However, even with a forecast period of 3 years, the probability of a deviation of the real value from the predicted one is very high, therefore it is more correct to make three forecast options: pessimistic, most realistic and optimistic (this rule can also be applied to other methods).

The calculation of the discount rate should be based on the applicable income stream. In the case of using net profit as income, the following formula must be used:

R = (PE(1+g)/ Po) + g, (4)

Ro - current capitalization,

g is the profit growth rate.

If the valuation is carried out on the basis of DP, then the discount rate should be calculated using the capital asset valuation model.

R= Rf + b (Rm - Rf) (5)

Rf is the risk-free rate of return,

Rm is the average market rate of return,

b is the coefficient of systematic risk.

In this formula, difficulties may arise in determining the coefficient b. It can be defined in two ways − statistical and fundamental.

The first one can be used when there is a good market history and the stock itself is highly liquid. In Russia, Moenergo, Lukoil, RAO UES and a number of other companies can be considered such securities. Statistical b evaluates the change in the returns of the shares of individual companies in comparison with the change in the returns of the stock index. When calculating and applying this method of calculating the coefficient, it is necessary to consider its stability over time (see RZB No. 9, where the instability of the statistical b in time for Russian enterprises).

If the shares are illiquid, or b unstable in time, it is better to apply the fundamental method of calculation. It is based on the results of the analysis of those variables that can affect the financial condition of the company. Moreover, when calculating the coefficient, it is necessary to take into account not only the state of the enterprise, but also external factors (industry, macroeconomic).

R = SK*DSK+DZ*SDZ (6)

SC - share of equity,

DSC - rate of return on equity (you can use ROE),

DZ - the share of long-term debt,

SDZ - the cost of long-term debt for the company.

This method is rarely used to quickly assess the growth prospects of stocks, since it is quite laborious, takes a lot of time and requires a lot of hard-to-find information. However, it can be used for some strategic purposes (for example, in preparation for the launch of shares on the market).

Capitalization method, as a rule, is used to evaluate companies with a fairly well-established structure of income or with well-predictable growth rates of these incomes.

At first glance, the capitalization method is much simpler than the discount method. The method is based on the use of actually two variables, one of which is the potential income, the other is the corresponding capitalization ratio or multiplier. The method is expressed by one formula:

Vcalc.= D*K, (6)

D - income,

K is the capitalization ratio.

To calculate income, a wide variety of quantities can be taken - PE, dividends, DP (see Income Approach). Revenue, or physical volumes and capacities (oil reserves, installed capacities, tons of steel, etc.) can also serve as an alternative to income (when applying this method). All these alternatives involve their possible translation into a specific income (profit, dividend, DP).

All these methods have the right to life, and it is necessary to approach each group of enterprises individually. In addition, nothing prevents the calculation of the cost of all types of income and their alternatives. The use of the NP indicator as a capitalized value (balance sheet profit minus tax) is the most economically correct. The capitalization of dividends is still more of a theoretical value.

However, the Russian reality is such that sales revenue is most often used. In today's conditions, this is perhaps the most universal and most accessible indicator, and it allows you to compare enterprises in various sectors of the national economy.

In terms of the timing of receipt, incomes can also be very diverse - an indicator of the past period, a weighted average for several years, a forecast value for the next year, etc. The choice of calculation depends entirely on the amount of data and its interpretation by the analyst.

The theory recommends taking a retrospective period of 5 years to determine the company's income. However, the analyst should not get hung up on this value and should pay attention to individual conditions (duration of the business cycle, the current situation when the company has achieved the most stable results). This advice is all the more relevant in the current environment, when it is practically impossible to collect data for such a period of time and in practice it is usually possible to use materials for a maximum of 3 years.

The capitalization ratio (K) refers to the multiplier used to convert the amount of income to the estimated value.

The definition of K can be approached in two ways:

1. As K, you can take multiples for comparable companies. This method is easier to use (if, of course, there is a certain database of comparable companies), and, as a rule, it is the one that is used in practice, giving quite acceptable results. When determining the appropriate multiplier, it must be remembered that the calculation base must be the same for all comparable companies (i.e., different profit values ​​​​calculated differently, etc. cannot be taken), and the price is as close as possible to the valuation date.

However, there are often situations when it is impossible to collect the appropriate bases for calculating the multiplier, or such data are simply not available. In this case, you can apply the second method of calculating the capitalization ratio.

2. K=1/(r-g). In this case, the analyst will face difficulties in determining the discount rate r (see above) and the company's growth rate g. The method is rather complicated, but its use is justified when a detailed study of the company has been carried out or when these components (r, g) have already been determined (for example, when a discounted cash flow valuation has already been carried out).

When applying this calculation method, only PV or revenue can be used as income (in this case, the result must be adjusted for business efficiency).

It is easy to see that the value of (r-g) should be inversely P/E. Ideally, this should be the case, since the P / E ratio essentially takes into account two variables - the discount rate r and market expectations of future earnings growth.

In principle, modern theory describes more complex formulas for the capitalization of cash flows. Their essence lies in setting different growth rates for the company at different time intervals, they are all fairly easy to derive, and a lot has been written about them in the literature, but when they are applied, a greater element of uncertainty appears.

The capitalization method is inherently very close to the market approach methods.

MARKET APPROACH. There are two main valuation methods in the market approach. capital market method and transaction method(there is also a method of industry coefficients, but I will not talk about it today). Their differences lie in the fact that in the first case, comparisons are made at the prices of individual shares, and in the second, at the prices of individual transactions (usually large blocks of shares). Accordingly, the application of these methods should be different for different cases (for example, to determine the possible price of cash auctions, where a control or close to this package is put up, it is better to use the transaction method).

Given the similarity of these two methods, I want to focus on one of them.

The capital market method is reduced to comparing the company's financial and production indicators and indicators of its market valuation (multipliers), if any, with similar indicators of comparable companies. If the multipliers cannot be calculated (for example, there is no market quote), then we calculate what price should be on the market.

Many brokers and traders manage only multipliers. On the market, you can often hear the phrase: “The cost of oil in company N is much lower than the world one ...”, or: “Capitalization per line in company N is lower than the average for the industry ...”. This approach is not comprehensive, it does not take into account the individual characteristics of the functioning of companies (risk factor). And there are already enough examples of this (for example, Lukoil's multipliers are 2-6 times larger than those of other oil companies).

For a more visual description of the method, we will show the calculation on a specific example. For the calculation, a group of communications enterprises with an installed capacity of 300 to 500 thousand numbers was taken. Capitalization is calculated only for OJSC as of October 10, 1997. The initial data for the calculation are summarized in Table 1.

To calculate the total risk P, you first need to calculate the risk for each individual indicator (P), and then the total risk. The calculation results are in Table 2.

The formula for calculating R (risk for each indicator) is as follows:

if P> Psr, then 1+ (P - Psr) / (Pmax - Psr) (8)

P< Пср, то 1-(Пср- П)/(Пср - Пмin)

To calculate the overall risk indicator (R), you can take either just the arithmetic mean R or a weighted one (depending on which indicator the investor considers the most significant). The calculation of weights is a topic for a separate article and we do not touch it. In our example, the calculation (P) was carried out as a simple arithmetic mean.

Having calculated the risks, you can begin to determine the calculated values ​​of the multipliers (M), and then to determine the estimated share price. Calculation results in Table 3.

The formula for calculating M is as follows:

if Р>1, then М = Мср + (Мmax - Мср)(Р-1) (9)

R<1, то М = Мср - (Мср – Мmin)(1-Р)

Estimated share prices are determined based on the calculated M, which we receive for each multiplier. Further, everything can be reduced to some one price, here, as well as when calculating risks, you can set different weights depending on the significance of a particular multiplier for the investor.

For the successful application of the method, it is important to perform three main steps:

1. Select a group of comparable companies

2. Collect the necessary information (everyone decides how he can).

3. Select comparison indicators and make calculations

Comparability criteria can be: industry affiliation, product range, size of enterprises (in terms of sales, assets, headcount, etc.). For example, it is not enough to take and compare simply all communications enterprises. It will be correct to break them down into GTS, MMT, etc., then by size, i.e. You can't compare MGTS and Yamalelectrosvyaz.

An example of comparable companies in Russia can be communications and energy companies of approximately equal size (in terms of installed capacity and installed capacity), tire plants, and MK with a full cycle. Some Russian enterprises can already be compared with foreign ones (in this case, it is necessary to introduce a country-specific correction).

Another very important point in the application of the method is the choice of comparison indicators. In an investment company, a bank, they should depend on the company's policy and its priorities in making investment decisions. In principle, you can try to calculate the indicators for the average investor (however, this is quite laborious work and, as a rule, it does not justify the effort invested).

The number of indicators and their type is completely at the mercy of the analyst, and here you can give free rein to all your imagination. However, I would like to warn specialists against excessive zeal in this matter and give some practical advice.

It is not necessary that all indicators be available for each enterprise, and therefore enterprises for which there are no data should not be excluded from the calculation. It is also not worth wasting time and money to get these indicators somewhere. If these figures are available for other companies, then the result will be quite acceptable.

It is not necessary to display all known financial ratios. It is enough to use 5-6, or even limit yourself to 2-3.

On the other hand, it is worth introducing indicators that are rather difficult to unambiguously determine: for example, the attitude towards shareholders, the liquidity of shares, the conditions for registering property rights. However, when entering such indicators, another problem arises - is a single algorithm for calculating them necessary, or is it quite enough to set them by expert means (here everyone decides in his own way, but there is nothing wrong with using an expert opinion, it is not at all necessary to mathematize everything).

This group of methods is good because it allows you to approach the assessment not only from a theoretical point of view, but also from the point of view of the market (this is already evident from the name itself), while using a whole range of very different indicators, not only economic, but also production .

In addition, if a number of conditions are met (for example, automatic updating of information), the process can be fully automated, which allows you to quickly evaluate a large number of enterprises, taking into account new data.

The application of the considered method makes it possible to formalize the concepts of “risk” and “profitability” (the latter can be taken as growth potential), which, in turn, will allow choosing an effective set for forming the portfolio structure.

The main disadvantage of the method is the need to maintain and update a large database and the same approach to all enterprises.

COST APPROACH

This group of methods is based on the assessment of the enterprise through its assets. The market value of assets is estimated, debts are deducted, or the costs of creating such a company are considered. In our case (for our purposes) it is not actually applicable, since a lot of preparatory work and a large staff of appraisers are required for its correct use.