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

Stocks are a direction for aggressive investment. This means that by investing their savings in them, citizens can receive significant income, or they may lose most of their investment. In order to increase the likelihood of receiving 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 stock?

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 stock prices. Currently, we can talk about the existence of a balance sheet, nominal, issue and market price of securities.

In this case, the latter is of 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 supply and demand for shares of a given corporation and is updated daily. In some cases it is also called a quote.

It is quite obvious that you should buy shares during a period of short-term decline in their prices, and sell them during a rise.

An investor should know...

• It is important for an investor who decides to include shares in his investment portfolio to take into account the following factors that determine the value of this security:

Market direction Experienced investors are familiar with a simple truth: in a growing (bullish) market, the market value of shares will increase, and in a falling (bearish) market, they will decrease. How to correctly assess market sentiment? Pay attention to stock indices

• (Dow Jones, Nikkei 225, Euronext 100, etc.) since they change in the same direction as the stock price.

Industry efficiency the situation in the real sector of the economy.

• Income from previous periods

Corporations typically publish quarterly financial statements. If a company's revenue and profit have increased in the current quarter, we should expect an increase in the market value of their shares.

• Mergers and acquisitions

The consolidation of a business always entails an increase in the market price of shares, and its fragmentation leads to a decrease.

• Expanding the sphere of influence

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

• Price manipulation

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

• Dividend amount

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

• Insider transactions

Insiders are people who have detailed information about the functioning of a particular corporation. These include 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, but if, on the contrary, they buy them back from other shareholders, this is a guarantee that it will soon increase.

Stock return - 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 look at 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 was 12 rubles. A year later, the investor sold them for 115 rubles apiece. As a result, the annual income of Vasiliev A.P. compiled:

• Annual income = dividend income + exchange rate difference
• Dividend income = 10 * 12 = 120 rubles per year
• Exchange rate difference = (115-100) * 10 = 150 rubles per year
• Annual income = 120 + 150 = 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
• Share return = 27 / 115 * 100% = 23.47%.

What can affect stock performance?

There are many factors influencing the profitability 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 (growing or decreasing).
• Inflation dynamics in the country.
• 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.

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

Introduction

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

1.1 Approaches to forming the market value of shares 15

1.2 Main factors influencing the formation of market value ^ n

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 SHARES OF RUSSIAN ENTERPRISES 30

2.1 Analysis of the influence of factors of the country’s socio-economic situation 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 issuing company’s business 65

3.2 Analysis of the influence of individual stock characteristics: 74

3.2.1 Impact of share capital distribution: (openness/closeness) of companies75

3.2.2 Influence of the size of the shareholding and its control

3.2.3 Influence of the state acting as a shareholder 99

3.2.4 Impact of violation (non-compliance) of the rights of shareholder investors

3.2.5 Impact of share type (ordinary or preferred)

3.2.6 Impact of liquidity of shares/shareholdings

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

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

4.2 Managing the market value of shares 138

CONCLUSION 152

REFERENCES 157

APPLICATIONS 167

Introduction to the work

An increasing number of participants are involved in the process of international integration of capital. The Russian stock market is currently emerging, the formation of which is associated with the choice of priorities in favor of Russian or foreign capital, protection from financial crises and overcoming their consequences, and the development of practical recommendations for market management.

The emergence 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 determined the need to solve such problems as: improving the legislative framework; choice in favor of Russian or foreign capital; protection from financial crises and overcoming their consequences.

Solving these problems poses a number of questions to modern researchers, the main one of which is: “How is the market value of shares of Russian enterprises formed?” The dissertation candidate sees the answer to this question in assessing the qualitative and quantitative influence of macro- and micro-level factors, industry specifics, features of the current legislation, as well as in the development of 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, in the process of formation, determination and management of the market value of enterprise shares. Low capitalization and insufficient liquidity of shares of most Russian companies necessitate 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 influencing it and the results to which they lead, gives the author grounds to conduct research on the topic of this dissertation.

Currently, the process of managing the value of shares is not widely used in the practical activities 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, and infringement of the legitimate rights and interests of shareholder investors. Under these conditions, managing the market value of shares and identifying the factors influencing its formation is the main task in the process of establishing an effective share market 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 the Russian economy and, accordingly, the choice of topic and main directions of research for the dissertation.

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-liquidity shares based on a qualitative and quantitative assessment of macro- and micro-level factors influencing 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 share capital; the size and liquidity of the shareholding; violation of the legal 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-liquidity shares of Russian enterprises;

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

Most of them conduct research on the market value of shares using 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 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 Y.M., Rubtsova B.B., Semenkova E.V., Tazikhina T. V., Feldman A.B., Fedotova M.A., Eskindarova M.A.

Research information base. Information base for

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

Object and subject of research. The subject of the study is the process of formation of the market (closest to the market) value of illiquid and low-liquidity 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-liquidity shares of Russian enterprises. External and internal Russian factors were considered, a qualitative and quantitative assessment of factors was carried out in the system of relations between market participants (government authorities, professional market participants, issuing companies, shareholder investors) taking into account the features of the infrastructure of the Russian market: legislative, informational, regulatory - control.

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

The work used a systematic approach based on a combination of macro- and microeconomic analysis. Finding quantitative parameters was achieved by methods of statistical analysis, as well as on the basis of 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-liquidity shares of Russian enterprises and proposing recommendations for increasing their capitalization. The following results were obtained during the research:

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

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

qualitative and quantitative influence of micro-level factors (state of the issuer’s business, distribution of share capital; size, liquidity and control1 block of shares; violation of the legal rights and interests of shareholders, etc., etc.) on the market value of shares;

the average value of the premium (discount) on the controlling and minority nature of stakes in enterprises sold to the Russian Federal Property Fund at auction in accordance with the privatization plan for the period 1996-2000;

1. A systematization of Russian industries was carried out according to investment attractiveness, both from the point of view of profitability and from the point of view of the prospects for their development for the domestic economic complex.

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

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

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

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

Purchase and sale of shares of enterprises;

Making investment and management decisions in companies;

Carrying out restructuring of joint stock companies;

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

Carrying out anti-crisis management activities for companies;

Lending secured by shares;

Systematization of applied methods for determining and managing the value of shares;

In addition, the developed methodology for determining the market (closest to the market) value of illiquid and low-liquidity 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 when developing 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 practical activities of financial, investment, appraisal, auditing and consulting companies, as well as in the educational process when teaching the following disciplines: “Professional activity in the securities market”, “Government in the securities market” , “Securities market and stock exchange business”, “Business assessment”, “Crisis management”.

Approbation of 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 ZAO UNICON/MS Consulting Group. The main provisions of the dissertation work are published in the following articles:

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

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

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

Minasov O.Yu. Dynamics of the stock market: 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: Scientific and practical. Conf., held by the Humanitarian University (Ekaterinburg) May 20-21, 1999: Abstracts. Report / Editorial Board: L.A. Zaks et al.: In 3 volumes. -Ekaterinburg: Humanitarian University. T. 2: Crisis and development of the Russian economy (problems and prospects).

Approaches to forming the market value of shares

The formation of the market value of enterprise shares is a process that occurs throughout the entire period of existence and operation of the enterprise. Throughout the entire life cycle of a joint stock company, there is a continuous process of formation of 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 condition, structure and amount of capital of enterprises. In addition, shareholders and investors monitor changes in many macro-level factors. Changes (positive and negative) in macro- and micro-level factors identified by stock market participants (shareholders, investors, representatives of the market infrastructure and other interested parties) form at each moment in time their understanding of the fair market value of the shares of the enterprises they monitor. This is reflected in changes in stock market participants' quoted prices for shares. Share market participants 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 price of shares, market participants include all information about events that have already occurred in 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 about the value of shares of a particular company ensures the emergence of a price corridor formed from the bid and offer prices for shares. The specified price corridor is a reflection of the opinion of many market participants about the fair market value of shares of a particular company. Please 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 quoted quotations and events occurring in the market must be available to all interested parties;

there must be many independent participants in the stock market, since a limited number of participants are likely to 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 must ensure that all market participants comply with the law and accepted business norms;

For companies whose shares are not traded or have limited circulation on the market, the process of formation of the value of shares differs significantly from the process of formation of the value of freely 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 accessible only to a limited circle of people: company management; strategic shareholders owning controlling stakes; government 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 lose attention to many factors. This circumstance does not allow them to quickly (at each moment in time) have information about the fair value of shares in accordance with

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

Analysis of the relationship between the dynamics of stock prices and the dynamics of gross domestic product (an indicator of general economic conditions); between the dynamics of stock prices and the dynamics of net profit of companies (a general indicator of the efficiency of its functioning) does not give a clear answer about the existence of a directly proportional relationship between the dynamics of stock prices and indicators of economic, industry, and company development. This dependence is much more complex: investor expectations are based on the development prospects of the country, industry, company, as well as the minimization of various risks. Multidirectional expectations of certain groups of investors provide fluctuations in expectations, although the direction of the general trend of the stock market coincides with the direction of industry and country development trends.

The main macroeconomic indicators characterizing the state and forecasts for the development of the Russian economy strongly influence the formation of the market value of shares. First of all, they rely on GDP, as well as indicators that complement it: data on budget execution and its structure, on the development of economic sectors, on the size and employment of the population, on analysis of the consumer market, on the foreign exchange market, on price indices, inflation rates, the level of external and internal debt, movement of foreign investments, etc.

Along with economic factors, 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. Messages from the President and the Cabinet of Ministers are not “taken into account” by the stock market in advance and are of great importance, since they contain recommendations, for example, regarding new taxes, measures to influence the economic development of the country, government spending and the budget, policies in the public sector of the economy, spending programs on defense, etc.

Elections, political assassinations and 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 events of an economic and political nature, assessing their impact on the stock market as a whole and on the market value of individual shares.

The combined influence of macro-level factors determines changes 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 socio-cultural prerequisites that determine the attractiveness and feasibility 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 the P/E and P/BV ratios on the credit ratings of countries with emerging stock markets shows that:

Figures 4 and 5 reflect this dependence. The curves, which are averages for countries with emerging stock markets, have a clear slope, confirming the conclusions drawn.

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

The main micro-level factor influencing the formation of the market value of shares is the financial and economic condition and prospects for the development of the company's business. The business prospects of any company determine the sentiment of stock market participants who are ready to purchase shares. If the issuer's business develops unsatisfactorily, not meeting their expectations, then, accordingly, the demand for shares as an investment asset will be minimal, and share prices will not only not increase, but may even fall. If a company succeeds, the demand for its shares will increase and the value of the shares will increase. However, this seemingly predictable behavior of stock prices in most cases is not confirmed in practice. This is due to the untimely availability of information on the activities of companies to the market.

The economic condition and business development prospects of companies can be described using the indicators presented in Table 14. Note that the listed indicators are common to all companies. For a specific 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 management structure of the company includes:

management structure defining the hierarchy of subordination and job responsibilities of internal departments and employees of the company;

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

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

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

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

improperly organized document flow does not allow middle and senior 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 and perform unnecessary work, which makes management ineffective and leads to additional costs;

The lack of a clearly defined set of functions, powers and responsibilities for both structural units and officials does not allow delegation of authority, confining the resolution of most issues to senior management, diverting their attention from solving strategic problems, which leads to lost profits.

The lack of a clear organizational management structure negatively affects the financial and economic performance indicators: the overall competitiveness decreases, the company's business efficiency decreases and, as a result, the demand for shares decreases, leading to a drop in their market value.

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

The company's corporate structure includes:

the company's share capital structure, which reveals the distribution of shares among shareholders;

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

structure of friendly organizations: joining financial and industrial groups, holdings, affiliated companies.

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

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How to find out the true value of a company, what valuation method to use? Which calculation method can be used to obtain the most accurate company value? I want to immediately disappoint those who want to get unambiguous answers to these questions - there is no unambiguous answer to these questions. The choice of valuation method depends on the purposes of the valuation and on the end user of its results, and the calculated (estimated) value cannot be correct or incorrect, accurate or inaccurate - it can be justified or unjustified.

All valuation methods can be divided into 3 groups - income, market and cost. Let's 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 earnings capitalization method.

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

DP = PE + 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)+ Vrest. /(1+rn) (2),

V calc. - estimated value of the company,

r – discount rate,

n – number of forecasting periods (usually years),

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

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

g – company growth rate (revenue growth rate).

The main steps when using the method are:

Calculation of DP for each forecast period;

Selecting a 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 when applying the method is, of course, the cash flow forecast. This process itself is divided into several stages and involves forecasting 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 longer than 5 years, as this significantly reduces the accuracy of the forecasts. Moreover, I would recommend limiting it to 3 years and then using the company's growth rate (g). Of course, this advice is unacceptable if the company is being assessed for strategic purposes.

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

The calculation of the discount rate must be based on the applicable income stream. If you use net profit as income, you must use the following formula:

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

Po – current capitalization,

g – 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 – risk-free rate of return,

Rm – average market rate of income,

b – systematic risk coefficient.

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

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

If the shares are illiquid, or b unstable over time, it is better to use the fundamental calculation method. It is based on the results of an analysis of those variables that may 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 capital,

DSK - rate of return on equity capital (ROE can be used),

DZ – share of long-term debt,

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

This method is rarely used to quickly assess stock growth prospects, since it is quite labor-intensive, time-consuming and requires a lot of hard-to-access information. However, it can be used for some strategic purposes (for example, in preparing to launch shares on the market).

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

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

Vcalc.= D*K, (6)

D – income,

K – capitalization ratio.

To calculate income, a wide variety of values ​​can be taken - private equity, dividends, DP (see Income approach). An alternative to income (when using this method) can also be revenue, or physical volumes and capacities (oil reserves, installed capacities, tons of steel, etc.). All these alternatives involve their possible translation into 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 you from calculating the cost of all types of income and their alternatives. Using the PE indicator (balance sheet profit minus tax) as a capitalized value is the most economically correct. Capitalization of dividends is still of rather theoretical importance.

However, 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 different sectors of the national economy.

In terms of the timing of receipt, income can also be very diverse - an indicator of the past period, a weighted average over 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 almost impossible to collect data over 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 determination of K can be approached in two ways:

1. As K, you can take the multipliers 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 is necessary to remember that the basis for calculation must be the same for all comparable companies (i.e., you cannot take different profit values ​​calculated differently, etc.), and the price should be as close as possible in terms of the date of valuation.

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

2. K=1/(r-g). In this case, the analyst will have difficulty determining the discount rate r (see above) and the company's growth rate g. The method is quite complex, 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 an assessment has already been carried out using the discounted cash flow method).

When applying this calculation method, only PE 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 the inverse of P/E. Ideally, this should be the case, since the P/E ratio essentially takes into account two variables - the discount rate r and the market's expectations of future earnings growth.

In principle, modern theory describes more complex formulas for capitalizing cash flows. Their essence is to set different growth rates for the company at different time intervals, all of them are quite 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. The market approach includes two main valuation methods: capital market method And transaction method(there is also a method of industry coefficients, but I won’t talk about it today). Their differences lie in the fact that in the first case, the comparison is based on the prices of individual shares, and in the second, on the prices of individual transactions (usually quite large blocks). Accordingly, the application of these methods should be different for different cases (for example, to determine the possible price of cash auctions, where a controlling or close stake is offered, 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 comes down to comparing the financial and production indicators of a company and its market valuation indicators (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 the price should be on the market.

Many brokers and traders make do with only multipliers. In the market you can often hear the phrase: “The cost of oil in company N is significantly lower than the world price...”, or: “Capitalization per line in company N is lower than the industry average...”. 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 higher than the multipliers of other oil companies).

For a more clear description of the method, we will show the calculation using a specific example. For the calculation, we took a group of communication enterprises with an installed capacity of 300 to 500 thousand numbers. 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 P (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 (P), you can take either simply the arithmetic average P or the weighted one (depending on which indicator the investor considers the most significant). Calculating weights is a topic for a separate article and we will not touch upon 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 estimated values ​​of the multipliers (M), and then to determine the estimated share price. The calculation results are in Table 3.

The formula for calculating M is as follows:

if P>1, then M = Msr + (Mmax ​​- Msr)(P-1) (9)

R<1, то М = Мср - (Мср – Мmin)(1-Р)

Estimated share prices are determined based on the estimated M that we obtain for each multiplier. Then everything can be brought to a single price; here, just like when calculating risks, you can set different weights depending on the importance of a particular multiplier for the investor.

To successfully apply the method, it is important to complete three main steps:

1. Select a group of comparable companies

2. Collect the necessary information (everyone decides as best they can).

3. Select comparison indicators and carry out calculations

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

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

Another very important point when applying the method is the choice of comparison indicators. In an investment company or bank, they must depend on the company’s policies and its priorities when making investment decisions. In principle, you can try to calculate the indicators for the average investor (however, this is quite labor-intensive work and, as a rule, it does not justify the effort invested).

The number of indicators and their type are 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 being too zealous 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 is no data should not be excluded from the calculation. It’s also not worth wasting time and money to get these indicators somewhere. If these figures are available for other companies, 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 quite difficult to define unambiguously: for example, attitude towards shareholders, liquidity of shares, 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 expertly (here everyone decides in their 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 in that it allows you to approach the assessment not only from a theoretical point of view, but also from a market point of view (this is already evident from the name itself), using a whole range of 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 allows us to formalize the concepts of “risk” and “return” (the latter can be taken as growth potential), which, in turn, will allow us to select 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 valuation of an enterprise through its assets. The market value of assets is assessed, debts are deducted, or the costs of creating such a company are calculated. In our case (for our purposes) it is actually not applicable, since its correct use requires a lot of preparatory work and a large staff of evaluators.