Determinants of the value of Russian companies under sanctions: results of panel data modeling
Abstract
This article presents the results of an empirical study of relationship between the market value of Russian companies, as proxied by the market-to-book ratio and traditional determinants against the backdrop of crisis periods. The analysis is based on the panel data; the sample is formed by data covering the 2013–2023 period for 60 largest companies representing nonfinancial sector of national economy. Since 2014 the sanction campaign can be divided into several stages reflecting the strength of their potential effect: diplomatic actions, measures taken against particular individuals and companies, sectoral sanctions (trade and financial restrictions, technology export bans), freezing of national financial assets, etc. The pattern of influence of shareholder value determinants has changed correspondingly. The estimates obtained show that profitability, operating risk and size are positively related to shareholder value, while leverage, liquidity, state ownership as well as sectoral effects demonstrate no statistical significance. Time dummies have strong impact over shareholder value: macroeconomic trends, sanctions regime and general risks have substantially lowered the market value of Russian companies.
About the Authors
A. B. Ankudinov
Kazan (Volga Region) Federal University
Russian Federation
Russian Federation
Ph.D. in Physics and Mathematics, Associate Professor
N. A. Litvinov
Kazan (Volga Region) Federal University
Russian Federation
Russian Federation
Student
D. E. Matveeva
Kazan (Volga Region) Federal University
Russian Federation
Russian Federation
Student
References
1. Ankudinov A.B., Lebedev O.V. Determinants of creating shareholder value be Russian companies // Corporative finance. – 2014. – No. 1. – P. 32–45.
2. Ankudinov A.B., Markhanova E.S. Empiriсal analysis of value drivers of Russian companies: the results of statistical modelling on the data panels // Economical bulletin of RT. – 2016. – No. 3. – P. 43–50.
3. Safiullin M.R., Ankudinov A.B., Lebedev O.V. Investigation of motives and factors of enterprises investment activity // Issues of forecasting. – 2013. – No. 4. – P. 126–138.
4. Bolek M., Wolski R. Profitability or Liquidity: Influencing the Market Value // International Journal of Economics and Finance. – Vol. 4, Is. 9. – 2013. – P. 182–190.
5. Chang Y., Benson K., Faff R. Are excess cash holdings more valuable to firms in times of crisis? Financial constraints and governance matters // Pacific-Basin Finance Journal. – Vol. 45. – 2017. – P. 157–173.
6. Chen P., Zhang G. How Do Accounting Variables Explain Stock Price Movements? Theory and Evidence // Journal of Accounting and Economics. – No. 43. – 2007. – P. 219–244.
7. Chen L., Zhao X. On the Relation Between the Market-to-Book Ratio, Growth Opportunity, and Leverage Ratio // Finance Research Letters. – No. 3. – 2006. – P. 253–266.
8. Chua C.T., Eun C.S., Lai S. Corporate valuation around the world: the effects of governance, growth, and openness // Journal of Banking & Finance. – No. 31. – 2007. – P. 35–56.
9. Das, Chandrika Prasad. Effect of Capital Structure on Shareholder Value: Evidence from Panel ARDL Approach // European Economic Letters (EEL). – Vol. 13, Is. 5. – 2023. – P. 1570–1591.
10. Dwiba M. Company Value through Financial Performance as Intervening Variables: Capital Structure and Proportion of The Board of Commissioners // Journal of Business and Economics (JBE) UPI YPTK. – Vol. 6, Is. 2. – 2021. – P. 67–72.
11. Farinas J.C., Moreno L. Firms’ Growth, Size and Age: A Nonparametric Approach // Review of Industrial Organization. – No. 17. – 2000. – P. 249–265.
12. Fu J.J. The empirical research of the relationship of transportation listed company’s capital structure with enterprise value // Advanced Materials Research. – Vol. 998–999. – 2014. – P. 1638–1641.
13. Harsono S.B., Susanto L. The effect of profitability, capital structure, asset structure, and firm age on firm value // International Journal of Application on Economics and Business. – Vol. 1, Is. 3. – 2023. – P. 1050–1061.
14. Huergo E., Jaumandreu J. Firms’ Age, Process Innovation and Productivity Growth // International Journal of Industrial Organization. – No. 22. – 2004. – P. 541–559.
15. Koller T., Goedhart M., Wessels D. Valuation: Measuring and Managing the Value of Companies // Wiley Finance. – 5th ed. – 2010.
16. Kościelniak H. Company value and a capital structure // Ekonomicky casopis. – Vol. 55, Is. 2. – 2007. – P. 180–194.
17. La Porta R., Lopez de Silanes F., Shleifer A., Vishny R. Investor Protection and Corporate Valuation // Journal of Finance. – No. 57. – 2002. – P. 1147–1170.
18. Lebo T.C., Tasik H.D. The impact of financial ratios on price to book value (PBV) in automotive and component sub sector listed in IDX within 2007–2016 periods // Jurnal EMBA: Jurnal Riset Ekonomi, Manajemen, Bisnis dan Akuntansi. – Vol. 5, Is. 3. – 2017. – P. 71–80.
19. Liljeblom E., Maury B., Horhammer A. Complex state ownership, competition, and firm performance – Russian evidence // International Journal of Emerging Markets. – Vol. 15, Is. 2. – 2020. – P. 189–221.
20. Malighetti P., Meoli M., Paleari S., Redondi R. Value Determinants in the Aviation Industry // Transportation Research Part E: Logistics and Transportation Review. – Vol. 47. – No. 3. – 2011. – P. 359–370.
21. Margaritis D., Psillaki M. Capital Structure, Equity Ownership and Firm Performance // Journal of Banking & Finance. – Vol. 34. – No. 3. – 2010. – P. 621–632.
22. Meoli M., Paleari S., Vismara S. IPO Valuation of European Pyramidal Groups // Banking and Finance Review. – No. 1. – 2009. – P. 17–34.
23. Muhang Su. Research on the Correlation Between Company Performance and Its Share Price // Advances in Economics, Management and Political Sciences. – Vol. 12, Is. 1. – 2023. – P. 374–381.
24. Pandey I. What Drives Shareholder Value // Asian Academy of Management Journal of Accounting and Finance. – No. 1. – 2005. – P. 105–120.
25. Pedersen T., Thomsen S. Ownership Structure and Value of the Largest European Firms: The Importance of Owner Identity // Journal of Management and Governance. – No. 7. – 2003. – P. 27–55.
26. Rayan K. Financial leverage and firm value: A research project submitted to the Gordon Institute of Business Science, University of Pretoria, in partial fulfilment of the requirements for the degree of Master of Business Administration. – University of Pretoria. – 2008. – P. 102.
27. Official site Smart-lab.ru. – URL: https://smart-lab.ru.
28. Official site Audit-it.ru. – URL: https://www.audit-it.ru.
29. Official site Moscow Stock Exchange. – URL: https://www.moex.com.
Review
For citations:
Ankudinov A.B., Litvinov N.A., Matveeva D.E. Determinants of the value of Russian companies under sanctions: results of panel data modeling. Kazan economic vestnik. 2024;1(4):25-32. (In Russ.)
Views:
15
Email this article 