IDEAS home Printed from https://ideas.repec.org/a/eip/journl/y2019i3p40-59.html
   My bibliography  Save this article

Estimating risk exposure of Ukrainian enterprises using methods of corporate finance

Author

Listed:
  • P. KERIMOV

Abstract

Weak market infrastructure makes the data provided by Ukrainian stock exchanges obscure and unreliable, which ultimately led to a loss of Ukraine's "frontier market" status since 2015. This, in turn, makes risk exposure estimation of Ukrainian enterprises, especially using CAPM and its modifications, a rather complex and creative process, which is highly dependent on the qualification of the expert making such assessment. The aims of this research are to itemize the main issues with calculating beta-coefficient using Ukrainian data and to offer possible ways of mitigating or avoiding them. Using a set of Ukrainian engineering enterprises the author demonstrates the main limitations of the current statistics provided by Ukrainian stock exchange (namely, fragmentary data with dubious representativeness), gives a condensed characterization of reasons for such state of affairs, and proposes to use methods of calculation based on open source corporate data instead. The best results were achieved by using a method based on adjusting existing average industry-based beta coefficient to enterprise's individual financial leverage. The author hypothesizes that in order to receive results more representative for Ukraine's situation one should use industry average beta, calculated based on Ukrainian data instead of worldwide averages, available in the open sources. The methodical approaches to calculating beta coefficient, examined in this paper, and their modifications in order to fit Ukrainian conditions better, could potentially be used in order to access risk exposure of enterprises, functioning on other frontier or developing markets. Creating an open database of industry-based average betas, calculated on basis of Ukrainian data, could be a valuable alternative to currently available sources for evaluating assets on non-developed markets

Suggested Citation

  • P. Kerimov, 2019. "Estimating risk exposure of Ukrainian enterprises using methods of corporate finance," Economy and Forecasting, Valeriy Heyets, issue 3, pages 40-59.
    • Handle: RePEc:eip:journl:y:2019:i:3:p:40-59
    as

    Download full text from publisher

    File URL: http://eip.org.ua/docs/EP_19_3_40_uk.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Roggi, Oliviero & Giannozzi, Alessandro & Baglioni, Tommaso, 2017. "Valuing emerging markets companies: New approaches to determine the effective exposure to country risk," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 553-567.
    2. Pereiro, Luis E., 2006. "The practice of investment valuation in emerging markets: Evidence from Argentina," Journal of Multinational Financial Management, Elsevier, vol. 16(2), pages 160-183, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Pavlo Kerimov & Vladyslav Zymovets, 2021. "Quasi-Risk and Fraudulent Financing Models: The Case of Firms with Negative Equity in Ukraine," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 8, pages 48-68.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. N. A. Goncharova* & I. S. Kondratenko & E. N. Zamaraeva, 2018. "Economic Mechanism of Industrial Enterprise Resources Management Efficiency Assessment," The Journal of Social Sciences Research, Academic Research Publishing Group, vol. 4(12), pages 470-477, 12-2018.
    2. Ivanovski Zoran & Narasanov Zoran & Ivanovska Nadica, 2018. "Performance Evaluation of Stocks’ Valuation Models at MSE," Economic and Regional Studies / Studia Ekonomiczne i Regionalne, Sciendo, vol. 11(2), pages 7-23, June.
    3. Bravo Sergio, 2019. "The Corporate Life Cycle and the Cost of Equity," Journal of Business Valuation and Economic Loss Analysis, De Gruyter, vol. 14(1), pages 1-14, February.
    4. Mawih Kareem Al-Ani, 2015. "A Strategic Framework to Use Payback Period in Evaluating the Capital Budgeting in Energy and Oil and Gas Sectors in Oman," International Journal of Economics and Financial Issues, Econjournals, vol. 5(2), pages 469-475.
    5. Auza, Anna & Asadi, Ehsan & Chenari, Behrang & Gameiro da Silva, Manuel, 2024. "Review of cost objective functions in multi-objective optimisation analysis of buildings," Renewable and Sustainable Energy Reviews, Elsevier, vol. 191(C).
    6. González, Maximiliano & Garay, Urbi & Rosso, John, 2014. "The cost of equity in emerging markets: The case of Latin America," Galeras. Working Papers Series 038, Universidad de Los Andes. Facultad de Administración. School of Management.
    7. Syed Babar Ali & Manzoor A.Khalidi, 2020. "Valuation of Equity Securities, Private Firms, and Startups," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 16(1), pages 125-140.
    8. Syed Babar Ali & Manzoor A.Khalidi, 2020. "Valuation of Equity Securities, Private Firms, and Startups," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 16(1), pages 16-19.
    9. Salles, Thiago Taglialegna & Nogueira, Denismar Alves & Beijo, Luiz Alberto & Silva, Liniker Fernandes da, 2019. "Bayesian approach and extreme value theory in economic analysis of forestry projects," Forest Policy and Economics, Elsevier, vol. 105(C), pages 64-71.
    10. Figlioli, Bruno & Lima, Fabiano Guasti, 2019. "Stock pricing in Latin America: The synchronicity effect," Emerging Markets Review, Elsevier, vol. 39(C), pages 1-17.
    11. Kallio, Markku & Kuula, Markku & Oinonen, Sami, 2012. "Real options valuation of forest plantation investments in Brazil," European Journal of Operational Research, Elsevier, vol. 217(2), pages 428-438.
    12. Kumari, Jyoti & Mahakud, Jitendra & Hiremath, Gourishankar S., 2017. "Determinants of idiosyncratic volatility: Evidence from the Indian stock market," Research in International Business and Finance, Elsevier, vol. 41(C), pages 172-184.
    13. Abdul Rasheed & Muhammad Khalid Sohail & Shahab-Ud Din & Muhammad Ijaz, 2018. "How Do Investment Banks Price Initial Public Offerings? An Empirical Analysis of Emerging Market," IJFS, MDPI, vol. 6(3), pages 1-19, September.
    14. Grandes, Martin & Panigo, Demian T. & Pasquini, Ricardo A., 2010. "On the estimation of the cost of equity in Latin America," Emerging Markets Review, Elsevier, vol. 11(4), pages 373-389, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eip:journl:y:2019:i:3:p:40-59. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Iryna Bazhal (email available below). General contact details of provider: http://eip.org.ua/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.