Model of identification of optimal debt structure in corporations
Concept of the capital structure and existing models of capital structure optimization. Classical theories of the optimal capital structure. Models based on approach to equity as a real option. Russian crisis 2014-2015 description. Case of Lukoil Company.
| Рубрика | Финансы, деньги и налоги |
| Вид | дипломная работа |
| Язык | английский |
| Дата добавления | 31.10.2017 |
| Размер файла | 2,7 M |
Отправить свою хорошую работу в базу знаний просто. Используйте форму, расположенную ниже
Студенты, аспиранты, молодые ученые, использующие базу знаний в своей учебе и работе, будут вам очень благодарны.
As a basis model, were chosen the model developed by Hayne Leland. However, in order to apply this model to the task of identifying the optimal capital structure for the companies some modifications were made. As it was already stated, the model invented by Hayne Leland was chosen, on the one hand due to its' positive sides, and close to reality approach, and in the other hand, because of its simplicity.
The research goal can was stated as developing the optimal debt structure identification model. This goal was achieved by achieving all the thesis objectives. After the creation of the model the algorithm of its' implementation to the real companies were designed. Finally, the model was tested on the real companies under different market conditions. And practical recommendations to those companies were given.
Application of the proposed model showed some difference in the calculated level of leverage and observed one. For the most of cases, the calculated level of leverage exceeds the observed level of leverage. This debt value overvaluation was already mentioned in this type of models by the previous researches. However, the recommendations to solve this problem were given in the research.
All in all, the model developed in this master thesis, from a theoretical point of view uses more accurate analysis of the company capital structure, then commonly used models - like modifications of Hamada's equation. Also, this master thesis has contributes the scientific society, due to implementation of the model based on the “option-like” approach to equity with defining the “narrow places” of this approach, and designing the algorithm of implementing similar type of models to the real cases, which opens huge possibilities for further studies on the same topic. From the practical point of view, as it was described previously, since the capital structure is such an important side of the firms performance, the model that describes the main patterns of the firms leverage and recommends the optimal structure of it, has a huge variety of managerial implications and is interesting for the different stake holders of the company. However, it can be said that the model needs further development in a way that it was recommended, in order to gain more accurate results.
List of references
1. Altman, E., 1991. Defaults and returns on high-yield bonds through the first half of 1991. Financial Analyst Journal 47, 67-77
2. Anderson, R. and S. Sundaresan, 1996, Design and Valuation of Debt Contracts, Review of Financial Studies, vol. 9, no. 1, 37-68.
3. Bierman, S. 2016. Rosneft Surpasses Gazprom as Russia's Most Valuable Company. Bloomberg L.P., April 11. http://www.bloomberg.com/news/articles/2016-04-11/rosneft-surpasses-gazprom-as-russia-s-most-valuable-company (accessed April 15).
4. Black, F. and J. C. Cox, 1976, Valuing Corporate Securities: Some Effects of Bond Indenture Provisions, Journal of Finance, vol. 31, no. 2, 351-367.
5. Black, F. and M. Scholes, 1973, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, vol. 81, 637-654.
6. Bowler, T. 2015. Falling oil prices: Who are the winners and losers? BBC News, January 19. http://www.bbc.com/news/business-29643612 (accessed April 8).
7. Brealey Richard A., Myers Stewart C., Franklin Allen. Principles of Corporate Finance, 9th Edition. McGraw-Hill Education (Asia), International edition, 2008
8. Brennan Michael and Schwartz Edwardo S. Corporate Income Taxes, Valuation, and the Problem of Optimal Capital Structure. The Journal of Business, 1978, vol. 51, issue 1, pages 103-14
9. Cohen, R.D. (2007) "Incorporating Default Risk Into Hamada's Equation for Application to Capital Structure, " Wilmott Magazine
10. Conine, T.E. and Tamarkin, M. (1985) "Divisional Cost of Capital Estimation: Adjusting for Leverage, ” Financial Management 14, Spring issue, p. 54.
11. Damodaran, A., 2001, The Dark Side of Valuation, Prentice Hall, Inc.
12. DeAngel Harry, Ronald W. Masulis. Optimal capital structure under corporate and personal taxation. Journal of Financial Economics. Volume 8, Issue 1, March 1980, Pages 3-29.
13. Duffie, D., Singleton, K. (2003), Credit Risk: Pricing, Measurement and Management, Princeton Series in Finance.
14. Ericsson, J., J. Reneby (2002), “The Valuation of Corporate Liabilities: Theory and Tests, ” working paper, McGill University and Stockholm School of Economics.
15. Ericsson, J., Reneby. A.J. framework for valuing corporate securities. Applied Mathematical Finance, 1998 - Taylor & Francis.
16. Fama F. Eugene and French R. Kenneth. Testing Trade-Off and Pecking Order Predictions about Dividends and Debt. The Review of Financial Studies, Vol. 15, No. 1 (Spring, 2002), pp. 1-33
17. Gregory, P.R. 2015. A Russian Crisis With No End In Sight, Thanks To Low Oil Prices And Sanctions. Forbes, May 14. http://www.forbes.com/sites/paulroderickgregory/2015/05/14/a-russian-crisis-with-no-end-in-sight-thanks-to-low-oil-prices-and-sanctions/#2f246e067be6 (accessed April 8).
18. Hamada, R.S. (1972) “The Effect of the Firm's Capital Structure on the Systematic Risk of Common Stocks, ” The Journal of Finance, 27(2):435-452.
19. Hayne E. Leland; Klaus Bjerre Toft. Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads. The Journal of Finance, Vol. 51, No. 3, Papers and Proceedings of the Fifty-Sixth Annual Meeting of the American Finance Association, San Francisco, California, January 5-7, 1996. (Jul., 1996), pp. 987-1019.
20. Hobson, P. 2015. 8 Shades of Crisis - Russia's Year of Economic Nightmares. The Moscow Times, December 25. http://www.themoscowtimes.com/business/article/8-shades-of-crisis--russias-year-of-economic-nightmares/553703.html (accessed April 8).
21. Huang, J. and M. Huang, 2003, How much of the Corporate Treasury Yield Spread is Due to Credit Risk, Working Paper, Penn State University
22. Leland, H. E., 1994, Corporate Debt Value, Bonds Covenants and Optimal Capital Structure, Journal of Finance, vol. 49, no. 4, 1213-1252.
23. Leland, H., 2002, Predictions of Expected Default Frequencies in Structural Models of Debt, Working Paper, UCLA, Berkeley.
24. Longstaff, F. A. and E. S. Schwartz, 1995, A Simple Approach to Valuing Risky Fixed and Floating Rate Debt, Journal of Finance, vol. L, no. 3, 789-819. Delianedis and Geske (1999)
25. Lukoil annual report. OJSC Lukoil. IFRS Consolidated Financial Statements for the Year Ended 31 December 2015 and Independent Auditor's Report.
26. Marson, J., Williams, S. 2015. Sanctions Bite Massive Gas Project in Russian Arctic. The Wall Street Journal, August 27. http://www.wsj.com/articles/sanctions-bite-massive-gas-project-in-russian-arctic-1440667802 (accessed by April 12).
27. Mau, V. 2013. Between modernization and stagnation: Russian economic policy and global crisis. Post-Communist Economies. December, Vol. 25 Issue 4, p.448-464.
28. Mchugh, J. 2015. Russian Economic Crisis 2015: International Reserves Slump $5.4B Amid Sanctions, Ongoing Recession. International Business Times, May 11. http://www.ibtimes.com/russian-economic-crisis-2015-international-reserves-slump-54b-amid-sanctions-ongoing-2171565 (accessed May 12).
29. Merton, R., 1974, On the Pricing of Corporate Debt: The Risky Structure of Interest Rates, Journal of Finance, vol. 29, 449-470.
30. Modigliani Franco and Miller H. Merton. Corporate Income Taxes and the Cost of Capital: A Correction. The American Economic Review, Vol. 53, No. 3 (Jun., 1963), pp. 433-443
31. Modigliani Franco and Miller H. Merton. The Cost of Capital, Corporation Finance and the Theory of Investment. The American Economic Review, Vol. 48, No. 3 (Jun., 1958), pp. 261-297
32. Munshi, Jamal, The Hamada Equation Reconsidered (March 23, 2014). [Electronic resource] // Available at SSRN: http://ssrn.com/abstract=2414221/
33. Myers S.C. and Majluf N. (1984). Corporate financing and investment decisions when firms have information that investors do not have, Journal of Financial Economics, 13, 187-221.
34. Myers, Stewart C. Determinants of Corporate Borrowing. Journal of Financial Economics, No. 5 (1977) 147-175.
35. OJSC Novatek. Annual Report of OJSC "NOVATEK" for 2015. http://www.novatek.ru/ru/investors/disclosure/annual_reports (accessed April 12).
36. OJSC Novatek. IFRS Consolidated Financial Statements for the Year Ended 31 December 2014 and Independent Auditor's Report. http://www.novatek.ru/ru/investors/results (accessed April 12).
37. OJSC Novatek. IFRS Consolidated Financial Statements for the Year Ended 31 December 2010 and Independent Auditor's Report. http://www.novatek.ru/ru/investors/results (accessed April 12).
38. OJSC Novatek. IFRS Consolidated Interim Condensed Financial Statements (Unaudited) as of and for the Three Months Ended 31 March 2016. http://www.novatek.ru/ru/investors/results (accessed April 12).
39. OJSC Rosneft Official webpage. Rosneft at a Glance. http://www.rosneft.com/about/ (accessed April 15).
40. OJSC Rosneft. IFRS Consolidated Financial Statements for the Year Ended 31 December 2014 and Independent Auditor's Report. http://www.rosneft.ru/attach/0/22/01/Rosneft_FS_4Q_2015_RUS.pdf (accessed April 15).
41. OJSC Lukoil Official webpage. About company. http://www.lukoil.ru/(accessed April 17).
42. OJSC Lukoil. Annual Report of OJSC " Lukoil " for 2015. http://www.lukoil.ru/ (accessed April 12).
43. OJSC Lukoil. Annual Report of OJSC " Lukoil " for 2014. http://www.lukoil.ru/ (accessed April 12).
44. OJSC Lukoil. Annual Report of OJSC " Lukoil " for 2010. http://www.lukoil.ru/ (accessed April 06).
45. OSW. 2015. The Economic and Financial Crisis in Russia: Background, Symptoms and Prospects for the Future. OSW Report, February.
46. Patel, K., and Pereira, R. (2005)”Expected Default Probabilities in Structural Models: Empirical Evidence”. The Journal of Real Estate Finance and Economics. January 2007, Volume 34, Issue 1, pp 107-133.
47. Rapoza, K. 2013. Russia's Rosneft Surpasses ExxonMobil To Become World's Biggest Oil Co. Forbes, March 21. http://www.forbes.com/sites/kenrapoza/2013/03/21/russias-rosneft-surpasses-exxonmobil-to-become-worlds-biggest-oil-co/#5d2287111b60 (accessed April 15)
48. Smith Clifford and Warner B. Jerold. On financial contracting: An analysis of bond covenants. Journal of Financial Economics, 1979, vol. 7, issue 2, pages 117-161
49. Teixeira, Joгo C., A. An Empirical Analysis of Structural Models of Corporate Debt Pricing. Applied Financial Economics. Volume 17, Issue 14, 2007.
50. The Moscow Times. 2014. Sanctions Force Novatek Shareholders to Dig Deep for Yamal LNG, August 01. http://www.themoscowtimes.com/business/article/sanctions-force-novatek-shareholders-to-dig-deep-for-yamal-lng/504431.html (accessed April 12).
51. Titman Sheridan, Wessels Roberto. The Determinants of Capital Structure Choice. The Journal of Finance, Vol. 43, No. 1. (Mar., 1988), pp. 1-19.
52. U.S. Department of the Treasury. 2014. Ukraine-related Sanctions; Publication of Executive Order 13662 Sectoral Sanctions Identifications List. https://www.treasury.gov/resource-center/sanctions/OFAC-Enforcement/Pages/20140716.aspx.
53. Vasicek, O., 1977, An Equilibrium Characterization of the Term Structure, Journal of Financial Economics, 5, 177-188.
Размещено на Allbest.ru
...Подобные документы
Capital Structure Definition. Trade-off theory explanation to determine the capital structure. Common factors having most impact on firm’s capital structure in retail sector. Analysis the influence they have on the listed firm’s debt-equity ratio.
курсовая работа [144,4 K], добавлен 16.07.2016The Swiss tax system. Individual Income Tax. Income from capital gains. Procedure for taxation of income from capital gains. Distribution of shares in the capital. Tax at the source. The persons crossing the border. Lump-sum taxation. The gift tax.
реферат [14,1 K], добавлен 21.06.2013Strategy of foreign capital regulation in Russia. Russian position in the world market of investments. Problems of foreign investments attraction. Types of measures for attraction of investments. Main aspects of foreign investments attraction policy.
реферат [20,8 K], добавлен 16.05.2011Fisher Separation Theorem. Consumption Vs. Investment. Utility Analysis. Indifference Curves. The satisfaction levels. Indifference Curves and Trade Off between Present and Future Consumptions. Marginal Rate of Substitution. Capital Market Line.
презентация [1,5 M], добавлен 22.06.2015The economic benefits to the recipient countries by providing capital, foreign exchange. The question of potential causality between foreign debt and domestic savings in the context of the Kyrgyz Republic. The problem of tracking new private businesses.
реферат [26,7 K], добавлен 28.01.2014Study credit channel using clustering and test the difference in mean portfolio returns. The calculated debt-to-capital, interest coverage, current ratio, payables turnover ratio. Analysis of stock market behavior. Comparison of portfolios’ performances.
курсовая работа [1,5 M], добавлен 23.10.2016Составление портфеля ценных бумаг. Изменение стоимости портфеля, нахождение его фактической доходности. Оценка эффективности инвестиционного проекта с точки зрения владельца портфеля. Виды финансовых инструментов. Депозитные и сберегательные сертификаты.
курсовая работа [47,2 K], добавлен 26.01.2015History of formation and development of FRS. The organizational structure of the U.S Federal Reserve. The implementation of Monetary Policy. The Federal Reserve System in international sphere. Foreign Currency Operations and Resources, the role banks.
реферат [385,4 K], добавлен 01.07.2011Тhe balance sheet company's financial condition is divided into 2 kinds: personal and corporate. Each of these species has some characteristics and detail information about the assets, liabilities and provided shareholders' equity of the company.
реферат [409,2 K], добавлен 25.12.2008Понятие и сущность управления затратами. Классификация затрат на производство. Характеристика предприятия, задачи анализа. Анализ себестоимости, исчисленной по переменным затратам. Совершенствование управлением текущими затратами на ТОО "Capital Profit".
дипломная работа [748,5 K], добавлен 29.06.2011Brief description of PJSC "Kyivenergo". Basic concepts of dividend policy of the company. Practice of forming and assesing the effiiency of dividend policy of the company. The usual scheme of dividend policy formation consists of six main stages.
курсовая работа [1004,4 K], добавлен 07.04.2015Становление системы плавающих курсов на валютном рынке. Дилинги и брокеры в РФ. Стратегии управления активами на Forex. Риск-менеджмент как инструмент на финансовых рынках. Пример успешного управления активами и их диверсификации на примере TIM Capital.
презентация [388,8 K], добавлен 22.05.2015Сущность программно-целевого метода планирования бюджета. Классификация целевых программ. Основные направления бюджетной политики на 2014 год и плановый период 2015 и 2016 годов. Развитие мелиорации сельскохозяйственных земель России на 2014–2020 гг.
доклад [55,8 K], добавлен 22.04.2014Характеристика фінансової діяльності НАСК "Оранта". Особливості актуарних розрахунків в страховій організації. Прогнозування показників функціонування підприємства на 2014-2015 р. Застосування інформаційних технологій для оптимізації страхової діяльності.
курсовая работа [833,8 K], добавлен 15.09.2014Правовые основы деятельности сельхозпроизводителей. Действующая система исчисления и уплаты единого сельскохозяйственного налога. Методика прогнозирования отдельных налоговых доходов консолидированного бюджета Республики Башкортостан на 2014-2015 годы.
контрольная работа [31,0 K], добавлен 24.05.2015Анализ законопроекта Тюменской области "Об областном бюджете на 2013 год и на плановый период 2014 и 2015 годов". Источники финансирования дефицита бюджета. Прогнозируемый объём доходов и расходов. Основные направления и задачи бюджетной политики.
контрольная работа [12,3 K], добавлен 06.08.2013Понятие и содержание финансовой политики государства. Рассмотрение функций институтов исполнительной и законодательной властей в сфере финансов Российской Федерации. Основные направления бюджетной политики на 2014 год и плановый период 2015 и 2016 годов.
курсовая работа [44,1 K], добавлен 04.04.2014Основные направления налоговой политики Российской Федерации на 2013 год и на плановый период 2014 и 2015 годов. Совершенствование налогового администрирования. Механизмы противодействия уклонению от уплаты налогов. Налоговое стимулирование инвестиций.
контрольная работа [23,1 K], добавлен 05.03.2014Состояние и тенденции развития денежного рынка как составная часть финансового рынка. Реализация денежно-кредитной политики Банка Российской Федерации и задача снижения темпов прироста потребительских цен в 2013 году до 5-6%, в 2014 и 2015 годах- до 4-5%.
курсовая работа [296,5 K], добавлен 05.04.2015Акцизы на алкогольную и табачную продукцию: особенности исчисления и уплаты. Изменения, вступившие в силу в 2014-2015 гг., согласно Налоговому кодексу Российской Федерации. Налог на добавленную стоимость по экспортным операциям (применение ставок и пени).
контрольная работа [21,4 K], добавлен 02.05.2015
