Научный семинар "Эмпирические исследования корпоративных финансов"

Theme 1: Corporate international diversification and performance – an economic profit viewpoint: evidence from BRIC companies

Speakers: Irina Ivashkovskaya, Pavel Yakovenko

In recent years corporate international diversification has become a widely used growth strategy for companies from both developed and emerging markets. Nevertheless, academic papers provide contradictory results on whether the influence of international diversification on firm performance is positive or negative. This chapter presents the results of an empirical analysis of corporate international diversification efficiency on a sample of companies from BRIC countries which expanded geographically 2005-2015. We contribute to the existing literature by applying a new methodology to identify the efficiency of corporate international diversification based on an economic profit measure. The results indicate that there is a non-linear relationship between the degree of international diversification and the performance of BRIC companies. Additionally we found that the predictive power of the entropy measure of international diversification is similar to a combination of foreign-sales- to-total- sales measure and a HHI measure. Moreover, international diversification produces long-term positive performance effects (measured by Tobin’s Q) even when short-term performance effects may be negative (measured by economic profit spread).

Theme 2: Credit rating modelling for IRB-approach: an empirical study based on neural networks 

Speaker: Natalya Dyachkova

After the crisis events of 2008, most of the EU countries have decided to develop their internal systems of qualitative assessment of companies and created more flexible conditions for the existence of independent internal rating services. The conventional mechanisms of modelling of internal credit ratings (ICRs) need development and forecast company’s financial stability. In mechanisms based on manual scoring systems, the ICRs are assessed with fundamental analysis of corporates’ business plans and project documentations.

This work provides an empirical example of modelling of internal credit ratings for industrial companies and show that application of proposed model in combination with multivariate probit regression model results in forecasting of CRA’s credit ratings with a prevision of 64%. This result exceeds that of 37% as reported in earlier published research.

Дата и время проведения:  21 декабря 2017 г. в 18:30

Место проведения: ул. Шаболовка, 26, ауд. 3211 (зал ученого совета)

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