The behavioral valuation apparatus

2020 ◽  
Vol 26 (2) ◽  
pp. 257-269
Author(s):  
S.Yu. Bogatyrev
Keyword(s):  
Measurement Theory ◽  
Investment Strategy ◽  
Stock Exchanges ◽  
Municipal Finance ◽  
Valuation Theory ◽  
Behavioral Pricing ◽  
Emotional Environment ◽  
Grade Scale ◽  
Analytical Tools ◽  
Valuation Tools

Subject. The article discusses behavioral valuation tools and focuses on the creation of the behavioral valuation methodology. Objectives The study reveals mechanisms for setting behavioral valuation indicators. Methods. I prove it is reasonable to apply the classical theory of valuation to set behavioral valuation tools. The article presents elements and formulae of the classical valuation theory and provides mechanisms for setting respective tools. Results. Mood measurement in news is the backbone of analytical tools described in the article. As part of the mood measurement in news, researchers process all news relating to analyzable companies and measure it by seven-grade scale. I articulated the behavioral beta measurement theory in accordance with the behavioral pricing theory of Hersh Shefrin and Meyer Statman. The article unveils the possible effect of using analytical materials, which complement the decision-making process concerning an investment strategy in the most distant retrospect. I showcase how the fundamental analysis and valuation may help you record a quotation per each day while catching what opinion an analyst had about the quotation at the same point of time, what emotional environment surrounded the pricing process within the analyzable period of time. Conclusions and Relevance. The article presents the method to set behavioral valuation tools, being a step towards pricing based on behavioral valuation. The article showcases the relationship of behavioral valuation tools and classical valuation tools and new valuation models. I devised the framework for practical computations. The findings apply to valuation, corporate finance, public and municipal finance, tax issues, stock exchanges. It is especially important to use behavioral valuation tools during the instability and crisis, change in the market paradigm, market shifts, changes in the return and volatility of financial instruments. Behavioral valuation tools supplements and extends the conventional tools used in traditional finance, makes cost management decisions more informed.

scholarly journals Market Multiples and the Valuation of Cyclical Companies

2017 ◽  
Vol 10 (12) ◽  
pp. 246
Author(s):  
Emanuel Bagna ◽  
Enrico Cotta Ramusino
Keyword(s):  
Listed Companies ◽  
Research Topic ◽  
Everyday Practice ◽  
Valuation Theory ◽  
Equity Analysts ◽  
Investment Bankers ◽  
Valuation Tools ◽  
The Way

Market multiples are more often used than studied. Equity analysts, investment bankers and other practitioners widely use market multiples to estimate the value of companies. Nevertheless, literature about multiples is not as rich as the wide use of these valuation tools would suggest. This paper, focusing on European listed companies, investigates how multiples can be used in the valuation of cyclical companies, a much less investigated research topic. We test the accuracy of multiples to understand whether their performance in valuing cyclical companies is better, worse or equal to the performance found in prior studies, where both cyclical and non cyclical companies are analyzed without distinguishing between them. We also attempt to verify whether the way in which multiples are calculated significantly affects the accuracy of estimation. Our aim is to develop a valuation approach consistent with valuation theory and helpful in everyday practice.

Behavioral valuation in the Russian and Western stock markets

2020 ◽  
Vol 26 (3) ◽  
pp. 549-564
Author(s):  
S.Yu. Bogatyrev
Keyword(s):  
Discount Rate ◽  
Stock Markets ◽  
Market Value ◽  
Practical Implementation ◽  
Behavioral Pricing ◽  
Emotional Tone ◽  
Beta Coefficient ◽  
The One ◽  
Key Indicators ◽  
Valuation Tools

Subject. The article discusses changes in qualities of market actors that influence the valuation of assets, behavioral valuation, ranges of the valuation apparatus components. I focus on the practical implementation of the behavioral pricing and a technique for assessing key indicators of behavioral valuation of assets. Objectives. The study measures ranges of certain values adjusting the beta coefficient, which is used to assess the discount rate under the CAPM so as to arrive at the behavioral discount rate and market value of assets in markets with reference to behavioral factors. Methods. The article demonstrates how the behavioral pricing apparatus is applied. I also present some computations, propose benchmarks for assessing the adjustment to components of the discount rate formula for valuation purposes and in line with the emotional tone in stock markets. Results. I devised and implemented the technique for measuring the emotional tone of news and integrated methods for assessing the behavioral beta in accordance with the behavioral CAMP of Hersch Shefrin and Meir Statman. I tested and verified the hypothesis stating that emotions cause the beta coefficient, which is used by irrational investors use, to diverge from the one embedded in the CAPM. The article shows a range of the beta coefficient used by irrational investors from the one embedded in the CAPM. It can be used to assess the market value of shares in a particular case. Conclusions and Relevance. The theory of behavioral valuation of financial assets was put into practice, unveiling the value of the discount rate constituents, which can serve for cost analysts and appraisers. The findings are useful for valuation, corporate finance, public and municipal finance, fiscal issues, stock exchanges. Behavioral valuation tools are especially relevant in case of instability and crisis, a changing market paradigm, market developments, changes in the rate of return and volatility of financial instruments. Behavioral valuation tools supplements and expands the classical one, improves decision-making on value management in modern markets.

scholarly journals Parameterized Trade on the Futures Market on the WIG20

2019 ◽  
Vol 19 (1) ◽  
pp. 114-125
Author(s):  
Iwona Piekunko-Mantiuk
Keyword(s):  
Investment Strategy ◽  
Futures Contracts ◽  
Future Price ◽  
Stock Exchanges ◽  
Loss Ratio ◽  
Rates Of Return ◽  
Market Participants ◽  
Price Movements ◽  
The Right ◽  
Closing Rate

Abstract Research background: Market participants have been trying to forecast future price movements and create tools to facilitate making the right investment decisions since the beginning of the operation of stock exchanges. As a result, there are an increasing number of methods, tools, strategies and models to make the decision process which is becoming extremely complicated. Purpose: to maximize the simplification of trade rules and to check whether it is possible to parameterize transactions based on the length of price movements in order that the system built in this way would generate profits. Research methodology: empirical research was conducted on data from the period between 20/01/1998 and 29/06/2018 covering listing futures contracts for the WIG20. First, the length of the price movements was determined according to the closing rate, then the frequency of individual lengths of the price movements was determined so transaction parameters were fixed. Next, the parameters were optimized and the rates of return from the tested options were examined. Result: It is possible to parameterize transactions based on the length of price movements and to create a simple investment strategy which generates profits. In the audited period, the optimal length of traffic was 25 points with a simultaneous use of a profit/loss ratio of 1 : 1, 1 : 2 or 1 : 3. Novelty: an original investment strategy based on the parameterization of transactions that is based on length of price movement and profit/loss ratio.

scholarly journals Analiza krótko- i długookresowych związków pomiędzy giełdami azjatyckimi a rynkiem europejskim i amerykańskim

Ekonomia ◽  
2020 ◽  
Vol 26 (1) ◽  
pp. 139-154
Author(s):  
Daria Pielucha
Keyword(s):  
Stock Exchange ◽  
Investment Strategy ◽  
Stock Exchanges ◽  
German Market ◽  
Distributed Lag ◽  
Index Pairs ◽  
Mutual Relations ◽  
The Impact ◽  
Adf Test

The aim of the article is to assess the relations between the Chinese and Japanese stock exchanges in relation to the American and European markets represented by the German market and to assess the impact of price fluctuations of the S&P500 and DAX indices on Asian stock exchange indices. In the study, the ADF test was used, according to which the degree of integration of the studied processes was determined and an appropriate class of distributed lag models and error correction was selected for the assessment of short- and long-term dependencies. The results of the conducted analysis clearly indicate that Asian exchanges are linked to both the American and German markets, but only in the case of index pairs NI225-DAX and SSEC-SP500 was the co-integration of processes confirmed, i.e. their joint pursuit of a long-term balance. In the case of the remaining pairs, co-in-tegration has not been confirmed, which means that there is a spurious correlation and therefore, a correct analysis of the mutual relations in these cases allows only short-term relationships to be detected. The results of the article may be helpful in choosing an investment strategy on Asian ex-changes adapted to its time horizon.

In situ TEM studies of irradiation effects for materials improvement

1991 ◽  
Vol 49 ◽  
pp. 452-453
Author(s):  
Charles W. Allen
Keyword(s):  
Nuclear Reactor ◽  
Austenitic Stainless Steels ◽  
High Energy ◽  
Point Of View ◽  
In Situ Tem ◽  
Irradiation Effects ◽  
Tem Analysis ◽  
Radiation Induced ◽  
Analytical Tools

Irradiation effects studies employing TEMs as analytical tools have been conducted for almost as many years as materials people have done TEM, motivated largely by materials needs for nuclear reactor development. Such studies have focussed on the behavior both of nuclear fuels and of materials for other reactor components which are subjected to radiation-induced degradation. Especially in the 1950s and 60s, post-irradiation TEM analysis may have been coupled to in situ (in reactor or in pile) experiments (e.g., irradiation-induced creep experiments of austenitic stainless steels). Although necessary from a technological point of view, such experiments are difficult to instrument (measure strain dynamically, e.g.) and control (temperature, e.g.) and require months or even years to perform in a nuclear reactor or in a spallation neutron source. Consequently, methods were sought for simulation of neutroninduced radiation damage of materials, the simulations employing other forms of radiation; in the case of metals and alloys, high energy electrons and high energy ions.

Kritik der Politischen Ökonomie im 21. Jahrhundert.

2017 ◽  
Vol 47 (188) ◽  
pp. 453-470 ◽  
Author(s):  
Hans-Peter Büttner
Keyword(s):  
Political Economy ◽  
Critical Theory ◽  
Scientific Community ◽  
New World ◽  
Neoclassical Economics ◽  
Price Theory ◽  
Transformation Problem ◽  
Iron Cage ◽  
Analytical Tools

While the majority of the scientific community holds Marxian Value and Price Theory to be internally inconsistent because of the so-called “transformation problem”, these claims can be sufficiently refuted. The key to the solution of the “transformation problem” is quite simple, so this contribution, because it requires the rejection of simultanism and physicalism, which represent the genuine method of neoclassical economics, a method that is completely incompatible with Marxian Critique of Political Economy. Outside of the iron cage of neoclassical equilibrium economics, Marxian ‘Capital’ can be reconstructed without neoclassical “pathologies” and offers us a whole new world of analytical tools for a critical theory of capitalist societies and its dynamics.

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