6.1. Modern techniques of behavioral analysis of financial instruments on the stock market

В статье рассматриваются диапазоны конкретных значений поправки к бэта-коэффициенту, используемому при расчете ставки дисконтирования по модели CAPM для получения поведенческой ставки дисконтирования и расчета рыночной стоимости акций на рынках с учетом поведенческих факторов. В статье продемонстрировано применение инструментария поведенческого ценообразования. Представлены конкретные расчеты, предложены ориентиры для расчета поправки компонентов формулы расчета ставки дисконтирования для расчета стоимости с учетом эмоционального настроения на фондовых рынках. The article discusses the ranges of specific values of the beta correction ‒ the coefficient used in calculating the discount rate using the CAPM model to obtain a behavioral discount rate and calculating the market value of shares in the markets, taking into account behavioral factors. The article demonstrates the use of behavioral pricing tools. Specific calculations are presented, guidelines are proposed for calculating the amendments to the components of the formula for calculating the discount rate for calculating value, taking into account the emotional mood of stock markets.

Behavioral valuation in the Russian and Western stock markets

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.

5.1. Современные средства поведенческого анализа финансовых инструментов фондового рынка

The article discusses the means of applying the theory of behavioral value assessment. The article substantiates the application of the classical theory of valuation in a specific methodology for constructing coefficients used in behavioral assessment. Elements and formulas, methods of measuring the emotional background of the news are described. A methodology has been developed for calculating behavioral beta in accordance with the theory of behavioral pricing of Hersh Shefrin and Meyer Statman.В статье рассматриваются средства применения теории поведенческой стоимостной оценки. В статье обосновано применение классической теории стоимостной оценки в конкретной методике построения коэффициентов, используемых в поведенческой оценке. Описаны элементы и формулы, способы измерения эмоционального фона новостей. Разработана методология проведения расчетов поведенческой бэты в соответствии с теорией поведенческого ценообразования Х. Шефрина и М. Статмана.

The behavioral valuation apparatus

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.

Judgments of acquisition value and transaction value

Purpose An open question of behavioral pricing literature is: What are the factors which influence consumers’ judgments of acquisition value and transaction value? An important framework to explain consumers’ shopping and purchase decisions is their decision-making styles. This paper aims to examine the influence of consumers’ decision-making styles, that is, perfectionistic high-quality conscious, brand conscious-price equals quality, novelty-fashion conscious, recreational-hedonistic, price conscious-value for money, impulsive-careless, habitual-brand loyal and confused by overchoice on their judgments of acquisition value and transaction value. Design/methodology/approach From the literature, a conceptual framework was formulated. Data was collected from a survey of 304 respondents. The measurement model was tested using exploratory factor analysis and confirmatory factor analysis. The structural model was tested using structural equation modeling. Findings The consumers’ judgments of acquisition value and transaction value vary with their decision-making styles. The measurement and structural models exhibited good fit, and 12 of the 16 proposed hypotheses were found to be significant. Research limitations/implications The respondents for this research study were urban and postgraduate students. Practical implications The results of this study can help managers personalize their promotional offers and market offerings targeted at consumers with different decision-making styles. Originality/value Behavioral pricing literature has not convincingly shown that consumers make the judgments of the two values, acquisition value and transaction value, in a purchase scenario. There is limited literature on the impact of decision-making styles on the marketing variables. The results of this study contribute to the literature by showing that consumers make the judgments of these two values, and these judgments vary with their decision-making styles. Also, this is one of only a few studies to examine the two components of the purchase value in an Indian context.

Strategic behavioral pricing of the private residential development market – a simplified experimental approach

Purpose This paper aims to examine the behavior of “rational” residential developers, under game theory, for their pricing strategy in a competitive environment. Design/methodology/approach Results show that residential developers cooperate implicitly for long-term benefit, leading to a slow-down in sales. Developers are motivated to deviate from cooperating at the beginning and at the end of successive periods in a sub-market. Relatively high profits, earnable in the first few periods, provide an allowance to undercut prices and improve sales. For the last few periods, the punishment for any deviation from cooperating is insignificant or zero. Note that the first-mover advantage in a new market is evident. On the effect of uncertainty on the developer’s residential prices, results show that as uncertainty increases, prices decrease while price variability increases. Research limitations/implications This study highlights the merits of a uniquely simplified experimental research design for the strategic behavioral pricing of the private residential development market using a game theoretic approach. Practical implications This study enhances the understanding of the residential development strategy of developers in the residential development market. Originality/value There is limited research on pricing strategy for the private residential development market in Asia.