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«Theoretical and Applied Economics» (18+)
    • 1

¹ 1, 2019
Published since
2012 year
Frequency
Quarterly
ISSN
2409-8647
Registered in Roscomnadzor
17.12.2014
Registration number
ÝË ¹ ÔÑ 77 - 60154

The Journal "Òåîðåòè÷åñêàÿ è ïðèêëàäíàÿ ýêîíîìèêà " had ISSN 2306-4595 and was previously called "NB: Economics, Trends and Management" until December 1st, 2014.

This issue is currently being formed. All articles presented on this page have already been included in this issue, are considered published, and will remain unchanged in the final version of the issue along with other metadata of the articles.
Founder: Danilenko Vasiliy Ivanovich, w.danilenko@nbpublish.com
Main editor: Degtyarev Aleksandr Nikolaevich, , Aleks-degt@yandex.ru
Contents
Mathematical modeling and instrumental methods in economics
P. 1 - 19
Contents details
Mathematical modeling and instrumental methods in economics
Reference:
Zaytsev M.G., Varyukhin S.E. — Comparison of various methods of assessing the systematic risk factor // Theoretical and Applied Economics. – 2019. – ¹ 1. – P. 1 - 19. DOI: 10.25136/2409-8647.2019.1.28598 URL: https://en. nbpublish.com/library_read_article.php?id=28598
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Review: The subject of this research is the calculation of systematic beta risk coefficients for the United States corporations, which in accordance with the A. Damodaran’s industry classification comprise the following branches: Utilities (General), Retail (Grocery and Food), Shoe, Auto&Truck, and Food Wholesalers, with the use of various techniques applied by the famous providers: Yahoo.com, NASDAQ.com, Valueline.com, Bloomberg Terminal, and Damodaran Online. The goal of this work consists in verification and comparison of calculations of the systematic beta risk coefficients for the indicated United States corporations and the substantiation of the revisions to them. The authors calculated the beta coefficients, using the revenue data of these corporation and indexed S&P500, SP500TR, and NYSE Composite; as well as time dependency of beta based on various methods of the famous providers for 43 of the oldest and most sustainable corporations in the United States. The scientific novelty is defined by the fact that the calculations conducted by the authors in accordance with various techniques for the corporations rated on the market NYSE and NASDAQ, practically align with the data of the listed providers, but drastically differ for the diverse assessment techniques applies thereof. For the branches Utilities (General) and Retail (Grocery and Food), the authors’ results for industry beta, calculated as weighted average for the industry with the weights equal to capitalization of corporations, practically coincided with the data of Damodaran Online. However, for the tree other verified industries, the author detected significant, inexplicable discrepancies, clearly related to the presence of small companies in the list of industry, which stocks are irregularly traded in over-the-counter markets.
Keywords: Internet Providers Techniques, Retail industry, Utilities industry, USA companies, Damodaran classification, risk coefficient estimation, cost of equity, beta coefficient, systematic risk factor, Food Wholesalers industry
References (transliterated):
Fama E. F. The Behavior of Stock Market Prices // The Journal of Business. — 1965. — pp. 34–105.
Friedman B. M., Laibson D. I. Economic Application of Extraordinary Movements in Stock Prices // Brookings Papers on Economic Activity. — 1989. — Vol. 20. — No. 2. — pp. 137–189.
Mandelbroad B. Variation of certain speculative prices // Journal of Business. — 1963. — Vol. 36. — No. 4. — pp. 394–419.
Guseynov B. M. Problemy rascheta koeffitsienta beta pri otsenke stoimosti sobstvennogo kapitala metodom CAPM dlya rossiyskikh kompaniy. // Finansovyy menedzhment. — 2009. — ¹ 1. — S. 76–83.
Hamada R. S. The Effect of Firms Capital Structure on the Systematic Risk of Common Stocks // Journal of Finance. — 1972. — Vol. 27. — pp. 435–452.
Damodaran A. Equity Risk Premiums (ERP): Determinants, Estimation and Implications — The 2018 Edition. New York: Stern School of Business, 2018. — 133 p. — DOI: http://dx.doi.org/10.2139/ssrn.3140837.
Damodaran A. Estimating Risk Parameters // New York University, Leonard N.
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