Signaling effect of the "buyback" of shares in Russia - Курсовая работа

Федеральное государственное автономное образовательное учреждение высшего профессионального образования «Национальный исследовательский университет «Высшая школа экономики» Международный институт экономики и финансов Курсовая работа / Выпускная квалификационная работа - Бакалаврская работа по направлению подготовки 38.03.01 «Банковское дело и финансы» образовательная программа «Программа двух дипломов по экономике НИУ ВШЭ и Лондонского университета» «Сигнальный эффект обратного выкупа акций в России» («Signaling effect of the «buyback» of shares in Russia») Кючюк Джесур Рецензент В.И. Черняк Научный руководитель А.Э. Улугова Москва 2016 Table of Contents Introduction Chapter 1. Review of literature 1.1 General theoretical framework and methods of «buyback» 1.2 Reasons of «buyback» Chapter 2. Methodology and Data 2.1 Hypotheses 2.2 Methodology 2.2.1 Event study 2.2.2 Regression analysis 2.3 Data for the research Chapter 3. Empirical Conclusions 3.1 Event study conclusion 3.2 Regression analysis conclusions Conclusion References Appendix 1 Introduction In recent several years the role of Russian financial markets is growing constantly. The participants of Russian financial markets gaining the bigger role in the overall financial world perspective over years. Thus the optimal financial decisions by the firms are more important and crucial than before. Managers of the firms are faced with lots of decision making problems in modern world, such as: payout policy, redistribution of excess capital etc. Moreover, the first factor taken under consideration by the companies management is shareholder wealth. Nevertheless, stated above factor can be harmed by the mispricing of the firm by the market or by the presence of the asymmetry of information problem. At the same time for such purposes repurchase of own shares of the company is the common way for several firms abroad. The main aim of the following study is to outline and test the main reasons of managers to participate in «buyback» operations in Russia. What is more, this work is also concentrated on the effect on the stock price by the announcement of firms buying back their own shares. To answer to stated questions following procedures should be intaken: 1. Deep analysis of the theoretical framework and the empirical studies of the «buyback». 2. The choice of the methodology of the study and the choice of the compatible with Russian realities. 3. The collection of needed data of stock prices and financial indicators for the firms participated in «buyback» in Russia. 4. Evaluation of the effect of the «buyback» announcement on the stock price and signaling effect. 5. Outlining and empirically studying the main reasons for repurchase of own shares on Russian financial markets. 6. Interpret the conclusions of the empirical research about the effect on the stock prices and determinants of the motivation of the «buyback» Plenty of researches and empirical studies was conducted on the basis of «buyback» on leading financial markets such as U.S. and U.K. and only few of them concentrated on developing markets, but the «buyback» phenomena stays almost unstudied. Talking about novelty of the following work several new methodologies can be outlined: 1. The study of the effect on stock price by «buyback» announcement conducting event study methodology in Russia. 2. The research of main determinants of repurchase of shares of firms traded in Russia applying regression analysis. 3. The study of the effect of takeover danger on motivation of firms for repurchase of shares on Russian financial markets using dummy variable. 4. Applying Logit regression model and studying marginal effects of variables. In the first chapter of the work the main theoretical aspects and empirical studies will be concerned in order to evaluate the main reasons for «buyback» and effect of such event on several factors. Moreover, obtained information will be used as back-up arguments for the original research of the following work. Next step will be deep discussion of the methodology of the research and data collected in order to perform it. After that chapter 3 will outline the main conclusions obtained from the empirical and theoretical studies of the work. Chapter 1. Review of literature In this part I will outline the most common causes which answer the question «Why firms repurchase their own stocks» and «Which processes do they usually use do perform such operations». Considered facts will be backed up by theoretical framework and empirical evidence. 1.1 General theoretical framework and methods of «buyback» To begin with considering U.S financial markets Grullon and Michaely (2002) in their «Dividends, Share Repurchases, and the Substitution Hypothesis» work mentioned that corporations tended to use dividends as payout mechanism over «buyback» of their shares. Moreover, according to such results from survey Brav concluded that choice between dividends and repurchase is question concerned about