Інвестиційні ризики корпоративних цінних паперів

АННОТАЦИЯ

Чемодуров А.М. Инвестиционные риски корпоративных ценных бумаг. - Рукопись.

Диссертация на соискание ученой степени кандидата экономических наук по специальности 08.00.03 - экономика и управление национальным хозяйством. - ГУ „Институт экономики и прогнозирования НАН Украины”, Киев, 2007.

В диссертации выполнено теоретическое обоснование основных направлений реализации государственной инвестиционно-инновационной политики на фондовом рынке. Решена важная научная проблема оценки анализируемой облигации в условиях функционирования украинского рынка ценных бумаг, в которых нахождение облигации с аналогичным уровнем риска, уже объективно оцененной рынком, существенно осложнено. В работе осуществлены также теоретическое обоснование и оценка диверсификационного потенциала украинских ценных бумаг при их включении в портфели иностранных инвесторов.

Решение указанных научных проблем, а также анализ состояния национального фондового рынка и источников финансовых ресурсов стали базой для достижения поставленной цели исследования - обоснования предложений, направленных на повышение эффективности реализации инвестиционно-инновационной политики государства на фондовом рынке, в части:

- привлечения вывезенных капиталов в реальный сектор экономики Украины;

- снижения инвестиционных рисков вложений в украинские ценные бумаги (в первую очередь - повышение их ликвидности и снижение кредитного риска);

- использования диверсификационного потенциала украинских ценных бумаг, который реализуется при их включении в портфели иностранных инвесторов.

На основе анализа существующей методологии оценки облигаций и их портфелей обоснованы предложения по усовершенствованию модели формирования цены облигации с учетом ее рискованности, определения экономической сущности показателя дюрации облигации, а также формирования оптимального портфеля облигаций.

Ключевые слова: инвестиционные риски, диверсификация рисков, привлечение инвестиций, государственное регулирование, фондовый рынок, ценные бумаги, оценка облигаций,

ANNOTATION

Chemodurov О.М. The Investment Risks of Corporate Securities. - Manuscript.

The thesis for the degree of the Candidate of Economic Sciences in the speciality 08.00.03 - “Economics and Management of National Economy”. - The Government Institution „The Institute of Economy and Forecasting of the NAS of Ukraine”, Kyiv, 2007.

The thesis suggests a theoretical justification of the main approaches to the realization of the government innovation policy at the security market.

It poses a solution of the important scientific problem of bond valuation when finding a security with the risk level equal to the analyzed security (which is suggested by the existing methodology) is problematic as in the case of Ukrainian market. The suggested method consists in defining the bond yield for the given Expected Default Frequency (EDF) and part of the invested funds that will be refunded to bond owner in the case of default. This yield is determined from the equality of the results from investing in the analyzed bond and in the risk-free bond with similar maturity. In the capacity of the risk-free bond, we suggest to use government bonds issued by the Ministry of Finance of Ukraine. This will create a unified base for the national ranking scale.

The research contains examples of the yield calculation in accordance with the suggested methodology. They demonstrate that although the obtained results are not precise enough, they still can allow us to decrease substantially the huge spread between the bid and ask prices on the Ukrainian stock exchange increasing the liquidity of Ukrainian securities. On the other hand, it is important to note that the suggested methodology and correspondent formulas allow us to reveal the quantitative dependences between the required bond yield and the parameters that characterize the intrinsic yield and riskiness of investing in the given bond. The analysis of this dependence allows us to justify a set of recommendations aimed on decreasing investment risks in Ukraine.

To decrease the credit risk, a set of recommendations aimed on increasing of the bond financial security is suggested. Besides, a new type of bonds called `financial leasing bonds' is developed. In such bonds, the par value payments at the maturity are compensated by the substantial increase of the coupon payments. Being acceptable for many Ukrainian issuers, such bonds are also attractive for investors due to their significantly lower credit risk.

The thesis justifies a set of recommendations aimed on increasing the liquidity of the Ukrainian securities by means of improving the ranking system, developing the dealership institution and decreasing the turnover on the non-organized market by strengthening the government control of the market participants.

The critical analysis of the existing methodology of defining the `fair' price of a bond allows us to develop the model of the process of the bond price formation. This model substantially simplifies the understanding of the given process and, in contrast to the existing methodology, allows a researcher to determine the accrued capital from investing in a bond and the bond price not only at the moment of the coupon payments, but also at any moment in between.

By applying the model, the alternative measure of duration is justified. In contrast to the Macaulay duration, it has precise economic sense. While the Macaulay duration is defined as “the average maturity of all payments from the bond”, which has mechanical rather than economical sense, the suggested measure of duration is determined as a period after which the lump sum of all payments from the bond should be paid at a time in order to achieve an equal profitableness with the analyzed bond. It is shown that the application of the suggested measure for immunization of a bond portfolio against the unexpected changes in yield rates gives better results than the application of the Macaulay duration.

By applying the methodology of the comparative effectiveness, the formula for defining the promised bond yield is defined. This formula simplifies the existing one and improves the understanding of the constituents of a bond yield.

The methodology for constructing effective portfolios, which is mostly developed for equities, is adapted for forming effective bond portfolios given the features of bonds as debt securities with the determined cash flows.

The thesis also suggests a new method of taking into account the risk-return preferences of investors when choosing the optimal portfolio. Instead of using the `indifferent curves' that are applied for equities, we propose using the probability distribution of the results from investing in a portfolio.

The diversification potential of Ukrainian securities for international investors is justified and estimated. Among other, the research reveals that investors from developed markets can achieve up to three times higher returns for the given level of risk by diversifying across Ukrainian and other frontier market.

In accordance with the goal of the research, which is the increase of the effectiveness of the realization of the government innovation policy on the security market, the following recommendations are justified on the basis of the obtained theoretical results:

- increasing the amount of self-financing due to the tax administration's counteraction to the reservation (with the deviation from taxation) of a significant part of enterprises' income by intermediaries and off-shore companies. Being usually owned by the enterprise's top managers, the former supply the enterprises with overpriced raw materials and buy from them their underpriced production;

- accepting the suggested concept of the law about raising the capitals that has been removed from Ukraine, by joining to the agreement between the EU countries that provides the income taxation from these capitals directly at the country of their current situation with using two rates of taxation depending on whether these capitals are invested in Ukraine or in another country.

The conducted research allows us to conclude that Ukraine has significant potential possibilities for increasing the effectiveness of fund raising for financing the innovative activities of national enterprises. These possibilities include the enlargement of financial sources, the development of the Ukrainian stock exchange and the substantial decrease of investment risks of Ukrainian securities and the usage of their international diversification potential. However, the justified recommendation regarding the explorations of the given possibilities can be performed only under the condition of the strengthening of the control function of the government on the stock market of Ukraine.

Key words: investment risks, risk diversification, fund raising, government control, stock exchange, securities, bond valuation, optimal portfolio.

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