Mathematical modeling and instrumental methods in economics
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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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.
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
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