XII Международная научная конференция по проблемам развития экономики и общества
Сотрудники лаборатории Карстен Шпренгер, Станимир Морфов, Мари-Анн Бечингер, Сергей Гельман, Владимир Соколов приняли участие в XII Международной научной конференции по проблемам развития экономики и общества. Читайте аннотации и полные тексты докладов.
Карстен Шпренгер. «Does nationalization work? Evidence from Russian State takeovers»
There is the recent trend toward more state influence in certain sectors in the Russian economy. We study the related incidence of nationalizations, in most cases the purchase of previously privatized companies by state-owned enterprises and its effect on the performance of the acquired firms. To this end, we construct a database of nationalization deals in Russia for the years 2001-2008. Apart from the overall effect on performance we investigate some of the mechanisms through which state ownership may affect company performance, in particular the access to soft loans, changes in financial leverage, the composition of the board of directors, and changes in the top management.
In this paper, we concentrate on nationalization transactions in the period from 2004 to 2007. We define nationalization in two alternative ways: A nationalization of type I or type II occurs if as a result of an acquisition the direct or indirect ownership stake of the government exceeds 25% or 50%, respectively. A nationalization transaction of the first type provides the government with a stake large enough to block major corporate decisions according to Russian corporate law. A nationalization of the second type means that the government gets a majority and thus full control over the company as the result of the acquisition. We account both for direct and indirect government ownership. In fact, in most cases of nationalization firms have not been acquired directly by federal, regional or municipal government agencies, but by existing state-owned enterprises, such as Gazprom, Rosneft, Russian Railways, and daughter companies of the State Corporation Russian Technologies.
We provide descriptive statistics on the incidence of nationalization, the firm values involved, the size of stakes and the sectoral distribution. We concentrate on the period from 2004 to 2007 since for this time period we can find at least two years of financial information after the transaction. Ideally, we use an average of performance variables for three years before and three years after the ownership transfer. The database has been constructed on the basis of mergers and acquisitions reports collected in the Bureau van Dijk database Zephyr, financial information on target companies from Ruslana and quarterly reports to the Federal Service of Financial Markets, collected by Interfax Spark.
We compare the performance of the same company before and after nationalization. In a first step we follow the methodology by Megginson et al. (1994) [Megginson, William L, Robert C. Nash, and Matthias Van Randenborgh (1994), The Financial and Operating Performance of Newly Privatized Firms: An International Empirical Analysis, The Journal of Finance, 49(2), 403-452], which was developed for the performance effects of privatization. It consists in a simple comparison of average performance before and after privatization, or, in our case, nationalization. In a second step, we analyze a performance change relative to the industry mean and median. Third, we use multivariate regressions to test for several hypotheses on why nationalization might have an impact on performance relative to the industry, for example contemporary changes in the corporate governance such as changes in the management and Board of Directors, access to soft bank loans. Finally, we follow the methodology of propensity score matching. We construct a control group of similar private firms that has a similar probability of getting nationalized (based on observable firm characteristics) but has not been nationalized. Performance differences between nationalized firms (the treatment group) and the control group can then be clearly attributed to the fact of nationalization.
Станимир Морфов, М. Сантос. «Relative performance evaluation and managerial outside options»
This paper provides a theoretical explanation of the relative performance evaluation (RPE) puzzle. In a simple model of moral hazard with limited commitment where aggregate shocks affect both reservation utilities and firm's technology, we find that RPE is optimal under very specific circumstances. We consider different technologies: unaffected by aggregate shocks, pro-cyclical, counter-cyclical and different demand for managerial services: neutral, pro-cyclical and produce interesting predictions for executive pay. The effect of aggregate shocks on the optimal choice of effort is also analyzed.
Мари-Анн Бечингер, О. Бертранд. «Performance of domestic and cross-border acquisitions: Empirical evidence from Russian Acquirers»
This paper investigates the impact of acquisitions initiated by Russian firms on their operating performance on the Russian market. We know very little on M&A value generation for emerging market firms. However, M&As can have a major impact not only on the competencies, organization, and performance of acquirers, but also on the competitiveness of countries by reshuffling assets across and within industries and corporate control. In this paper, we distinguish domestic and international acquisitions and discuss their distinctive effects. International acquisitions could have stronger feedback effects on the home country. In general, acquisitions can be associated with synergy gains, internalization advantages, and higher market power, but also new integration and organizational costs, leading to an ambiguous impact on the performance of acquirers. Based on a sample of more than 600 acquirers we show that both domestic and international acquisitions tend to reduce the performance of acquirers compared to non-acquiring firms. Examining how different deal, firm and industry level characteristics moderate the destroying value effects of acquisitions, our results suggest that Russian acquirers suffer from the inability to leverage value due to low M&A experience and capability especially when making international acquisitions.
Сергей Гельман, К. Бурхоп. «Transaction costs, liquidity and expected returns at the Berlin Stock Exchange, 1892-1913»
We estimate effective spreads and round-trip transaction costs at the Berlin Stock Exchange for the period 1892-1913 using daily stock market returns for a sample of 27 stocks. Our results show that transaction costs at the main stock exchange in a bank-based financial system at the turn of the 20th century were quite low and about comparable to transaction costs in modern markets. Nonetheless, transaction costs varied substantially over time and across securities, whereby the cross-sectional variation could be substantially explained by firm size and previous year return, whereas time variation could be explained by crises and trading volume. Furthermore, we find evidence that expected transaction costs positively affect expected excess returns, whereas standard risk characteristics, such as market beta and size have no significant influence.
Владимир Соколов. «Tracing the impact of liquidity infusions by the Central Bank on financially constrained banks»
Using data on foreign borrowing by Russian banks, I identify banks that were
nancially constrained at the onset of the sudden stop caused by the collapse of the Lehman Brothers in September 2008. In a natural experiment set-up, I trace the impact of liquidity infusions by the Central Bank of Russia (CBR) on banksfunding and lending decisions. Applying the di¤erence-in-di¤erence method, I
nancially constrained banks increased their demand for central bank funding relatively more than non-constrained banks after the crisis. Secondly, I
nd that despite the fact that
nancially constrained banks obtained CBR funding, they nevertheless cut their lending to corporate borrowers in a short-term maturity segment relatively more than non-constrained bank. My last
nding is that
nancially constrained banks increased lending to corporate borrowers in the long-term maturity segment.
This result is puzzling and is probably due to the fact that banks were forced to extend the terms of credit to existing borrowers after the crisis.