Analysis of factors affecting the market capitalization of the largest oil companies in Russia

Abstract

Relevance. The stock exchange prices of shares reflect the view from the market position of the value of a particular public company: the market capitalization of the issuing company acts as a value indicator. The volatility of stock prices, on the other hand, determines the dynamics of market capitalization. In this regard, the problem of market capitalization management and its forecasting in the future becomes urgent. Taking into account the raw materials orientation of the Russian economy, enterprises of the mineral raw materials complex are of particular interest from the point of view of value management. The purpose of the study is to identify the most significant external and internal cost factors affecting the market capitalization of the largest oil companies in Russia, and to calculate promising cost management models. Research methods. In the process of studying value factors on the basis of retrospective statistical data and methods of correlation analysis were used. Results. The correlation analysis of the following variables was carried out: price per 1 share of an oil company observed on the Moscow Exchange; the price of Brent crude oil; revenues from sales; operating profit; net profit; company assets; equity capital of the company. Based on the analysis, the factors with the highest correlation coefficients were selected in relation to the dependent variable “price per 1 share of an oil company observed on the Moscow Exchange”, as well as with relatively low values of pair correlation coefficients directly with each other in order to avoid the effect of multicollinearity. The variables included in the model are: the price of Brent crude; revenues from sales; operating profit; company assets; equity capital of the company. Linear regression models have been constructed for PAO Rosneft, PAO Lukoil, and PAO Tatneft. Conclusions. A detailed analysis of the obtained linear regression models taking into account the correlation coefficients, t-statistics, significance level values (P-values), determination coefficients R2, calculated values of F-criteria showed generally conflicting results. The most significant models are single-factor price models, in which sales revenue acts as an independent variable. Other models require their refinement through careful analysis and more observations. It is planned to continue research and search for cost factors that affect the change in market capitalization not only for oil companies but for other enterprises of the mineral resource complex as well.

Analysis of computed discount rates for the largest companies of the mineral resources sector of Russia

“…Theoretical and practical issues related to discount rate determination for commodity companies were previously raised by the authors of the article. In particular, in study [1] it was found that from the point of view of theory, the discount rate is, firstly, the minimum rate of profit that the investor is counting on, and secondly, alternative profitability, that is, an alternative to the project or business being evaluated as a whole . From the standpoint of practice, the САРМ (Capital Asset Pricing Model) proposed by U.…”

“…From the standpoint of practice, the САРМ (Capital Asset Pricing Model) proposed by U. Sharp was named as the most correct formula for calculating the indicator under review: (1) where Rf is the risk-free rate of return, %; β -"beta" coefficient, acting as a measure of market risk, reflecting the sensitivity of changes in the value of assets depending on market profitability;…”