Papers
- Valuation in Emerging Markets using multiples.
Emerging Markets (EM) have always been a great challenge for nance theory: standard models often poorly fit the empirical evidence. For example in pricing, using a notion of completely
segmented market (Bekaert, Harvey, 2002), we know that world CAPM does not hold. This, in particular, implies that in valuation through multiples we cannot take companies from de-
veloped markets as comparables (comps) for companies in question from EM.
In this study we examine more precise methods than at Pereiro (2001), also using panel data and cross section
analysis. We use Russian Stock Exchange and NYSE data for the period of 2001-06. The analysis is done to
estimate the average adjustment factor for multiples. However it can be easily expanded to a
country-industry adjustments.
Paper (pdf) - Hedonic Price Indexes in Russia. In this study we estimate hedonic price
and quality indexes for Personal Computers, the most widespread ICT product, in
Russia. Using 21 months data (03.2004-11.2005) we estimated a 25% fall in PC
prices for 20 months (about 16% on 12 months scale). We have also estimated that
elementary price index for PC may be biased upward by 17-27% per year due to the
usage of traditional matched models. Hence, the Russian CPI can be overstated by
0,19-0,31% per year. Hedonic quality indexes indicate a significant quality growth
of PC (GAGR 19% per year) which is the best explanation for the rapidly falling
prices.
Paper (pdf)
Presentation (ppt) - Modelling Russian Auto Market with Hedonic Technique (in Russian). In this study we estimate pricing patterns, elasticity of demand
with respect to price and fuel efficiency. We estimate elasticity of demand to be -2.12 on average. Plus we also report that demand for fuel efficiency
is highly elastic.
Paper (pdf) - Valuation of russian banks (in Russian). As a part of the internship at Parma Asset management.
Estimated the value of the major Russian banks (Sberbank, Bank of Moscow) using the FCFE ,EVA, DDM models and multiples,
discussed the possible implementation of the results
Paper (pdf)