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Финансы: теория и практика/Finance: Theory and Practice

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Проблема эндогенности в корпоративных финансах: теория и практика

https://doi.org/10.26794/2587-5671-2022-26-3-64-84

Полный текст:

Аннотация

Эндогенность может вызывать значительное смещение оценок коэффициентов, вплоть до изменения знака влияния. Это приводит к противоречивым результатам в исследованиях, что также мешает адекватно проверять отдельные гипотезы и теории в корпоративных финансах (КФ). А практикам, например, консультантам по оценке стоимости компании, такие проблемы с моделями мешают получать максимально достоверные оценки в интересах заказчика. Цель исследования — систематизировать методы борьбы с эндогенностью в КФ и проиллюстрировать подход борьбы с нею. В работе приведены причины возникновения эндогенности с эконометрической точки зрения, с примерами из КФ, а также эконометрические методы борьбы с ней. В результате системного обзора литературы авторы показали, что в исследованиях, связанных с КФ, для борьбы с эндогенностью чаще всего используют динамические модели оценки панельных данных, в частности методом Бланделла-Бонда. Заключение, сделанное в рамках обзора литературы, авторы проверили эмпирически. Для обнаружения эндогенности использован тест Хаусмана, тест на эндогенность и анализ корреляционной матрицы, включающей сохраненные остатки регрессии. В ходе пошагового нивелирования эндогенности авторы пришли к выводу, что метод Бланделла-Бонда не всегда является оптимальным инструментом для борьбы с эндогенностью в КФ, как и регрессия с фиксированным эффектом. В ходе оценки модели стоимости капитала и устранения эндогенности наиболее подходящим оказался двухшаговый метод наименьших квадратов (IV 2SLS). Кроме этого, были усовершенствованы оценки модели стоимости капитала, анализирующей влияние нефинансовой отчетности.

Об авторах

З. В. Селезнева
Национальный исследовательский университет «Высшая школа экономики»
Россия

Зинаида Владимировна Селезнева — стажер-исследователь лаборатории по финансовой инженерии и риск-менеджменту, аспирант Школы финансов факультета экономических
наук.

Москва



М. С. Евдокимова
Национальный исследовательский университет «Высшая школа экономики»
Россия

Мария Сергеевна Евдокимова — преподаватель и аспирант Школы финансов факультета экономических наук.

Москва



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Рецензия

Для цитирования:


Селезнева З.В., Евдокимова М.С. Проблема эндогенности в корпоративных финансах: теория и практика. Финансы: теория и практика/Finance: Theory and Practice. 2022;26(3):64-84. https://doi.org/10.26794/2587-5671-2022-26-3-64-84

For citation:


Selezneva Z.V., Evdokimova M.S. Endogeneity Problem in Corporate Finance: Theory and Practice. Finance: Theory and Practice. 2022;26(3):64-84. https://doi.org/10.26794/2587-5671-2022-26-3-64-84

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