Skip to main content
SpringerLink
Log in

Stochastic Risk Factors to Capture Tendences in Business and Economy

  • Conference paper
  • First Online:
Economic Systems in the New Era: Stable Systems in an Unstable World (IES 2020)

Part of the book series: Lecture Notes in Networks and Systems ((LNNS,volume 160))

Included in the following conference series:

Abstract

The article is pointed to draw attention for the stochastic risk factors and how to use those to analyze tendences in business and economy. The method of stochastic risk factors (SRF) is based on separating the company’s cash flows into a basic business project and a growth project, and on applying stochastic discount factors to the company’s basic cash flow based on the current company value. The research was conducted on two samples of companies – the oil and gas sector (presumably with zero growth) and digital economy. It was concluded that prospects of oil and gas sector looks rather poor and the assumed average growth rates are close to zero. On the contrary, growth rates for IT sector may be estimated as higher than average growth rates for economy. It is very likely, that IT sector sustain all crisis events, overcome all the risks and troubles and will play dominant role in the future development.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 229.00
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 299.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Similar content being viewed by others

References

  1. Abhakorn, P., Smith, P., Wickens, M.: Can stochastic discount factor models explain the cross-section of equity returns? Rev. Financ. Econ. 28, 56–68 (2016)

    Article  Google Scholar 

  2. Almeida, C., Ardison, K., Garcia, R.: Nonparametric assessment of hedge fund performance. J. Econometr. 214, 349–378 (2020)

    Article  MathSciNet  Google Scholar 

  3. Altman, E.I., Kishore, V.: The default experience of U.S. bonds. Working Paper. Salomon Center, New York University, New York (2000)

    Google Scholar 

  4. Borovička, J., Hansen, L.P., Scheinkman, J.A.: Misspecified recovery. J. Finance 71(6), 2493–2544 (2016)

    Article  Google Scholar 

  5. Brusov, P., Filatova, T., Eskindarov, M., Orehova, N., Brusova, A.: Influence of debt financing on the effectiveness of the finite duration investment project. Appl. Financ. Econ. 22(13), 1043–1052 (2012)

    Article  Google Scholar 

  6. Christensen, T.M.: Nonparametric stochastic discount factor decomposition. Econometrica 85, 1501–1536 (2017)

    Article  MathSciNet  Google Scholar 

  7. Cochrane, J.: Asset Pricing. Princeton University Press, Princeton (2005)

    Google Scholar 

  8. Cochrane, J.H.: Presidential address: discount rates. J. Finance 66(4), 1047–1108 (2011)

    Article  Google Scholar 

  9. Donaldson, G.: Strategy for Financial Mobility. Harvard Graduate School of Business Administration, Harvard (1969)

    Google Scholar 

  10. Miller, M.: The Modigliani-Miller proposition after thirty years. J. Econ. Perspect. 2, 99–120 (1988)

    Article  Google Scholar 

  11. Nguyen, Q.N., Aboura, S., Chevallier, J., Zhang, L., Zhu, B.: Local Gaussian correlations in financial and commodity markets. Eur. J. Oper. Res. 285(1), 306–323 (2020)

    Article  MathSciNet  Google Scholar 

  12. Qin, L., Linetsky, V.: Long-term risk: a martingale approach. Econometrica 85, 299–312 (2017)

    Article  MathSciNet  Google Scholar 

  13. Shiller, R.J.: The Subprime Solution: How Today’s Global Financial Crisis Happened, and What to Do About It. Princeton University Press, Princeton (2008)

    Google Scholar 

  14. Stieglitz, J.E.: A re-examination of the Modigliani-Miller theorem. Am. Econ. Rev. 59, 784–793 (1969)

    Google Scholar 

  15. Tran, N.K.: The functional stochastic discount factor. Q. J. Finance 9(04), 1–49 (2019)

    Article  Google Scholar 

  16. Zhukov, P.: The impact of financial risk and volatility to the cost of debt, and the average cost of capital. J. Rev. Global Econ. 7, 865–871 (2018)

    Article  Google Scholar 

  17. Zhukov, P.: Default risk and its effect for a bond required yield and volatility. Rev. Bus. Econ. Stud. 4, 87–98 (2014)

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Financial University under the Government of the Russian Federation, Moscow, Russia

    P. E. Zhukov

Authors
  1. P. E. Zhukov
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to P. E. Zhukov .

Editor information

Editors and Affiliations

  1. Applied Management Department, Samara State University of Economics, Samara, Russia

    Svetlana Igorevna Ashmarina

  2. Institute of Technology and Business, České Budějovice, Czech Republic

    Jakub Horák

  3. Institute of Technology and Business, České Budějovice, Czech Republic

    Jaromír Vrbka

  4. ČEZ Group, Institute of Technology and Business, Praha 4, Czech Republic

    Petr Šuleř

Rights and permissions

Reprints and permissions

Copyright information

© 2021 The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG

About this paper

Check for updates. Verify currency and authenticity via CrossMark

Cite this paper

Zhukov, P.E. (2021). Stochastic Risk Factors to Capture Tendences in Business and Economy. In: Ashmarina, S.I., Horák, J., Vrbka, J., Šuleř, P. (eds) Economic Systems in the New Era: Stable Systems in an Unstable World. IES 2020. Lecture Notes in Networks and Systems, vol 160. Springer, Cham. https://doi.org/10.1007/978-3-030-60929-0_19

Download citation

  • DOI: https://doi.org/10.1007/978-3-030-60929-0_19

  • Published:

  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-030-60928-3

  • Online ISBN: 978-3-030-60929-0

  • eBook Packages: EngineeringEngineering (R0)

Publish with us

Policies and ethics

Search

Navigation