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Koncept Vrednosti Za Akcionare I Mogućnosti Primene Odgovarajućih Metodoloških Rešenja Na Tržištu Kapitala U Srbiji

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Koncept Vrednosti Za Akcionare I Mogućnosti Primene Odgovarajućih Metodoloških Rešenja Na Tržištu Kapitala U Srbiji UNIVERZITET SINGIDUNUM DEPARTMAN ZA POSLEDIPLOMSKE STUDIJE D O KTO RS K A D IS ERTACIJA Koncept vrednosti za akcionare i mogućnosti primene odgovarajućih metodoloških rešenja na tržištu kapitala u Srbiji Mentor: Kandidat: Prof. dr Zoran Jeremić mr Nemanja Stanišić Beograd, 2010. SADRŽAJ UVOD 5 Uslovi koji su doveli do razvoja i krize Shareholder koncepta 5 PRVI DEO KVANTIFIKACIJA STVORENE VREDNOSTI ZA AKCIONARA 1. KVANTITATIVNI POKAZATELJI KOJI su U VEZI SA PROCESOM kREIRANJA VREDNOSTI ZA AKCIONARE 10 2. METODE OBRAčUNA STVORENE VREDNOSTI ZA AKCIONARA 13 2.1 Jensen’s alpha 13 2.1.1 O riziku investiranja u akcije 13 2.1.2 Diversifikacija 16 2.1.3 Broj akcija koji je potreban za adekvatnu diversifikaciju rizika 25 2.1.4 Uticaj procesa diversifikacije na formiranje tržišnih cena akcija 26 2.1.5 Kvantifikacija sistemskog rizika tržišta akcija 29 2.1.5.1 Beta koeficijent 29 2.1.5.1.1 Kalkulacija beta koeficijenta 29 2.1.5.1.2 Faktori koji utiču na vrednost beta koeficijenta akcije 35 2.1.5.1.3 Obračun beta koeficijenta za delove kompanija, ili za slučaj kada su tržišni podaci ograničenog obima ili kvaliteta 36 2.1.5.2 Bezrizična stopa prinosa 41 2.1.5.2.1 Definisanje bezrizične stope prinosa 41 2.1.5.3 Premija tržišnog rizika 43 2.1.5.3.1 Definisanje premije tržišnog rizika 43 2.1.5.3.2 Metode kvantifikacije premije tržišnog rizika 45 2.1.5.4 Zahtevana stopa prinosa 50 2.1.5.4.1 Definisanje zahtevane stope prinosa za diversifikovanog akcionara 50 2.1.5.4.2 Retrospektivna i anticipativna veza između ukupnog prinosa za akcionara i ukupnog rizika investiranja u akcije 51 2.1.5.4.3 Retrospektivna i anticipativna veza između ukupnog prinosa za akcionara i tržišnog rizika 55 2.1.5.4.4 Definisanje zahtevane stope prinosa za nediversifikovanog akcionara 57 2.1.5.4.4.1 Obračun vrednosti beta koeficijenta za potrebe kalkulacije zahtevane stope prinosa za nediversifikovanog akcionara 58 2.1.5.4.4.2 Nedostatci metode obračuna vrednosti ukupnog beta koeficijenta 2.1.6 Alternativne metode obuhvatanja rizika investiranja u akcije 60 Sadržaj 2 2.1.7 Analiza faktora koji utiču na visinu stvorene vrednosti za diversifikovanog investitora 63 2.1.8 Pokazatelji koji su prethodili Jensen’s alpha 66 2.1.9 Relevantnost izbora investicione politike za stvaranje vrednosti za akcionara 67 2.1.10 Veza Price - Earnings racija i stvorene vrednosti za akcionara 86 2.2 Economic profit 89 2.3 Residual income 89 2.4 Economic value added™ - EVA 95 2.5 MVA (Market value added) i njena veza sa Economic value added™ - EVA 98 3. TEORIJskA ISTRAžIVANJA U VEZI SA PROCEOM STVARANJA VREDNOSTI ZA AKCIONARA I PRINCIPI INVESTIRANJA BENJAMINA GRAHAMA 99 4. PREDIKTIVNE MOgućNOSTI FINANSIJskIH POKAZATELJA U VEZI sA STVARANJEM VREDNOSTI ZA AKCIONARA 101 DRUGI DEO SHAREHOLDER VALUE KONCEPT I NJEGOVA VEZA SA FINANSIJSKOM KRIZOM 1. POJAVA šPEkuLATIVNIH BALONA NA TRžIšTU HARTIJA OD VREDNOSTI I POukE KOJE SE MOgu IZVUćI IZ FINANSIJskIH KRIZA kOJE SU usLEDILE 104 1.1 Uloga promene računovodstvene regulative na uvećanje sistemskog rizika tržišta akcija 104 1.2 Neposredni uzrok ekonomske krize koja je počela 2008. godine – kolaps tržišta hipotekarnih kredita 111 1.3 Hipertrofija finansijskog sistema 117 1.4 Kriza inovacija 119 1.5 Uloga Shareholder value koncepta u formiranju špekulativnih balona i potreba preispitivanja motiva kapitalističkog sistema 122 2. MOgućA REšENJA ZA INVESTITORE U NOVONASTALIM OKOLNOSTIMA UVEćANOG SISTEMSKOG RIZIKA 124 2.1 Optimizacija beta koeficijenta portfolija u cilju maksimiziranja stvorene vrednosti za akcionara 124 2.2 Constant dollar investment plan 125 2.3 Constant ratio plan 126 2.4 Kvalitativne karakteristike investicionog portfolija 126 2.5 Značaj makroekonomskih i političkih faktora 128 Sadržaj 3 TREĆI DEO MOGUĆNOSTI PRIMENE ODREĐENIH METODOLOŠKIH REŠENJA IZ OBLASTI KORPORATIVNIH FINANSIJA NA FINANSIJSKOM TRŽIŠTU REPUBLIKE SRBIJE 1. SPECIFIčNOSTI FINANSIJskOG TRžIšTA REPUBLIKE SRBIJE 130 2. APROksIMACIJA BEZRIZIčNE STOPE PRINOSA U usLOVIMA NERAZVIJENIH FINANSIJskIH TRžIšTA 133 3. APROksIMACIJA PREMIJE TRžIšNOG RIZIKA U usLOVIMA NERAZVIJENIH FINANSIJskIH TRžIšTA 134 4. APROksIMACIJA CENE DugA KORPORACIJE U usLOVIMA NERAZVIJENIH FINANSIJskIH TRžIšTA 135 5. KALkuLACIJA RESIDUAL INCOME POKAZATELJA ZA AKCIJE SA BEOGRADskE BERZE 142 6. KALkuLACIJA MARKET VALUE ADDED (MVA) POKAZATELJA ZA AKCIJE SA BEOGRADskE BERZE 144 7. UTICAJ SISTEMskOG RIZIKA NA KRETANJE CENA AKCIJA NA BEOGRADskOJ BERZI U PERIODU POčETKA FINANSIJskE KRIZE 146 8. UTICAJ SISTEMskOG RIZIKA NA KRETANJE CENA AKCIJA NA BEOGRADskOJ BERZI U PERIODU STABILIZACIJE BERZANskIH CENA 148 9. MOgućA REšENJA ZA DALJI RAZVOJ TRžIšTA HARTIJA OD VREDNOSTI U REPUBLICI SRBIJI 151 ZAKLJUČAK 153 LITERATURA 157 PRILOZI Prilog I - Obračun Residual income pokazatelja Prilog Ia - Kompanije sa visokim iznosom tržišne kapitalizacije Prilog Ib - Kompanije sa niskim iznosom tržišne kapitalizacije Prilog Ic - Kompanije finansijskog sektora Prilog II - Optimizacija vrednosti beta koeficijenta portfolia Sadržaj 4 UVOD USLOVI KOJI SU DOVELI DO RAZVOJA I KRIZE SHAREHOLDER KONCEPTA Era modernog kapitalizma (kasnog kapitalizma po klasičnoj podeli razvoja kapitalizma), može se formalno podeliti u dve faze: 1. Faza menadžerskog kapitalizma i 2. Faza stvaranja vrednosti za akcionare (engl. shareholder value). Kao početne vremenske odrednice ovih faza mogu se uzeti značajni akademski radovi u kojima se prvi put opisuju novonastale okolnosti koje su dovele do njihovog razvoja.1 Prva faza, faza menadžerskog kapitalizma, koju karakteriše prelazak funkcije upravljenja kompanija iz ruku vlasnika (kraj perioda dominacije kompanija kojima su upravljali osnivači poput Rockefellers, Mellons, Carnegies i Morgans) u ruke profesionalnih rukovodilaca – menadžera. Kao početak te faze se često simbolički uzima publikovanje knjige izdate 1932. godine: The modern corporation and private property, autora Adolf A. Berle i Gardiner C. Means. U svojoj kritici korporativne regulative autori ističu da je ona doprinela razdvajanju funkcija vlasništva i upravljanja nad organizacijom, i predviđaju nastanak korporatokratije kao društveno-političkog sistema u kome je moć rukovodilaca velikih multinacionalnih kompanija nekada veća od moći legitimno izabrane izvršne državne vlasti. Takođe, autori ukazuju na rastuću divergenciju interesa profesionalnih menadžera i vlasnika kapitala i mogućnost zloupotrebe rukovodeće pozicije u cilju ostvarivanja sopstvenih interesa. Ova očekivanja su se najvećim delom i ispunila u decenijama koje su usledile, što je dovelo do razvoja druge faze ere modernog kapitalizma, takozvane faze stvaranja vrednosti za vlasnike, za čiji se početak može vezati objavljivanje rada 1976. godine u časopisu Journal of Financial Economics, koji je vremenom postao najčešće citirani akademski članak svih vremena – Theory of firm: Managerial behavior, agency cost and ownership structure, autora Michael C. Jensen i William H. Meckling. Njihova kritika na račun zloupotrebe pozicije profesionalnih menadžera je pokrenula novi talas menadžment filozofije u kojoj uvećanje vrednosti za vlasnike kapitala zauzima primarnu ulogu, a čiji su najistaknutiji predstavnici bili Roberto Goizueta, CEO kompanije Coca-Cola u periodu od 1981. do 1997. godine i Jack Welch, CEO kompanije General Electric u periodu od 1981. do 2001. godine. Govor koji je Welch održao u Pierre Hotelu nekoliko meseci nakon preuzimanja čelne pozicije u General Electric-u, smatra se početkom Shareholder value faze kapitalizma.2 Osim potrebe da se iznova formulišu primarni poslovni ciljevi kompanija usled rastućeg agencijskog problema, čitav niz događaja koji su usledili išli su u prilog afirmacije osnovnih ideja Shareholder value koncepta. Neki od najznačajnijih događaja u oblasti ekonomije modernog kapitalizma su bili sledeći: 1. Globalizacija i deregulacija tržišta kapitala (potpisivanje GATT sporazuma i kasnije formiranje Svetske Trgovinske Organizacije je dovelo do značajnih redukcija u carinskim dažbinama, širenju prava intelektualne svojine i harmonizaciji međunarodne regulative). 1 Roger Martin (2010) The age of customer capitalism, Harvard Business review 2 Ibid. Uvod 5 2. Prelazak ogromnog broja državnih kompanija u privatno vlasništvo (talas privatizacije koji je 80-tih godina prošlog veka zahvatio Veliku Britaniju, Sjedinjene Države, Nemačku, kasnije i Japan). 3. Rastuća likvidnost tržišta hartija od vrednosti. 4. Promene u stavovima prema investiranju i štednji (generacije posle Velike depresije i Drugog svetskog rata, ušteđevinu su uglavnom čuvale u domaćinstvima ili na bankarskim računima. Za posleratni period obnove ekonomije, bile su karakteristične visoke stope prinosa, kao i činjenica da investitor sa dovoljno dugačkim horizontom investiranja gotovo izvesno ostvaruje veći prinos na akcije nego na državne obveznice, što je nateralo većinu populacije da preispita svoje stavove kada je reč o investiranju). 5. Ekspanzija institucionalnog investiranja (prethodno pomenute promene preferencija po pitanju investiranja su bile ključne za razvoj investicionih fondova. Takođe, nepovoljne promene starosne strukture razvijenih zemalja su doprinele razvoju penzionih fondova, čijom se investicionom strukturom aktivno upravlja). 6. Napredak informacionih tehnologija (podaci potrebni za donošenje investicioih odluka nikada nisu bili dostupniji, pojavila se mogućnost elektronske trgovine akcijama i uvid u informacije sa berze u realnom vremenu). 7. Razvoj struke profesionalnih investicionih menadžera i investicionih konsultanata. 8. Razvoj zajedničke monetarne jedinice Evropske unije
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