Аналіз інвестиційної привабливості цінних паперів

Abstract

АНОТАЦІЯ Ліхновський П. М. Аналіз інвестиційної привабливості цінних паперів. - На правах рукопису. Дисертація на здобуття наукового ступеня кандидата економічних наук за спеціальністю 08.00.09 - бухгалтерський облік, аналіз та аудит. - Тернопільський національний економічний університет Міністерства освіти і науки, молоді та спорту України, Тернопіль, 2012. У дисертації проведено дослідження теорії та практики аналізу інвестиційної привабливості цінних паперів. З'ясовано сутність та розглянуто роль фундаментального аналізу як інструментарію для оцінки та виявлення недооцінених цінних паперів. Проаналізовано ситуацію на зовнішньому ринку капіталу, визначено його вплив на динаміку українського фондового ринку. Оцінено макроекономічний стан та здійснено аналіз інвестиційної привабливості галузей вітчизняної економіки. Проведено оцінку вартості акцій за допомогою фінансових коефіцієнтів. Сформовано інвестиційні портфелі цінних паперів та дано оцінку їх ефективності на основі кількох інвестиційних стратегій. Розроблено рейтинг інвестиційної привабливості акцій, який дає змогу значно знизити систематичний та специфічний ризики акцій емітента, та водночас виявити недооцінений ринком цінний папір із ринковою доходністю вище середнього. Ключові слова: інвестиційна привабливість, цінні папери, фундаментальний аналіз, справедлива вартість, інвестиційний портфель, ринковий ризик, Р-коефіцієнт, специфічний ризик, доходність цінного паперу, фінансові коефіцієнти.

ANNOTATION Likhnovskyy P. M. Analysis of investment attractiveness of securities. -Manuscript. Thesis for candidate degree in economic sciences, specialty 08.00.09 - accounting, analysis and audit. - Ternopil National Economic University, the Ministry of Education and Science, Youth and Sports of Ukraine, Ternopil, 2012. The thesis with the theory and practice of analysis of investment attractiveness of securities. The conceptual approaches to the evaluation of securities are considered. The strategies of investment are examined. The fundamental analysis of securities is determined as a basic approach in developing and improving of the method of analysis of securities. It has been defined that the capital market pricing model (CAPM) is a key theory that effectively evaluates the interdependence between the return value of the security and the degree of risk of investment in the security. The coefficient P from this model, despite several disadvantages, is a convenient tool for representation of interconnection between systematic risk and yield of securities. The comparative analysis of investment strategies in securities of W. Buffett, B. Graham, T. Rowe Price, John Templeton and F. Fisher found that B. Graham's method of analysis securities is crucial in the development strategy of investing in securities. Based on critical analysis the works of economists to interpretation of the essence the definition of "fundamental analysis" its clarification is offered. The term "fundamental analysis" means the process of investigation of key factors influencing the market value of securities for the purpose of determining the fair value of the asset investment risk and expected return for making rational decisions. Investment analysis of securities based on the principles of fundamental analysis, should have a clear direction deductive research - from global ratings by macro level to be considered at the micro level of securities of certain issuers. It is proved that there is a close correlation between global economic processes, economic development, dynamic of stock market, sectors and individual issuers of securities. The deterioration of liquidity and decline in global financial markets have the significant negative impact on the domestic economy and the stock market in particular. The dynamics of the stock market is positively related to the dynamics of the world's leading stock index. Violation of stability in foreign markets shows a significant decline in the domestic economy and negative dynamics of the stock market. Cconducted industry analysis confirmed a significant effect on the dynamics of economic development status of a particular industry. The degree of sensitivity of some sectors of the domestic economy to the economic cycle revealed. In the context of the study analyzed the local dairy, baking and thermal electricity sectors key structural features of competitors and factors influencing their investment attractiveness a defined. High level of investment attractiveness has a thermal electric power industry, mediocre - dairy, low - bakery. Rating actions by P-factor model of CAPM, despite several shortcomings, proved its effectiveness as a tool of analysis to represent the relationship between systematic risk and yield securities. In complex analysis of nine shares of issuers with the use of financial ratios P/B, P/E, P/S and P/CF revealed that each of them in particular is unable to determine the real value of a security. This is confirmed by results of studies that demonstrate the variety of results depending on the analyzed period and area. Most effective in identifying undervalued stocks in practice was the coefficient of P/S, but a reasonable market return on a security it does not guarantee. Analysis of the effectiveness of equity found that positive trend coefficients ROA, ROI, ROE indicates the issuer's investment attractiveness of its shares as opposed to issuers that do not reinvest profits in their own development. Analysis of the investment portfolios of shares, formed on the basis of the investment strategy of "low P / E" found that its benefit is on average higher incomes, but only during periods of growth in the stock market. The disadvantages include high losses, compared to other portfolios during the period of falling stock market. As a result, the study found only a partial effect of the negative coefficient of P / E on the results of market yield securities. The study of the effectiveness of the proposed investment portfolios "Beta 1" and "Beta 2", formed by P-coefficient criterion stated that the villages scores in portfolio "Beta 1" (0> P <1). This portfolio allows you to avoid losses during the stock market but the market rate of return in periods of stock market growth is not acceptable for investment. Comparative analysis of market return investment portfolios of shares, taking into account prevailing market or just a personal risk revealed a tendency to increase their loss, which was a proof of their combination. Overall, the study of investment portfolio based on one factor, which represents only the market or individual risk approach proved ineffective. To develop a viable portfolio first proposed rating of investment attractiveness of stocks (Rating Rs). Rating Rs you can significantly reduce the systematic and specific risks of investing in shares of the issuer in the stock market, and also to identify undervalued securities market with market yields above average. A comparative analysis of return on a portfolio of Rs rating market portfolio (PFTS), a portfolio of "low P/E" portfolios "Beta 1" and "Beta 2" and industry portfolios confirmed its effectiveness as in both periods of recession and increase in the stock market. It is shown that the formation of an investment portfolio using the proposed rating of investment attractiveness of the shares makes it possible to enhance the quality of the investment portfolio. Overall Rating Rs integrated into a tool for reducing systematic and specific risks of individual issuers, while providing investors high yield market. Keywords: investment attractiveness, securities, fundamental analysis, fair value, investment portfolio, market risk, the P-coefficient, specific risk, yield, financial ratios.