Strategic Resilience as a Factor of Long-Term Abnormal Stock Returns on Russian Stock Market
Abstract
The article considers the influence of non-financial strategic business resilience factors on abnormal stock returns. Its purpose is to develop an approach to their consideration in Russian company valuation. Research methodology entails the identification of corporate resilience criteria as competitive advantages that ensure business autonomy and their quantitative assessment through the developed strategic resilience score. Information base for factor assessment was formed by financial and management reports, materials of consulting and statistical agencies and leading business media. The score significance was tested using the least squares method for a spatial sample consisting of ordinary shares of a total of 34 Russian
companies included in the IMOEX with a quotation history of at least five years, over the time interval of 2005–2022. The dependent variable is the average annual abnormal return (Alpha) as the difference between the actual total return and the return calculated by CAPM. Strategic resilience was a significant factor in positive abnormal returns, explaining 70% of its variation. The risk of resilient companies is comparable to the risk of sovereign debt. The results are interpreted as market inefficiency in a semi-strong form. It is proposed to apply a different equity risk premium to assess resilient and fragile companies and to modify the CAPM model by adding risk premium for fragility. The paper contributes to the study of the relationship between non-financial components of a business model and asset pricing in Russia. The novelty lies in the development of an approach to construction of the business viability rating and the determination of its influence on
the emergence of abnormal returns.
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