Valuation of European firms during the Russia-Ukraine war

被引：22

作者：

Bougias, Alexandros ^{[1
]}

Episcopos, Athanasios ^{[1
]}

Leledakis, George N. ^{[1
]}

机构：

[1] Athens Univ Econ & Business, Sch Business, Dept Accounting & Finance, 76 Patiss Str, Athens 10434, Greece

来源：

ECONOMICS LETTERS | 2022年 / 218卷

关键词：

European firms; Merton model; Russia-Ukraine war; Asset returns; Default risk; RISK;

D O I：

10.1016/j.econlet.2022.110750

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We infer the asset value dynamics of European firms during the Russia-Ukraine war via the structural model of Merton (1974). Using high-frequency stock price data, we find that the war led to lower corporate security prices and higher asset volatility, eventually shifting asset values closer to the default region. On average, the balance sheet of European firms is expected to shrink by 2.05% and their 1-year default probability to increase from 0.32% to 2.12%. Regression analysis on asset and equity returns as well as default probability changes suggests that these effects are stronger for firms with large revenue exposure to Russia. (C) 2022 Elsevier B.V. All rights reserved.

引用

页数：5

共 15 条

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