DETERMINANTS OF SHAREHOLDER VALUE CREATION IN RUSSIAN PUBLIC COMPANIES: AN EMPIRICAL ANALYSIS OF CRISIS YEARS

Abstract

The article presents the results of an empirical analysis of the determinants of shareholder value of Russian publicly traded companies. In concept, the significance of the obtained results stems from the necessity to adapt theoretical approaches to value-based management in the context of market turbulence. In practical terms the study is of interest in the context of changes in classical value determinants against the backdrop of financial restrictions due to macroeconomic shocks. Empirical estimates presented in the paper are obtained through panel data statistical analysis; the sample comprises data covering the 2012-2024 period for 103 public companies in the non-financial sector of the national economy. Return on assets and financial leverage are found to be robust value determinants, demonstrating statistically significant positive relationship with the market valuation indicator across all model specifications. State ownership is associated with a lower valuation relative to comparable private companies. Exchange rate volatility is identified as a significant macroeconomic determinant whose negative relation to market value is attributable to an increase in country risk premium. The analysis of time effects indicates that the 2022–2023 period is characterized by positive market value dynamics. The findings provide an empirical basis for valid managerial decisions regarding the identification of value drivers and development of strategies to enhance the investment attractiveness of the Russian stock market.