Vladimir Galanov, Natalia Chelukhina, Denis Perepelitsa, Elmira Asyaeva, Evgeniy Afanasyev


Background: The risk of stock return is of paramount importance for a stock trader, but for an investor who owns an investment portfolio or stocks for a long time, the risk associated with a sharp drop in stock prices, usually characteristic of a stock crisis, or crisis risk comes first. The timing of the stock market crisis and its duration are unknown, and historical analogy is usually used for its approximate forecasting. Purpose: The study proposes theoretical model that represented relationship between stock price and company's equity per share depending on a number of main economic indicators. Results: If we proceed from the position that a stock crisis occurs when the stock price significantly exceeds its economic basis in the form of the company's own capital, then it becomes possible to assess the crisis risk by the degree of excess of the stock price of its objective basis. However, as the analysis shows, such a basis is not directly the equity capital of a joint-stock company, but such a value that reflects both the use of borrowed capital and the most important proportions of profit distribution, which are characteristic both for an individual company and for the stock market as a whole. Therefore, as an indicator of crisis risk, it is proposed to use a coefficient showing the ratio of the actual excess of the price over its economic basis to the normative, or economically justified, excess. Conclusion: Calculations of the crisis risk index can be useful for predicting "soap bubbles" in the stock market and stock crises.


Stock price; Return; Stock crisis risk; Short-term volatility; Stock price uptrend; Stock market risk.

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