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In the last decades of the 20th century, various classes of alternative investments have become increasingly popular among investors. During this time, art as a form of alternative investment attracted attention not only from potential buyers but also from academic scholars. Unfortunately, only a few of the newly published papers contained any quantitative analysis with regard to art’s investment performance. Besides, even a smaller amount of research was devoted to the analysis of Russian art markets. Therefore, the purpose of this work is to evaluate the efficiency of investments in the artworks of contemporary Russian painters and to compare the effectiveness of these investments with the effectiveness of investments in stock, bond and real estate markets in Russia and the USA. For this research, we first conduct a hedonic regression analysis on the data available for 1950-2019 time period. After that, we build a hedonic price index for the canvases of contemporary Russian artists. According to our results, the trend of this index reiterates largely the price behavior for world contemporary art market. However, the results of our study indicate that investments in contemporary Russian art do not outperform investments in instruments of Russian and American capital and real estate markets. We arrived at these results by applying the CAPM model which demonstrated that Russian art as a form of alternative investment is not advisable for the purposes of diversification of investment portfolios. Based on our findings, contemporary Russian art in general can be considered an unattractive instrument for Russian and foreign investors.
We construct and compare the results of exploiting individual investment strategies: carry trade, momentum, and value and estimate the benefits from strategy diversification. Our analysis is based on the set of 10 major currencies and the expanded sample additionally including 16 emerging market currencies. We implement strategies in FX markets against the ruble instead of the US dollar, as is common in the currency literature. We find that the performance of strategies varies with the change of the ruble regime. We also provide proof that combining strategies, based on volatility, offers significant improvement in risk-adjusted returns compared to either of the two strategies independently or to benchmarks.
We propose an original approach to constructing an index of efficiency of FDI transformation into steady economic and innovation growth. As factors of efficient transformation we consider many institutional indicators. We rank countries on the sample of 31 developed and developing economies. The results of bivariate and multivariate Granger tests show that FDI causes economic development and intellectual capital in a number of indicators. With non-parametric DEA method and Malmquist Index we identify countries at the efficiency frontier by the quality of FDI management. Change in efficiency over time along the IC growth path is highly influenced by government effectiveness.
Traditionally standard deviation has been considered as the main risk measure of an asset portfolio. The relevance of VaR analysis is widely recognized as an instrument for market risk quantification for investment decisions, asset allocation. Based on common practice VaR is estimated on 10-day basis and using 99% confidence interval. More accurate VaR estimation requires identifying the optimal VaR parameters. Our paper documents that historical VaR has some limitation for high volatile stock markets. We conduct empirical analysis of statistical tests of VaR estimation with frequency tests, magnitude tests, independence and autocorrelation tests for the Russian stock market. We propose an original algorithm for optimal VaR specification in terms of accuracy of VaR estimates. We used historical and semi parametric VaR (EWMA VaR and volatility adjusted VaR). For each method we consider 16 VaR specifications (which are different combinations of time horizons – 120, 250, 500 and 1000 trading days, and confidence intervals – 90%, 95%, 99%, 99,5%). We consider the unstable Russian stock market with two main Russian indexes – MICEX and RTS. Backtesting different VaR specifications show that annual 99% VaR prevails over other VaR specifications for the Russian stock indices. The significance level of confidence 1-5% are optimal on various time horizons. VaR with our method of algorithmically defined parameters is more effective than commonly used estimation procedure.
During 1998–2017, the National Research University – Higher School of Economics (Moscow) surveyed the results of the activities of the largest and most of the remaining leasing market operators in Russia.
We develop a model forecasting the equilibrium price in the oil market by balancing demand and supply at the level of interaction of the largest oil consuming and producing countries. Our model is based on the global vector autoregression methodology and allows to make a medium-term forecast of the equilibrium oil price in dynamics analyzing the co-movement of oil demand and supply in various countries, in view of possible shocks from countries and companies. The proposed model allows to reveal responses of economic indicators of various countries to changes of the equilibrium oil price. Our model covers 47 countries, including the OPEC, the CIS, the largest oil consuming countries.
Considering the CIS countries (Russia, Kazakhstan, Azerbaijan) and such OPEC countries as Iraq, the UAE, Qatar, Venezuela, Algeria, Nigeria and Angola is a unique element of the paper since the majority of models analyze the largest market players only. The test results on economic consequences of shock of oil supply from the largest producer (Saudi Arabia) and shock of oil demand from the largest consumer (China) are of empirical interest.
Our paper investigates the effects of corporate governance features on the cost of publicly traded debt in the Russian market after the global financial crisis. We consider a wide range of corporate governance mechanisms and focus our analysis on three elements relevant for emerging capital markets: state-owned bond issuers, auditor power (Big 4 or local firms) and CEO power. As control variables, we consider financial and non-financial indicators of bond issuers, including proxies of intellectual capital and transparency indicators, characteristics of bond issues, structure and size of the Board of Directors. We apply linear and multiplication regressions for unbalanced panel data.
The original result is that, in the case of a sole executive body, bond spreads are higher. We find an inverse relation between the ex-post cost of public debt and audit power. The analysis also revealed a robust result that disclosing information on intangible assets and a larger Board of Directors reduce debtholder risks. According to our findings, debtholders take into account the risk of the influence of CEOs of large companies on local auditors, while for international auditors such influence is less possible. These results are robust to a large set of firm-specific and bondspecific characteristics.
This paper presents the wide analysis of the profitability factors of dividend capture strategy on public pharmaceutical companies within a five-year period after the global financial crisis 2008. We investigate the abnormal return and trading volumes with event study, and the effect of price changes around the ex-dividend date under the influence of various factors. Our findings suggest that there are no abnormal trading volumes on both the −1−1 day of the event window and the day of the event on a subsample of companies that do not declare a dividend before the register close date. We confirm the negative stock yield on the ex-dividend day in most markets. We further confirm the tax hypothesis explaining the behavior of the share price and note the specific behavior of stock prices in the ex-dividend date for companies that do not disclose information on future payments (Japan and South Korea) and on emerging markets. The positive average cumulative abnormal return is statistically significant only for companies with a share of R&D/Total revenue <<3%. For companies with a value of more than 3%, the return is negative. An anomaly in the pharmaceutical stock market behavior in the ex-dividend date for 2016 is documented in our paper. A statistically significant price increase is registered both without taking into account the general market behavior, and taking into account market and individual expected return for each share of the sample. The cumulative abnormal returns are greater for pharma companies with a total enterprise value more than $ 1 billion, except for 2016.
By the poverty of Russians, it is proposed to understand their poverty in “everything”: material poverty and spiritual poverty as poverty in relation to the levels of necessary and possible education and culture. Material poverty includes not only the inadequate level of consumption of material goods, but also the poverty of the human environment and environment that surrounds a person.
The poverty of Russians leads to the fact that people from other countries do not seek an alliance with Russia. Western sanctions also hit the interests of wealthy Russians forcing them to seek a compromise that would allow them to preserve their sources of wealth and the unlimited personal consumption associated with them.
As a result, the future dangers that lie in wait for Russia may lurk not only in the opposition of poverty and wealth in society, but in each of these phenomenons separately.
This paper analyzes the trends in the corporate bond market of the Russian Federation, denotes its weaknesses. We first empirically investigate determinants of the development of corporate bond markets with account of different sensitivity to the influence of institutional factors for different groups of countries. Methodology of our research ‑ multifactor regressions and generalized method of moments. The sample includes 28 developed and developing countries. We obtain original conclusions about influence of institutional factors on corporate bond markets: in particular, we reveal a positive influence of quality of institutional environment on the fast-growing Next11 countries, as well as significance of human capital for a number of developing countries.
Риски глобальной экономики растут, несмотря на ралли на рынке акций начала 2019 года. 2019 год стал феноменальным для инвесторов в российский рынок. И рублевые, и долларовые индексы на российские акции оказались лидерами глобального рынка капитала, дивидендная доходность также лидирует по рос- сийским компаниям. Число индивидуальных инвестиционных счетов летом 2019 года перевалило за 1 млн, а число уникальных счетов на Мосбирже превысило 3 млн. На фоне снижения доли иностранных участников в торговле акциями растет доля частных инвесторов. С одной стороны, это явный успех биржи, регулятора (ЦБ РФ), но, с другой стороны, на бычьем тренде зарабатывают все. Только отлив покажет «кто купался голым», насколько опти- мистично настроенные инвесторы смогут заработать при законо- мерной коррекции фондового рынка.
На российский рынок выходит большое число новичков, ко- торые если и знакомы с рынком акций, то только по классическим учебникам. Традиционно учебники объясняют базовые положения финансовой теории: «цены не поддаются прогнозированию», «при- нятие большего риска компенсируется большей доходностью», «риск можно диверсифицировать и рынок компенсирует только си- стематический (рыночный, бета) риск». Многие секреты заработка профессионалов рынка, провайдеров ETF скрыты от глаз учащихся финансовых специальностей. Мы попытались систематизировать как выявленные на рынке акций ценовые аномалии, так и приемы их тестирования и раскрытия природы. Надеемся, что понимание как закономерностей финансовых процессов в мире, так и нерацио- нальных инвестиционных решений участников помогут выстроить правильную стратегию и на бычьем тренде, и в медвежьем капкане.
In the monograph presents trends in the development of renewable energy, the author's methodology for determining the real size of subsidies. The stereotype about the priority of preference for renewable energy is refuted. The relationship between the factors influencing investments in 215 renewable energy projects has been identified; improved the way network parity is calculated. The practice of leasing land and offshore plots for renewable energy facilities is considered. Statistics of leasing renewable energy in Europe have been formed and a methodology has been developed to determine its socio-economic efficiency. Calculations of saved lives, health expenditures related to carbon dioxide emissions, prevention of environmental damage through leasing have been carried out. The business models of leasing and financial instruments for use in renewable energy are presented.The book is intended for scientists for research in the fields of renewable energy, environmental protection, stock market, leasing, teachers, economists, energy, environmentalists, sociologists, specialists of banks, leasing, insurance, investment companies.
During the 80s and 90s of the 20th century, economists investigated a lot of phenomena that were called market anomalies. One of strategies, based on market anomalies, was a high-dividend investment strategy. The main criterion for the selection of shares in this strategy is their high dividend yield. This paper tests the hypothesis that the anomaly associated with high dividend stocks, which was detected in the American market until the beginning of the 21st century, has ceased to exist at present, and also examines the possibility of improving the results of highly dividend strategies by modifying them.
The article assesses the effectiveness of investment strategies involving the use of shares with high dividend yield in the markets of Germany, France, Russia, South Africa and Brazil. The effectiveness of such strategies is analyzed on the basis of the existing papers and using the method of modifying such strategies developed by the author for obtaining more profit. The study period is 13 years: from 2006 to 2018. Modifications of high-dividend strategies associated, firstly, with different control month, secondly, with different number of stocks in the portfolio, finally, with the deletion or doubling the weight of stock with the highest dividend yield. The conclusions are made about the different effectiveness of high-dividend strategies in the markets of developed and developing countries, which is related to the different level of effectiveness of these markets. In the markets of Germany and France most of the reviewed portfolios showed lower profitability than market, in Brazil and South Africa they were significantly more profitable than the market. In the Russian market high-dividend portfolios were successful during whole period
of the study, because of the high profitability during last 3 years. The effectiveness of the reviewed portfolios in emerging markets is confirmed using the Sharpe ratio as the risk to return indicator. The hypotheses about the possibility of making a higher profit in the case of using modifications of the classical high-dividend strategies are confirmed. Nevertheless, various modifications have shown a multi-directional effect on the final profitability of strategies, which indicates the need for individual study of the parameters of a particular market before using