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Article
Stability of Densities for Perturbed Diffusions and Markov Chains

Konakov V., Kozhina A., Menozzi S.

ESAIM: Probability and Statistics. 2017. Vol. 21. P. 88-112.

Article
The Minkowski central partition as a pointer to a suitable distance exponent and consensus partitioning

Mirkin B. G., Amorim R., Makarenkov V. et al.

Pattern Recognition. 2017. Vol. 67. P. 62-72.

Article
Criteria importance theory for multicriterial decision making problems with a hierarchical structure

Podinovskaya O. V., Vladislav V. Podinovski.

European Journal of Operational Research. 2017. Vol. 258. P. 983-992.

Article
Habit formation in consumption: A meta-analysis

Havranek T., Rusnak M., Sokolova A.

European Economic Review. 2017. Vol. 95. No. June. P. 142-167.

Article
2D:4D and lifetime educational outcomes: Evidence from the Russian RLMS survey

John V.C. Nye, Maksym Bryukhanov, Sergiy Polyachenko.

Personality and Individual Differences. 2017. Vol. 112, 1 July 2017. P. 62-66.

Article
Tight Money and the Sustainability of Public Debt

Pekarski S. E.

International Journal of Central Banking. 2017. Vol. 13. No. 1. P. 191-223.

Article
Does biological endowment matter for demand for financial services? Evidence from 2D:4D ratio in the Russian household survey

Semenova M., Andrievskaya I.

Personality and Individual Differences. 2017. Vol. 104. P. 155-165.

Article
Agency Problem and Ownership Structure: Outside Blockholder As a Signal
In print

Stepanov S., Suvorov A.

Journal of Economic Behavior and Organization. 2017. No. 133. P. 87-107.

Article
The effects of prenatal testosterone on wages: Evidence from Russia

Nye J. V., Bruhanov M., Kochergina E. V. et al.

Economics and Human Biology. 2017. Vol. 24. P. 43-60.

Article
Values and Corruption: Do Postmaterialists Justify Bribery?

Kravtsova M., Oshchepkov A. Y., Welzel C.

Journal of Cross-Cultural Psychology. 2017. Vol. 48. No. 2. P. 225-242.

Undergraduate Research

Student Research Contest Winners

Undergraduate Program in Economics Research Papers

Joint HSE NES Program in Economics
Research Papers

Undergraduate Program in Economics and Statistics Research Papers

Career Lab

Alumni in Academia

 

Student Research Contest Winners
 
Anna Denisenko
Paper advisor: Dmitry Dagaev
Political competition as the game of Colonel Blotto
Winner of 2016 contest
Vadim Drobinin 
Thesis advisor: Mikhail V.Ulyanov
Stock Markets Indicators Forecasting Algorithms Research Based on Social Networks 
Winner of 2016 contest

Undergraduate Program in Economics Research Papers, class 2017 
 
During the last term of study at the Faculty of Economic sciences all students, including undergraduates are required to write and present their research thesis. This, along with certain number of credits and courses is a graduation requirement. Here at this page we list examples of undergaduate students' theses that illustrates the diversity of research opportunities at the Faculty of Economic Sciences. 

Anna Astafyeva

Balance Econometric Model of Economy of the Republic of Kazakhstan

Thesis advisor: Nikolay Pilnik

In this research the model of the economy of Kazakhstan was created. Its framework consists of different balance and econometric equations. During conducting the investigation, macroeconomic data relating to the Kazakh economy was gathered with a restriction of 2006-2016 period. The coefficients of equations are estimated with a special two-step procedure, the resulting estimators are used for the aims of forecasting. The dymanic of endogenous variables dependent of exogenous variables is trcaked; among exogenous there are the following indexes: oil prices, exchange rate, budget expenditures, capital account of balance of payment. Furthemore, the scenario forecasts of Kazakhstan's economy are developed.

 

Evgeniia Bereza

Animal Testing in Cosmetic Industry as the Factor of Consumption Rejection

Thesis advisor: Marina A. Shabanova

This study is aimed at a detailed study of the impact of the animal testing factor on consumer behavior. The results of the study will help to get answers to a number of important and interesting questions related to the consumption of cruelty-free cosmetics. Are there many adherents of ethical cosmetics among Russian youth? How many people want to go for cruelty-free cosmetics in the future? What factors have the most important impact on the inclusion of the consumer in the practice "for cruelty-free"? What are the characteristics of the qualitative composition of cruelty-free consumers and what other ethical practices they are interested in? In which case, consumers are ready to switch to cruelty-free cosmetics and and how much are they willing to overpay for it?
Thus, the purpose of this study is to identify the impact of the practice of animal testing on the consumer's rejection to purchase this cosmetics, as well as to identify the factors and barriers that affect this rejection and the willingness to overpay for cruelty-free cosmetics.
The main hypotheses, that are tested in the study:
1. The rejection of animal-tested cosmetics is significantly affected by involvement in other ethical consumer practices.
2. The more consumers are involved in activities / ethical consumer practices aimed at improving animal welfare, the higher the probability of rejection of cosmetics, that are tested on animals.
3. People prone to empathy and non-conformism are more likely to switch to non-animal-tested cosmetics.
4. The higher the individual's awareness of the brand's testing policy, the greater the probability of rejection of cosmetics, that are tested on animals.
Practical relevance of the work is to identify the level and factors of awareness of Russian youth about the practice of animal testing, the extent to which they are involved in cruelty-free practice, their desire to switch to cruelty-free cosmetics and barriers existing for this transition.


Soltanbek Bichiev

Measuring Twitter Sentiment Impact on Stock Prices of a Company

Thesis advisor: Sergey M. Menshikov

In recent years, social media services have become one of the most valuable sources of information for conducting social, political and economic researches and for purposes of marketing and investing. In finance social media, especially Twitter, can be used through the lens of behavioral finance: sentiment and emotions of social media users can be measured in real time and can be used as a proxy for a sentiment of financial market participants so that herding effect and panics can be considered when creating investment strategies beforehand.

In this paper, we analyze the influence of sentiment in Twitter on the dynamics of stock prices movements for 22 companies from different industries – IT, telecommunications, automobile and other. To analyze the effect, first, the event study was conducted and then predictive models were built (both for individual companies and for groups of companies based on their industry). Predictive models were built on logistic regression and model selection techniques were applied for finding the optimal specifications of the models.

As a result, it was discovered that the prediction accuracy increases by 1-2% for individual company if Twitter sentiment is included, and the achieved average accuracy among 22 companies was 83.5%, which is 0.4% higher than accuracy of models without the Twitter sentiment. Besides that, it was concluded that accuracy of predictive models applied on group of companies is consistently increased for companies for IT and Telecommunications industries, while for others accuracy either did not change, or in case of financial industry accuracy even decreased.


Mariia Bondarenko

Deposit Interest Rates as a Predictor of Bank Default: the Case of Russia

Thesis advisor: Maria Semenova

Using a database from Russian banks (for the period from 2 quarter 2015 to 4 quarter 2016), the authors analyze the relation between bank’s failure probability and the interest rates that are offered by such banks on deposits of different maturities (up to 90 days, from 90 to 180 days, from 180 days to a year and over a year). As a result, it was shown that overstating of deposit interest rate positively influence on the bank’s failure probability, and this demonstrates that there is a pricing form of market discipline on Russian market of bank deposits. Moreover, the effects of control variables are the same as in previous papers on this issue: large bank with high capitalization and profitability rates as well as significant level of banking activity has less probability of default.

Maksim Boratinskii

Evaluation of Effectiveness of Mergers and Acquisitions in the Oil Industry

Thesis advisor: Andrey I. Stolyarov

Mergers and acquisitions are a widespread way of development for companies. The state of this market in the oil industry after the global financial crisis is unstable. The ability of oil companies to "lower for longer" and the need to look for oil reserves in the face of the complexities of geological exploration of new fields make this research relevant, including in Russia. To assess the effectiveness of recent transactions, one of the most common methods, event study, was chosen. It is the accumulation of accumulated excess return - the difference between the real and projected stock price values ​​- for companies during the event window. The analysis showed that the CAAR, the average accumulated excess return, is -0.215% for the sample. This indicator is not much different from zero and is insignificant, which shows that there is no negative impact of M & A transactions on companies' performance. As demonstrated by the results of the regression analysis, the price of Brent crude negatively affects the efficiency of the merger and acquisition transaction. Consequently, periods of high and low oil prices could nullify the overall impact of transactions on the behavior of company shares. In addition to crude oil prices, the ratio of the size of the deal to the capitalization of the buyer company has a negative impact on the effectiveness of M & A transactions.

Yana Bulatitskaya

Brand Loyalty in the Denim Jeans Market in Times of Economic Crisis

Thesis advisor:   Svetlana Mareeva
Consumer behavior in times of economic crisis in the denim jeans market was studied in this research. In particular, the main aim of this paper was to establish whether Russian consumers display loyalty towards their jeans brands after the beginning of economic recession in 2014. A consept of brand loyalty was established and brand measurement methods were examined and chosen, applicable for this particular research. By means of econometrics, the data obtained from the survey was analyzed and the conclusions made. The main outcomes are: about 40% of consumers show loyalty to their jeans brands after the beginning of recession. The main factors that influence their loyalty are the price segments of their brands and attitudinal characteristics. This research calls for more investigation into consumer loyalty at various markets.

Elizaveta Burina

Comparing Great Textbooks in Economics by Marshall, Tugan-Baranovsky and Schmoller

Thesis advisor: Vladimir S. Avtonomov

The paper focuses on the special features of the national styles of the economic thought represented in textbooks in Russia, England and Germany in the end of the XIX century. In order to provide such comparative analysis the classical textbooks were chosen. The rationale is that studying differences and similarities of textbooks experienced many editions and approved by time may be as representative for revealing a common style as comparing national literary classics. Therefore, three great works turned to be under review: “Foundations of Political Economy” (1909) by Mikhail Tugan-Baranovsky, “Principles of Economics” (1890) of Alfred Marshall, and “Layout of General Economics” (1900-1904) by Gustav von Schmoller. All the three economists made an outstanding contribution to economic science. They tried to unite induction and deduction, abstract and concrete canons, materialistic and ethical sides of economics, in other words were synthesizers. As a result, it was discovered that the main differences lie in author’s attitude to the role of ethics in the economic science, involving Marx’s theoretical system in the analysis, the degree of maturity of the economic science in general and employment of theoretical mathematical models and use of empirical data. English textbook turned to be more practical and useful for the business people as well, Russian one was more theoretical and full of ethical reasoning, and the German treatise was aimed more at helping policy-makers.

Georgiy Varganov

Russia and CIS Companies Bankruptcy Prediction for Specific Economic Sectors

Thesis advisor: Elena Y. Makeeva

The papersurveys most accurate and modern methods in bankruptcy prediction of Russian and CIS companies. Moreover, there is a goal to define most important and substantial factors (non-financial and external ones). Data set represents different regions and industries. Prediction and estimation of the models are fulfilled for each of the industries separately taking into consideration specific features. Finally, there were developed best prediction models with the use of artificial neural networks and logit-regression

Alexandra Venediktova

Determinants of M&A Performance for High-Tech Companies in Developed Capital Markets

Thesis advisor: Irina Skvortsova

This study focuses on determinants of M&A performance for high-tech companies in developed capital markets. Using a sample of 110 mergers and acquisitions performed by companies from three major high-tech sectors in Europe between 2010 and 2016, we examine the influence of key micro and macro determinants on cumulative abnormal returns of the acquirer. We find that the size of the acquired knowledge base and the level of innovative development of the target’s country have negative impact on M&A performance, which we believe is due to highly disruptive integration process associated with acquisition of sophisticated technology. We also find support for the hypothesis that companies play major role in technological progress which explains negative relationship between high R&D expenses of the acquirer’s country and M&A performance. In accordance with prior research we find that the number of researchers in R&D on a country level increases M&A performance for high-tech companies.

Nikolai Vorobev

Data Quality Analysis for Ratings Provided by Russian Rating Agencies

Thesis advisor: Victor A Lapshin

The thesis on the topic of "Data Quality Analysis for Ratings Provided by Russian Rating Agencies" examines the ability of the ratings to reflect the probability of defaults, reflect the increase in credit risk as it approaches default and also the stability and informativeness of the rating system for 4 Russian and 3 foreign rating agencies. As a result, data on the quality of information contained in the ratings of each agency was obtained and the comparison of rating models of various agencies was made.

Diana Gainutdinova

The Determinants of the Capital Structure of IT Companies

Thesis advisor:  Elena Y. Makeeva

This research is aimed at studying the impact of financial indicators of information technology companies on their capital structure. The core goal of this paper is to build a universal regression model that takes into account the distinctive features of IT companies. In this paper, a sample of 5000 IT companies with data on financial indicators for period from 2008 to 2015 was used, which was also divided into subsamples for comparing the results between different companies within the IT industry. The results of the constructed model confirmed the provisions of the Trade-Off and Pecking Order Theories. Also, differences in the influence of the model’s variables on different types of IT companies were revealed.

Vladislav Golodnyuk

The Influence of the Political Uncertainty on the Stock Market Returns of British Companies after Leaving from European Union

Thesis advisor: Elena Fedorova

This research paper is aimed at caring out empirical analysis of influence of political uncertainty on stock returns of different groups of companies on example of Brexit. For analysis of influence 4 indices consisting of market stock prices of British companies were formed – indices are classified with respect to their susceptibility to political risk. Various modifications of ARCH-family models were used for revealing effects that were caused by appearance of political uncertainty.

Anastasiia Gorokh

Art as an Investment

Thesis advisor: Alexandra Galanova

Art investments are one of the most popular types of alternative investments. The main objective of this paper is to make the comparative analysis of efficiency of investments to the Russian art market and to the commodity and financial markets. In the course of this research the hedonic Russian art index was constructed basing on auction data over the period of 2002 - 2016 and various modifications of CAPM for art objects and other asset in our sample were estimated.

Robert Davtyan

Influence of World Oil Prices and Exchange Rate on RTS Index

Thesis advisor: Grigory Kantorovich

The dependence of RTS from world oil price and US dollar exchange rate is of a very high interest nowadays. There is a lot of research about this topic. The correlation between RTS and oil price as well as the correlation between RTS and US dollar exchange rate is very useful for portfolio managers in diversifying their portfolios. In this thesis, I will first make VECM model to find the long run equilibrium among the RTS, Brent oil price, and US dollar exchange rate. Then, using DCC-GARCH model I will determine the conditional correlations among those assets. The period under study is 2014m01 – 2017m04. Results show that US dollar exchange rate and Brent oil price are important in the establishment of long run equilibrium among the variables under study for the whole period. However, when the period is divided into two subsamples, US dollar exchange rate and SP500 become important for the first subsample (January 1, 2014 – May 29, 2015), yet long run equilibrium itself disappears for the second subsample (May 30, 2015 – April 10, 2017). Dynamic correlation estimation results show that conditional correlations are very volatile, and there are periods of high and low correlations, which may be related to political and economic activity. Overall, starting from 2016, RTS correlation with other variables shows a downward trend in absolute value and closes to 0, which is very useful for asset management.

Dmitry Denisenko

Social Activity of а Company and its Advertising as Factors of Consumer Choice in the Fast Food Market

Thesis advisor: Marina A. Shabanova

The concept of social activity of a company becomes more and more significant in modern world. This subject gets more and more attention from researchers and becomes more relevant for businesses, because it can help a company to achieve stable economic growth, and also to stand out from competitors. Corporate social activity allows company to get trust and loyalty from its consumers.
The main goal of this paper is to determine the effect of corporate social activity and its advertising on the consumer choice; and to develop on this basis the recommendations to the fast food restaurants on the implementation of corporate social activity.

Polina Detkova

Corruption as Public Procurement Determinant in Russian Regions

Thesis advisor: Andrey Tkachenko

Public procurement constitutes a great share of public expenditures where officials’ corruptive activity causes considerable losses. A higher corruptive environment can influence competition in a region and therefore lead to inefficient procurements. Therefore, it is important to determine whether the actual effect of regional corruption on the efficiency of contracts' awarding process is negative. This paper estimates the impact of regional corruption level on the outcomes of regional public procurers of two types: Customers, procuring for themselves, and Centralized Agencies, who have the competency to procure for customers of their region. As the Centralized Agencies should have more competent officials and might benefit from economy of scale they can alleviate negative effects of corruption.
To check the hypotheses two datasets of different types of the procurement conducted by electronic open auctions are considered:
procurement contracts concluded by regional level organizations of Public Administration activity from 2011 to 2013 and contracts concluded on granulated sugar from 2011 to 2013 (the latter lets comparison of procurement prices to market prices). The results support the idea that the effect of regional corruption on procurement results is negative and that it varies considerably depending on procurer type.

Maria Dunaeva

Changes in Consumer Behaviour on the Tourism Market during the Crisis

Thesis advisor: Svetlana Mareeva

After the crisis in 2014 Russian market of tourist services was forced to face a lot of serious problems and the consumer behavior of the Russians on this market has significantly changed. The aim of this research is to identify changes in consumer behavior on the Russian tourism market after the crisis in 2014. Empirical study that was based on the survey conducted by the author showed that the majority of consumers had to change their typical behavior during the crisis. Using econometric methods, the impact of different factors on consumer’s choice between domestic tourism and travelling abroad and also on the probability of choosing different consumer strategies during the crisis, were assessed.

Dmitriy Zhuykov

Macroeconomic Forecasting Using Data of Different Frequency

Thesis advisor: Oxana A. Malakhovskaya

Macroeconomic GDP forecasting is a study of great significance due to the importance of this key indicator and its efficient estimations for decision-making process while working out strategies by governments, central banks, companies and other economic agents. However, there is no an econometric model that would appear to be universally preferable due to the social, cultural, political peqularities of each country. Moreover, there is an issue caused by the different periods for which the GDP and its macroeconomic indicators are published. Generally stated, the purpose of the proposed research is to identify which of the two methods, MIDAS-AR which employs data of different frequency, or VAR, which uses figures of the same frequency, can better foresee the dynamic of Russian GDP growth rate. The core method is a comparative econometric analysis, which will enable to give findings on the relative forecast power of the models. This study will throw light on the factors which influence the choice towards each of the models. Then, based on this information the strategy of identifying the most suitable model for forecasting Russian GDP growth will be outlined.

Alisa Ivanova

Financial Behavior of the Middle Income Group: Regional Specifics

Thesis advisor: Ekaterina Dmitrievna Slobodenyuk

The aim of current work is to study saving decisions as an aspect of financial behaviour of middle-income groups in Russia and Russian regions. Current study proposes a new classification of Russian regions based on their social structures. Moreover, current study evolves patterns of financial behaviour of middle-income group in Russia. As a result, it was revealed that middle-income group is the widest in the income stratification of Russia and every Russian region. Another result of the study revealed that middle-income group is more likely to demonstrate positive type of financial behaviour in the field of savings.

Elena Karnoukhova
Influence of the Ownership Structure on the Performance of Innovative Companies in the USA

Thesis advisor: Anastasia Stepanova

In recent decades, innovative companies became one of the major driver of economy worldwide. According to surveys, nearly 70% of the world's most innovative companies in 2017 are U.S. firms. However, academic studies mostly focused on innovativeness of a firm, measuring through R&D spending, patent citation, and have neglected the role of capital structure, ownership structure, and the corporate governance. In this article we analyze the difference between technological and non-technological companies with an attempt to find out a reason of success of fast-growth corporations. This research uses Generalized Least Square model on a sample of 12565 firm-year observations during 2004-2015 period, to justify an assumption that various types of investor have different effects on firm performance of innovative companies. The research reveals the distinction between type of investor and investor`s strategy. By focusing on the ownership concentration we find an evidence that not all types of blockholders improve firm value. In general, our findings suggest that owners with potential business relationship with firms decrease firm value, and passive independent institutions enhance firm performance in virtue of active monitoring and long-term investment horizons. The results further suggest that board composition and CEO characteristics are essential for corporate firm performance of innovative companies. The findings are robust to alternative models and variable selection.

  

Olga Kovaleva

Sequential Voting Models

Thesis advisor: Daniel Karabekyan

The research contains a mathematical model which can be used for description and analysis of sequential voting games with a step-by-step elimination of candidates. The research also includes the analysis of ballots choosing the 1976, 1994 and 2016 Olympic Games host-cities.

Elena Koroleva

Factors of Consumer Demand for Healthy Food Delivery

Thesis advisor: Vladimir Vladimirovich Karacharovskiy

Keeping a healthy lifestyle is becoming an increasingly popular practice. Healthy food is an integral part of it. The purpose of this study was to identify factors that affect consumer demand for services, which provide delivery for healthy food. This type of service is new one in the food market and therefore it is of particular interest for research.
To achieve this goal, the existing literature on this subject was analyzed and an optimal methodology for market research was developed. A survey was conducted to collect data for subsequent use within the descriptive analysis and a regression logit model of binar selection. Data about the socio-demographic, status, value, behavioral and cost characteristics of respondents was collected with the help of the survey.
As a result of analysis of the three logit regressions were defined the factors, which influence the probability of using the service of healthy food delivery: the number of respondents' cohabitants, the degree of adherence to the principles of proper nutrition, the difference in the cost of cooking themselves and the cost of using the service, education, the cost of time spent for preparing food and purchasing products in conditions of not using the service, the average income per family member. The results of this study can be used both by players onf the market for delivery of healthy food in order to create an optimal development strategy, and by the scientists as a basis for further research.

Andrey Kruglyak

Using of Information fromTwitter for Market Abuse Detection

Thesis advisor: Andrey I. Stolyarov

This research is aimed at applying automated methods for event analysis with using information from Twitter to detect illegal insider activity. In the course of the work, theoretical aspects of the problematic of the question were considered, which helped to determine the general direction of development of thought in this field. On the basis of data collection process was assembled algorithmic model with using the methods of machine learning, which allowed to achieve the tasks assigned to the research.

Anton Krupin

The Research of the Capital Structure of BRICS Countries

Thesis advisor: Elena Y. Makeeva

The following paper is devoted to the research of the capital structure of the BRICS countries. The study is the first one to connect such topics as “capital structure” and “innovations” together on the basis of the emerging markets.

The research consists of 3 main parts. At the first stage the theoretical background considering different capital structure theories is provided. Moreover, some special features of innovative firms that could affect their capital structure are described. The second stage provides methodology and describes how the research sample was constructed. At the third stage descriptive statistics are examined, capital structure of tech and non-tech firms are compared and tech firms’ capital structure determinants are precisely studied.
The results of the paper are the following: firstly, it is revealed that capital structure of tech and non-tech firms are different. That means the level of tech firms’ debt is lower as well as their borrowing patterns. Secondly, study concludes that both capital structure theories are relevant considering innovative firms. Thirdly, growth potential has negative influence on the size of leverage, while intangibility doesn’t have a certain connection with the amount of debt.

Ivan Luppov

Socio-economical Factors of Sports Clubs Profitability

Thesis advisor:  Konstantin Lvovich Polyakov

Sport clubs compete for titles and awards, buying players, changing coaches, spending huge amounts on training bases, camps and phisycal practices. However, as the data shows, the income of the clubs do not depends directly on the victories and rewards. For example,"New York Knicks" - the leading team in the National Basketball Association, talking about financial indicators, only twice became the champion in the early 70s. In recent years, the club does not fall into the zone of the playoffs, beating various anti-records. The current champions and the teams with the top lines of rank, in contrast, have average indicators . Why does it happening? This work raises the question of which other factors apart from sport achievements affect the economic performance of sport organizations? Do not distort these phenomena the incentives of the owners of clubs, damaging the sporting and competitive part of the tournament? The regression model built by us, will allow to determine the contribution of different socio-economic factors in the amount of the revenues of the clubs in the NBA over the past 10 years and to make conclusions about the expediency of investing in sporting success

Nikita Lyubaykin

Online Crowdfunding Projects Performance Prediction

Thesis advisor: Ivan Stankevich

This paper is dedicated to Identification of determinants and predicting the success of crowdfunding projects placed on online intermediary platforms. The considered sample is narrowed down to video games related projects. Due to uniqueness and high specificity of required data, dataset was obtained using software which collects relevant information automatically directly from projects web pages. Final dataset contained information about 8520 unique videogames projects in 32 features of interest. To analyze patterns in the data both traditional econometrics toolbox (Logit and LASSO-regressions) and machine learning algorithms (generalized additive models, random forest, gradient boosting, support vector machine) were used. In addition, stacking procedure of constructing algorithms compositions which is popular in data analysis competitions was applied. The main result of this paper is not only in detection and interpretation of significant determinants of online crowdfunding project’s success but also in developing high performance predicting algorithms (87.95% accuracy was achieved by 8-fold cross-validation).

Alexandra Lyakhova

Factors Which Influence Russian Bond Yields in the Primary Market

Thesis advisor: Sergey Volodin

Last few years were extremely rich in events. This remarkably influenced Russian financial system and particularly the primarily bond market. As debt financing of companies and government operations comes to be an extremely important element of a well-functioning economy, the bonds primary market research is by no means going to lose its importance.
Factors which influence the secondary market bond yields have been in the focus of economists for a few decades now. Nevertheless, very little scientific coverage was received by the primary bond market. Especially so in Russia, where the majority of related researches were based on replicating the models from foreign articles and checking them on the Russian data – all this done without taking into account specific traits and unique features of Russian primary bond market. For example, absolutely no author so far has explored the relation between the Russian primary market bond yields and the year of bond issue, the average time between coupon payments and the type of issuer’s business entity. At the same time a number of other factors like underwriter’s activity in the market, Central Bank’s rate and USDRUB exchange rate have been researched very superficially.

Anna Mazur

The Impact of Adoption of IFRS on the Management of Profit Performance

Thesis advisor: Tatyana Nikolaevna Malofeeva

The purpose of this study is to examine the effect of International Financial Reporting Standards (IFRS) adoption on the frequency of earnings management (earnings manipulation). The empirical analysis employs the linear regression model which includes a dependent variable (discretionary accruals), independent variables (accounting standards and audit quality) and some control variables. The Modified Jones Model is applied to calculate the amount of discretionary accruals as a measure of earnings management. The sample used for the analysis contains 361 observations of Russian public companies from various industries during the period from 2010 to 2015. The obtained results showed that earnings manipulation is intensified after IFRS implementation.

Kseniia Morozova

Factors of Consumers’ Demand on the Online-Shopping Services (the Case of Computer and Laptop Market)

Thesis advisor: Vladimir Vladimirovich Karacharovskiy

E-commerce offers many online marketing opportunities to companies worldwide and along with high rapid growth of online shopping; it has impressed many retailers to sell products and services through online channel to expand their market. This research estimates consumers’ intention to make purchases of computers and laptops on the Internet and main futures of buyers who had experience in purchases in both online and offline stores to compare the nature of their incentives. The multiple logit-regression analysis was employed to measure the relationship between 14 independent variables to identify the receptivity to online shopping. The results show that the price, analog shop and where the computer was explored are key factors in selecting the method of purchase. The results can be used by existing players of online market to improve performance and by new firms seeking to explore their audience.

Dilyara Mustafaeva

Economic Equilibriums in the Presence of Informal Institutions

Thesis advisor: Mark I. Levin

A model of a partial equilibrium in the economy of distribution of a public good with two types of agents (officials and firms) is presented and analyzed in this paper. These agents compete for a limited state good, but the nature of this competition and its results vary depending on the institutional framework.
Four variations of the model were examined: a model in the absence of the informal institutions, a model with blat, a model with corruption, and a model with blat and corruption. A step-by-step analysis of each of the model specifications allows us to draw conclusions about the ways in which various factors affect the equilibrium distribution of benefits in the economy. Particularly, blat and corruption lead to an uneven distribution of benefits in the society, the government measures to combat corruption do not always lead to a decrease in the level of corruption, while blat and corruption act as substitutes for each other.

Ekaterina Nemova

Specifics of Russian Bonds Pricing

Thesis advisor: Tamara Viktorovna Teplova

The main goal of the paper is to create a new adequate model for pricing floating coupon bonds, with the coupon tied to RUONIA rate by predicting future cash flows. Given that the RUONIA values depend (and added) exclusively on short-term securities yields, it is needed to estimate the values of future future yields of short-term OFZs. Thus, the second objective of this paper is to analyze the zero-coupon yield curve for the government bond market, as well as to predict its future shape.
In order to predict the dynamics of changes in the yield of government bonds, a model was developed, that predicts future values ​​of the parameters of the curve of zero-coupon yield - "level", "curvature", "slope". It is the first work that applies this approach for the analysis of the Russian debt capital market.

Aya Nostaeva

Dynamic Inefficiency of Financial Repression Policy

Thesis advisor: Olga Norkina

An optimal fiscal policy in theory and practice can be dynamically inconsistent, so the optimal policy of financial repression as a part of fiscal policy can be dynamically inconsistent too. The term "dynamic inconsistency" refers to the situation in which the initial optimal plan chosen at a certain period of time will not remain optimal in the future. The problem of dynamic inconsistency exists when discretion policy leads to the worser outcome compared to the commitment policy. We find out theoretically if there is a problem of dynamic inconsistency of optimal financial repression policy in the form of pension wealth confiscation. We introduce the fully-funded pension scheme and financial repression in the form of pension wealth confiscation in the overlapping generations model. It is shown, that the problem of dynamic inconsistency of optimal financial repression policy in the form of pension savings confiscations exists only if the government does not give a binding commitment but has to liquidate all the debt it has accumulated before. Otherwise, optimal financial repression policy is dynamically inconsistent but does not lead to the deterioration of the policy outcome.

Alexandr Platonov

The Role of Digital Piracy in Video Game Industry on the Stock Market

Thesis advisor: Victoria V. Dobrynskaya

Nowadays, there are a lot of problems connected with digital world. One of the most important digital piracy of media goods. In last decade this problem was grown up significantly. Many investigations show that digital piracy is not only about something negative, but it can bring additional profit to original producers. Most of studies were based on economic models or theories, but almost no one based on real facts. In this paper was taken the actual data (was used) such as stock returns, market returns and the actual fact of digital piracy by example of. In this investigation the author used games with the similar scale and sorted it by 10 point system for the subsequent event study by The Fama-French Three Factor Model. The results show that digital piracy has a negative influence on stock returns. The strongest dependence in data was noticed in middle-level game. In this way, the producers of videogames had to thoroughly protect their products.

Arina Sapelina

Social and Ecological Responsibility of Business as a Consumer Choice Factor (the Case of Meat Products' Market)

Thesis advisor: Marina A. Shabanova

The ecological situation on the planet becomes worse every year and many countries and global international organizations pay more and more attention to this problem. And many people and other companies and organizations start to realize the importance of ethical and responsible attitude to the nature and society. These tendencies have significant effect on world economy: demand for “eco” and “social” products is growing and it changes classic markets’ structure. Many companies start their social and ecological (Corporate Social Responsibility, CSR) activity and it affects consumers' behavior. The effect of these tendencies is researched during this study

Nikita Seleznev

Route Assignment in Transportation Networks. A Сomparison of User Equilibrium and System Optimum

Thesis advisor: Ivan Stankevich

One of the major problems of big cities is traffic congestion. For the purpose of avoiding congestion travelers use traffic-aware Advanced Traveler Information Systems (ATIS), which rely on historical or current traffic data to compute fastest routes. However, the existing solutions are prone to errors associated with the poor prediction of future traffic states and may even produce traffic jams due to uncoordinated decision mechanism which directs all drivers with identical origin-destination pairs departing at the same time through the same route. In this study the recently proposed Predictive Traffic Assignment (PTA) algorithm which exploits previous planned routes to predict their impact on future traffic states is further studied. The results obtained by simulations show that if the fraction of PTA users is sufficiently large it can outperform existing solutions in congested networks, while being unable to beat contemporary navigation systems when market penetration is less than 50%. More importantly, the feasibility of PTA deployment was tested with the conclusion that while PTA introduction to transportation system is beneficial in terms of total travel time it lacks profitability, due to the low equilibrium fraction of its users, to motivate private sector to deploy it.

Mariia Silkina

Market, Professional and Amateur Ratings of Cinema Products: the Problem of Consistency

Thesis advisor: Vladimir Vladimirovich Karacharovskiy

This work focuses on the analysis of film characteristics that can influence the consistency of market, professional and amateur ratings. The study investigates the impact of budget, star power, director power, sequels, genre, age-rating, distribution company and the originality of plot.

Sofya Sonnova

Consumption of Culture: the Role of Socio-economic Factors

Thesis advisor: Vasiliy Alexandrovich Anikin

This work aims to explore the factors shaping consumer demand for museums of modern art in Moscow. Nowadays, there are lots of new formats of exhibitions, which sometimes can cause incomprehension. What can attract a person to come to the museum of modern art? The work focuses on three types of factors: data on socio – demographic status of respondents, the parameters of the exhibition space, and exhibitions’ features at the museum of modern art. By means of a survey data were collected. Thereafter, descriptive and econometric research was conducted. The basic characteristics of those who attend and, conversely, avoid exhibitions of contemporary art were identified. The data obtained allow to offer museum’s owners recommendations for more successful development.

Andrey Sukhobok

Forecasting Performance of Hybrid ARIMA-ANN and VAR-ANN Models on Macroeconomic Data

Thesis advisor: Ivan Stankevich

The main aim of present paper is comparing the forecasting performance of ARIMA, VAR, Artificial Neural Network and Hybrid models on macroeconomic data. The main idea of Hybrid models consists in combination of classic econometrics models with Artificial Neural Network, which are very popular in scientific literature un recent times. It is assumed that hybrid models can make better forecasts than classic ARIMA and VAR themselves.
Different Russian and US macroeconomic series were investigated. Twelve of them were used for testing ARIMA-ANN model and its components. Also short term interest rate, inflation rate, unemployment rate and GDP of both countries were used for testing VAR-ANN model and its components.
Attained results allow to state that hybrid models can provide significant contribution to the field of macroeconomic data forecasting.

Anastasiia Ten

Gender (and other) Diversity in Corporate Boards and Firm Performance

Thesis advisor: Anastasia N. Stepanova

The study examines the relationship between gender diversity on boards and firm performance. Providing complex analysis, we identify the main firm characteristics, to which gender diversity on board has the greatest impact, and test them with regression analysis. Thus, we highlight the following aspects: firm risk-taking and board independence. The initial sample includes US-listed firms from Russell 3000 from 2010 to 2015. It was stated that firms with women on boards tend to decrease risk-level. Moreover, female directors improve the independence of the board, acting similarly to independent directors. Finally, we investigate that women on boards could differently affect firm performance. The results are robust to endogeneity issues and provide evidence that the relation between the presence of women on boards and firm’s characteristics matters. We contribute to the existing literature providing additional evidence about the role of women on corporate boards.

Ilya Tyulenev

Ruble Overnight Indexed Swap curve building

Thesis advisor: Sergey V. Kurochkin

The financial crisis 2007 was the beginnig of a new era of the derivatives market. Due to the sharp widening of the spread between three-month interbank rate LIBOR and three-month overnight swap rate on the Fed Funds Effective in the middle of 2008, investors have revised a classical approach to discounting payments using the yield curve derived from the instruments on LIBOR in favor of the dollar OIS curve.
One of the reasons for the paradigm shift was also the widespread of the CSA (Credit Support Annex), embedded in many transactions. Its appearance indicates that as a result of the recent market shocks professional market participants have become more wary about derivatives trading on the OTC market.
Lately the largest Russian banks began to think about making the transition to the ruble future flows discounting by the RUONIA OIS curve in the presence of CSA in the ruble-denominated transactions, which in recent years is becomming more popular. Thus, this paper is devoted to the construction of the ruble OIS curve with detailed specification of the short end of the curve through the Central Bank of Russia meeting dates.

Miroslava Fedotova

Revealing Individual Preferences with Bayesian Hierarchical Multinomial Logit Model

Thesis advisor: Boris Demeshev

The primary goal of conjoint analysis is to use valuable information to take strategic marketing decisions. In this sense, it helps firms to answer the question how consumers will react to a new product without producing this product. To make this answer beneficial, it is necessary to use the appropriate models. For a long period of time, the analysis of consumers' aggregated preferences was popular. However, the world changed dynamically and the idea of ​considering people on average was realized to be a very poor description of the market. At the present time, individuals are especially important in all their diversity. One way to describe the heterogeneity of consumer preferences is to use the Bayesian hierarchical multinomial logit model. However, the lack of a free flexible platform for conducting such an analysis makes it unavailable for many researchers. Our goal is to change it and create a numerical model accessible to anyone who needs it. Moreover, the current paper analyzes the results, which created model leads to. A weak sensitivity of the posterior distribution to parameter`s priors was observed. Also, this study includes comparing various modifications of models and comes to a rather unexpected conclusion: not complete heterogeneity, but the presence of some number of clusters allows the model to give more accurate predictions.

Elizaveta Filatova

The Influence of International Trade on Human Well-being in Russian Regions

Thesis advisor: Levent Celik

The present paper is the first study devoted to the link between trade and the well-being of Russian citizens. This work is inspired by the lack of research examining the influence of trade on the quality of life. With the use of panel data, I investigate the effect of trade on the change of well-being, which is measured by the Human Development Index across Russian regions. I reconsider and apply the methodology of Kosack and Tobin (2015), who showed the dependency of trade effect on the level of human capital. I find that the levels of trade, internal and international, do not influence the change of human well-being, but the growth rate of trade is negatively associated with the improvement of well-being. Moreover, there is the considerable heterogeneity in the foreign trade rate effect on the human development within different industries and federal districts. The estimates obtained are seemed to be consistent as different econometric biases are controlled for.

Kirill Tselkovskiy

Valuation of the Effectiveness of M&A Deals in Telecommunication Industry

Thesis advisor: Andrey I. Stolyarov

This paper is the first study on the valuation of the effectiveness of M&A deals in one of the youngest sectors of telecom - tower companies.
Author examined main approaches of valuation of the effectiveness of M&A deals and, regarding industry specific, the most appropriate one was figured out. Author considered the following approach: comparisom of internal rate of return in case of organic growth and in case of M&A deal.
Thus, this paper is to become a guide for potential investors in tower industry: covering both industry specific and operational metrics, which investor should always take into consideration. The final result of the work is
a financial model, which is to be used in case of organic growth as well as in the case of inorganic growth.

Ilona Shikhliarova

Probability of Default Modeling for Russian Non-Financial Companies

Thesis advisor: Elena Makushina

The main idea of the paper is to create a model for predicting bankruptcy of a company based on the most significant financial and non-financial variables, which will predict a bankruptcy of a company one year in advance with a minimum accuracy of 80%. The sample includes the data on Russian companies for the period from 2013 till 2015. The modelling is based on logit-model and decision trees. As a result of the study it was successfully determined that both modelling methods are acceptable for obtaining a reliable model. The most significant categories of variables for predicting a bankruptcy of a company turned out to be profitability, liquidity, turnover, financial leverage and company’s size.


Undergraduate Program in Economics Research Papers, class 2016  

Evdokimov Sergei
Features of M&A deals in the video game industry
The most important papers of the last few years include empirical studies on value creation determinants of companies and the efficiency of mergers and acquisitions (M&A). Unlike existing studies that mainly investigate the effect of the company’s financial performance and quality characteristics of M&A transactions on the value of the target company, this paper evaluates and measures the influence of industry-specific factors of video game market (including market segment, supported gaming platform and the company's product line) on company’s value. Based on the analysis of analytical reports and scientific research on video games, a comprehensive classification for the market players was developed in order to conduct this investigation. In addition, an efficiency analysis of M&A transactions in the video game market is presented in the paper. In particular, the study uses linear regression and event analysis methods to measure the impact of industry-specific factors and the effectiveness of transactions respectively. The results of the regression models  not only confirm the importance of industry-specific factors, but also provide a better estimate of valuation multiple (EV/Revenue) as compared to the simple use of such classic qualitative and financial characteristics of transactions as the type of investor (strategic or financial), the target company's EBITDA margin, etc. Particularly, the following facts were revealed: 
·    video game developers and operators are valued at premium in comparison with other market participants; 
·    companies engaged in the production or maintenance of multiplayer online games get the highest valuation in the market. 
Meanwhile, the results of event study analysis, which examines the behavior of firms’ stock prices around corporate events, show a steady upward trend in stock returns of acquirers after the announcement of deals. These results are consistent through different methods of measuring post-offering abnormal stock returns.
 
Anastasiia Faiikina
Thesis Advisor: Kosmas Marinakis
Peer Effects and Dishonest Behavior in the Individual Projects
This paper presents a theoretical model of the agent’s optimal decision between honest behavior and cheating in the individual projects while being located in peer environment. I construct the model using a classical principal–agent relationship given a possibility of cheating that has not been properly analyzed before. I consider two different settings, cheating as a crime of opportunity and a simultaneous decision about efforts and cheating, which give the same intuitive results. The conclusions of my model suggest that higher able agents, who are more productive in honest efforts and more adherent to social norms, have a significantly lower probability of being engaged in cheating behavior. At the same time, the principal can also reduce the level of cheating through an increase of a size of the punishment or manipulation of risks. The most interesting solution of the problem of cheating is a creation of atmosphere of peer trust since agents always refer to the behavior of others. A possible illustration of the model is a problem of cheating by students whose decisions are very consistent with the implications of the model due to my empirical analysis.
Keywords: Cheating, compensation scheme, contract theory, efforts, incentives, peer effects, peer trust, performance evaluation, social learning
 
Anastasiya Glinskaya
Thesis Advisor: Elena Buyanova
Building an Investment Portfolio on the Russian Stock Market
A method of construction an efficient portfolio and the choice of investment strategy is always a live issue for investors. In this paper building the optimal portfolio on the Russian stock market with application of the Elton-Gruber-Padberg algorithm is investigated. This algorithm makes it possible not only to calculate the weights of securities in the portfolio, but also to determine by Treynor ratio the shares of which companies from the total sample have to be the part of the portfolio. Within the framework of this project several portfolios are formed taking into account both long and short sales and followed by the application of active and passive management strategies. The obtained results allow to make a conclusion about the effectiveness of the EGP algorithm on the Russian stock market.
 
Anna Malova
Thesis Advisor: Ksenia Panidi
The Effect of Social Skills on The Link Between Volunteering and Income
In this research I study the interaction of social skills gauged by means of five personality traits, hours spent on performing unpaid work, and the income level. I suggest a way to separate those volunteers who are guided by the consumption model from those guided by the investment one on the grounds of their charitable money donations. I assume that the consumption theory driven volunteers also contribute to society through money donations, while the investment specification driven volunteers do not give their money to charity. The results of the probit regressions suggest that volunteers of different motivations are indeed driven by different personal characteristics: consumption volunteers are extraverted and organized, while investment volunteers are agreeable. Further analysis is conducted using the two-stage least squares regression, since the usage of the Heckman-correction model was empirically proved to be unnecessary. The analysis demonstrated that investment volunteers have their average income level shifted downwards if measured in the same year, thus confirming the idea that to have higher income in the future they pay more attention to volunteering today. Also, consumption volunteers perform unpaid work more if they have very high or very low income level due to income and substitution effects. The most important fact is that volunteering is not paid out in the future under either specification, although it is fair to notice that in the investment model people do obtain higher wage rates due to several personality characteristics they possess (agreeableness and organization), while these features are not significant when talking about wages of consumption volunteers.
 
Arshak Minasyan
Thesis Advisor: Vladimir Skpokoiny
Alternating Least Squares in Generalized Linear Models
We derived a convergence result for a sequential procedure known as alternating maximization (minimization) to the maximum likelihood estimator for a pretty large family of models ——- Generalized Linear Models (GLMs). Alternating procedure for linear regression becomes to the well-known algorithm of Alternating Least Squares (ALS), because of the quadraticity of log-likelihood function $L(\bm{v})$. In GLMs framework we lose quadraticity of $L(\bm{v})$, but still have concavity due to the fact that error-distribution is from exponential family (EF). Concentration property makes the Taylor approximation of $L(\bm{v})$ up to the second order accurate and makes possible the use of ALS technique. Moreover, finite sample Fisher expansion was proved for GLMs. Examples and experiments confirm convergence result followed by the discussion of the importance of initial guess.
 
Anna Stepashina
Thesis Advisor: Kantorovich G.G.
The Impact of Oil Prices on the Profitableness of Oil Companies Stocks in Russia
The present study contains an analysis of the crude oil Brent price impact on the Russian stock exchange, in particular on the stock quotes of Lukoil, Gazpromneft, Surgutneftegas, Tatneft, Rosneft companies in the period of 2002-2015, including analysis of subperiods. Stock indexes for Russia (RTS) and the USA (S&P500), exchange rate ruble-US dollar are also included in the model. A literature review on the proposed research question and theoretical background description are provided. In the paper, the following econometric tools are used: augmented Dickey-Fuller test, Johansen cointegration test, vector auto regression (VAR) and vector error correction models (VECM). Additionally, an analysis of periods before and after the 2008 economic crises is conducted. Authors make some conclusions concerning the force of the crude oil prices impact on stock prices of oil companies in Russia. The main result of the study is that the influence of the prices of crude oil on stock quotes is statistically significant for all the companies, except Rosneft. In the case of stock quotes of Rosneft an anomalous behavior and independence from other variables of the model are revealed.
 
Timur Zekokh
Thesis Advisor: Dmitry Malakhov
Testing the CAPM for the Russian Stock Market: A Multivariate GARCH Approach
Calculation of cost of equity is one of the most urgent problems of corporate finance. Even now, the debate continues regarding the accuracy of risk assessment techniques and the construction of the required return models. In this study the classic CAPM, Zero-Beta CAPM, DCAPM, and ECAPM are tested on the Russian stock market for 2006-2015 using the multivariate GARCH model on daily, weekly and monthly returns.
 
Zhiganov Alexander
Thesis Advisor: Menshikov Sergey
Market Over- and Underreaction on News
In this work, the phenomenon of unusual reactions on financial markets is examined. More precisely, the hypothesis of overreaction on Russian financial market is tested; the object of the research is shares prices dynamics of companies that have been included in RTS list for the last 12 years. Methods of testing are connected with CAR and BHR returns and ARIMA-modelling. The resulting hypothesis confirmation is reached with all three methods; the overreaction exists on the market and can be used to obtain above-market benefits by correcting trade strategies. The research has both immediate practical implementations and options for further development.
 
Ivan Aleshko
Thesis advisor: Maria Kokoreva
Capital Structure Choice of Retail Companies in Developed Financial Markets 
A great number of empirical research papers have investigations in relation to capital structure. However, there is no research towards capital structure determinants of retailers. Retail is seen as a quite attractive industry to study. P&L and balance sheet are more visible and, hence, there are less troubles caused by valuation comparing with companies having business focus on services or manufacturing. Also, retail firms provide more opportunities to compare them due to industry specifics.
The paper provides the analysis of capital structure determinants within a dynamic panel data set of 60 retail companies in the USA, Canada and Europe dating 2010-2015. Here we examine support for the trade-off theory and it partially found through the analysis. There is a dynamic partial adjustment model estimated with a two-step system GMM estimator provided by Blundell-Bond.
The results obtained suggest that retailers adjust towards their target capital structure with 41.39% level of speed annually. Overleveraged firms adjust faster than underleveraged and the whole sample suggests the adjustment costs arising from deviating from target to be high. Industry characteristics appear to be significant in terms of influencing on adjustment speed level.

Alexandra Dubynina
Thesis advisor: Marina Kolosnitsyna
Factors of Life Satisfaction in Old Age
Russia, along with many other countries of the world, is experiencing a phenomenon of population ageing. The proportion of the elderly is growing while life expectancy increases and birth rate declines. The population ageing sets a series of social and economic issues faced by modern society. By the same token, this process provides society with plenty of opportunities, the benefits of population ageing may even be used for economic growth. And the economic potential of seniors may be implemented in the most successful way mainly by the life-satisfied elderly.
Thus the aim of the present study is to determine factors of life satisfaction among older people. In order to identify the determinants of life-satisfaction ordered logistic regression model and binominal logistic regression model were estimated using data for the elderly aged 60 years and over from longitudinal study SAGE for Russia. Following results should be mentioned as obtained: life-satisfactions significantly positively correlated with self-rated health status, level of income, education, pension payment, often meetings with friends and feeling of safety at home and outside.

Alexander Levkun
Thesis Advisor: Martin Janssen
A Comparison of Different Multi-object Auctions
In multi-object auctions, a bidder can be guided by desire to substantially raise rivals' costs of obtaining their winning units. In this paper bidding behavior and allocative efficiency are explored under standard and spiteful preferences. Three auction mechanisms are examined: an ascending uniform-price clock auction (clock auction), a combinatorial clock auction (CCA) and Vickrey auction as a theoretical benchmark (VCG). Under standard preferences, the clock auction and CCA (almost always) are inefficient because of demand reduction and demand expansion, respectively. Under spiteful motive, in the clock auction demand reduction aggravates, whereas the allocation becomes more efficient. In VCG-like  mechanisms bidders are able to strategically manipulate the price the rival pays for her winning units.

Kirill Ponomarev
Thesis advisor: Oleg Zamulin
Comparison of the Effect of Oil Price Depreciation on the Russian Economy in 2008 and 2014
This paper compares two recessions of 2008-2009 and 2014-2015 which Russian economy recently faced. They brings a lot of questions. The paper considers the impact of terms of trade shocks on the economy's performance under different exchange rate regimes. A scenario analysis shows that floating exchange rate regime mitigates the impact of the shocks and allows Russian economy to adjust to these shocks better.

 Anna Tereshchenko
Thesis advisor: Anastasia Stepanova 
Corporate Governance, Insider Ownership and Risky Investments in R&D Projects: Developed and Emerging Markets
In the research we studied the influence of corporate governance and insider ownership on corporate risky R&D investment intensity. We analyzed companies from pharmaceutical and biotechnological industries because risky investments are extremely important in these sectors. Empirical evidence shows that corporate governance factors and insider ownership influence risky R&D investments in a different way in developed and emerging markets.  Proportion of independent directors is associated with lower R&D investment intensity in developed markets. As R&D investments are extremely high in developed markets, we suppose that overinvestment problem can exist. Thus, better corporate governance can decrease the investments closer to optimal level. In emerging markets proportion of independent directors positively connected with R&D investments. Such results can be explained by the fact that independent directors monitor risk-averse managers that underinvest in risky, but perspective projects. CEO-Chairman separation does not significantly influence R&D investments. This result can be achieved because personal characteristics of managers are different and there is no clear pattern of the separation effect. We can also suppose that both CEO and Chairman of the Board tend to be rather risk-loving in pharmaceutical and biotechnological industries, and separation have no effect on risky investments.  Insider ownership also have no significant influence on R&D investments. Such result can be explained by the fact that not all the insiders can influence investment process. Moreover, beneficial owners can lack industry specific knowledge that allow them to monitor the process.  Analysis also shows that companies with higher proportion of independent have more collaborations with scientific institutions in emerging markets. In developed markets these factors are not connected.
 
Undergraduate program in Economics Research Papers, class 2015 
 
During the last term of study at the Faculty of Economic sciences all students, including undergraduates are required to write and present their research thesis. This, along with certain number of credits and courses is a graduation requirement. Here at this page we list examples of undergaduate students' theses that illustrates the diversity of research opportunities at the Faculty of Economic Sciences. 

Andrej Zubanov
Thesis Advisor: Leonid Polischuk
Incentives to Contribute to Club Goods
The paper describes an economy with one club and a congestible club good which is produced from voluntary donations of club members and enjoyed by club members only. Agents in the economy are heterogeneous in their value of the club good. We show that in such an economy multiple equilibria are possible and a membership fee, which are withdrawn from the economy, may have a positive impact on the number of contributors and can improve the volume of donations. The effect is attained because membership fees make agents who value the collective good less stay out of the club, hence, preventing crowding and improving incentives of club members to donate. Thus, membership fees help to mitigate the free-rider problem in heterogeneous clubs with a congestible club good.

Yana Myachenkova
Thesis Advisor: Anton Suvorov
The Effect of Rewards on Intrinsic and Extrinsic Motivation
Does positive feedback lead to deterioration in the next performance and in order to achieve the best possible outcome one should opt for using negative incentive instruments? This paper analyzes which policy of reinforcement is the most efficient with the use of agent principal game. The experimental design includes different possibilities for the principal to motivate the agent. It is shown that being rewarded boosts personal motivation to invest more efforts in the future, while negative feedback has no significant impact on the future efforts. However, after receiving positive feedback the agent’s performance level is more likely to be lower due to the "regression to the mean" effect. The results also show that a propensity to send good or bad messages significantly influences the information revealed.
 
Joint HSE NES Program in Economics Reseach Papers, class 2017
During the last term of study at the Faculty of Economic sciences all students, including undergraduates are required to write and present their research thesis. This, along with certain number of credits and courses is a graduation requirement. Here at this page we list examples of undergaduate students' theses that illustrates the diversity of research opportunities at the Faculty of Economic Sciences. 

Nikolai Avkhimovich

Mega-events Prefer Autocracies: Evidence from the Olympic Games

Thesis advisor: Konstantin Sonin

Maria Aralkina

Digital Piracy in Russia: the Influence of New Legislation on Music Industry

Thesis advisor: Andrey Bremzen

Alexander Dorofeev

The Fox News Effect Revisited: Reverse Effect of Biased Media Persuasion

Thesis advisor:  Enikolopov Ruben Sergeevich

Anton Kozyrin

Are Professional Athletes Overpaid? The Case of National Basketball Association

Thesis advisor:  Gyunesh Gokmen

Konstantin Kravtsov

Do Stock Market Valuations Predict Future Returns or Corporate Earnings in Emerging Market Economies With High GDP Growth?

Thesis advisor:  Patrik Kelli

Andrey Kurbatov

Experts' reputation concerns and information sharing.

Thesis advisor: Sergey Stepanov

Ilya Lukibanov

Optimal Alcohol Policy

Thesis advisor:  Yevgeny Yakovlev

Alena Malyshkina

Till Lawsuit Do Us Part: Variations in Child Support Legislation and Labor Force Participation

Thesis advisor:  Andrea Matranga

Ilnura Mukhamedzhanova

Anti-Imperialism as a Political Strategy

Thesis advisor: Konstantin Sonin

Danila Smirnov

Local Demographic Transition and Distant Region Development. Case of Russian Monasteries

Thesis advisor:  Andrea Matranga

Ekaterina Smyk

Can Overvalued Factor Strategies Predict Returns?

Thesis advisor:  Shibanov Oleg Konstantinovich

Sergey Steblev

Was The Federal Reserve More Passive at The Zero Lower Bound?

Thesis advisor:  Duglas Campbell



Joint HSE NES Program in Economics Reseach Papers, class 2016
Artem Akselrod
Thesis Advisor: Natalya Volchkova
The Impact of Exchange Rate Change on Exporters Behavior
This paper examines firm export behavior under exchange rate changes depending on import share in its total costs. Export and import real effective exchange rates for more than 80 industries are created on the basis of Russian State Customs Declarations for  2008-2011. Using estimator which allows to control for fixed effects and error clustering the paper finds that firms with high import shares in total firm costs weaker adjust volume of export in total firm revenues in response to exchange rate change. Firm productivity is found to have positive influence on firm export share. Robustness checks with different approaches to estimation confirm results of the main estimation.

Anastasia Andreeva
Thesis Advisor: Oleg Shibanov
Construction of the Optimal Portfolio from Russian Assets
This paper presents the first comprehensive empirical study on the optimal investment portfolio construction in the Russian market. I construct ten optimal portfolios for the period 2007-2016 from stocks, bonds and Exchange Traded Funds traded on the Moscow Exchange. I consider the liquid, inexpensive, alive, long-existing assets with no zero historical quotes. Only the assets available to ordinary Russian investors with the wealth of at least 100 000 rubles are included in the analysis. The research is based on the Modern Portfolio Theory, and the Sharpe ratio is the base performance measure. This core model has several extensions to validate the results. The most important extension consists in the introduction of the realized returns. The ex ante optimal portfolios constructed in this paper outperform the MICEX index even after the transaction costs are added. The ex post portfolios outperform the market mostly when the latter rises. Both ex post and ex ante portfolios generally outperform the naive strategy and confirm the improvement of the performance when the ETFs are added.

Pavel Bacherikov
Thesis Advisor: Oleg Shibanov
Does It Pay to Pay Your Fund Manager? New Evidence on Side-by-side Management and U.S. Alternative Mutual Funds
The paper investigates the impact of simultaneous management of hedge funds and U.S. alternative mutual funds (a practice known as side-by-side management) on the risk-adjusted performance of the latter. Using a unique dataset, resulted from merging Lipper and Morningstar’s hedge fund databases with CRSP and Morningstar’s on-shore mutual fund databases, and subsequent matching with corresponding mandatory SEC filings, I find that mutual funds, managed side-by-side with hedge funds by individual fund managers, significantly outperform their unaffiliated peers by 1.6 to 2.76 pp. annually. Moreover, the positive effect persists even after the abolishment of side-by-side affiliation, suggesting that the detrimental impact of managers' favoritism is of no concern for mutual fund investors. Besides, there is also evidence that mutual funds with higher inflows are more likely to continue being side-by-side affiliated, whereas those operating within larger families (in terms of total net assets) are less likely to continue as side-by-side managed.

Anastasiia Bochkovskaia
Thesis Advisor: Shlomo Weber
The Impact of Languages’ Grammatical Structure on Regional Economic Development
There are more than 7,000 living languages in the world. Starting from Edward Sapir and Benjamin Lee Whorf, scholars were determined to explore the ways in which numerous differences in languages influence thinking and habits of their speakers. Vocabulary, speech rate, the direction in which the language is written were listed as potential sources of behavioral distinctions among nations. In addition to these dissimilarities, languages vary grammatically in terms of the word order they employ. In this paper, I explore the link between this language feature and regional economic development. I argue that different behavioral patterns emerge, leading nations to different economic outcomes, depending on whether a language has a preferred word order, and which of the three components – subject (S), object (O), or verb (V) – it puts in the first place in a sentence. I find that countries which speak languages with no dominant order exhibit higher levels of GDP per capita, although for official languages, SVO or SOV order is more preferable. This result is consistent with recent psycholinguistic findings. Finally, I conduct a robustness check using another proxy for the economic development – nighttime lights visible from space obtained from the Defense Meteorological Satellite Program’s Operational Linescan System (DMSP-OLS). However, after controlling for the historical relatedness of languages, results become statistically insignificant.

Ksenia Cherepnina
Thesis Advisor: Ksenia Panidi
If I Were You: Self-Other Differences in Risk Taking
People who aren’t directly affected by the outcome of their actions take many social and economic decisions.  Such decisions do usually involve some level of risk and uncertainty that hinders decision-making. The milestone here is that subjects’ decisions on behalf of stakeholders do not necessarily match the ones taken for self. The experimental estimation of reasons behind self-other discrepancies in risk taking is the core issue of this paper. Here I show that on average risk-averse people take higher risks when managing someone else’s money, while risk-seeking subject’s behavior remains unclear. Risk attitudes differences between beneficiary conditions could be explained by loss and inequity aversion. Decreased loss aversion partially accounts for rise in risk-taking in loss domain. Moreover, the majority of participants are also motivated by fairness considerations. Sensitivity to differences in wealth compensate the effect self-other bias has on risk aversion – inequity aversion makes people less risk seeking when managing someone else’s money.  Overall, results demonstrate that beneficiary has strong effect on risk attitudes. Moreover, loss and inequity aversion influence the differences in risky behavior on behalf of other. I anticipate this study as a starting point for further research on self-other bias.

Nadezda Kotova
Thesis Advisor: Andrei Savochkin
Preferences for Fair Wage Distribution
What is the effect of workers' beliefs about fairness on the contracts structure and internal organization of the firm? This study considers agents who perceive the difference in outcomes to be unfair if it comes from pure luck and not their effort. I propose a way to incorporate such agents' concerns into a microeconomics model of the principal-agent type. I consider a setup with one principal and two agents, who are allowed to be heterogeneous in their tolerance towards unfairness. Then I derive the optimal contract and optimal allocation of tasks, which are different in their noisiness. The results show that the principal's surplus is higher when the more tolerant agent works on the task with less noise in the output. I also find that if the difference in the agents' tolerance is large, the more tolerant agent receives higher wage and prefers to work in pairs versus working alone.

Evgeniya Kudinova
Thesis Advisor: Sergey Stepanov
Directors' Reputation Concerns and Decision-Making in Corporations  
This paper studies the effects of the board of directors’ reputation concerns on corporate decision-making. I show that in the absence of any conflict of interest between the manager and shareholders, board’s reputation concerns may harm the firm value through the board’s reluctance to reverse bad projects. However, if the manager’s interests are significantly misaligned with the shareholders’ ones, the reputation concerns may have both positive and negative effects. The negative effect arises from the manager exploiting the board’s unwillingness to reverse bad projects. The positive effect is that the board’s reputation concerns may discipline the manager through demanding a credible proof of the project’s quality from him. I show that the negative effect is more likely to prevail when the board’s reputation concerns are high and the manager’s misalignment is particularly strong. In such a case, the board’s commitment to not interfere in the initial decision-making, while keeping the right to reverse projects at a later stage, increases the firm value by eliminating the impact of reputation.

Ivan Mozharov
Thesis Advisor: Sergey Stepanov
Venture Capitalist Reputation and Portfolio Company Operating Performance
This paper studies the relationship between Venture Capitalists (VCs) reputation measures and a portfolio company’s operating performance. Extending previous studies focused on Return on Assets (ROA) as an operating performance measure, I study ROA drivers: profitability and revenue generation. Using three measures of reputation, I found that reputable VCs are positively associated with a portfolio company’s profitability and revenue generation in the pre- and post-IPO periods. Importantly, I demonstrate that reputable VCs bring value to their portfolio companies by relatively more relying on profitability over revenue generation than less reputable VCs in the pre-IPO period. Positive association of VC reputation with operating performance measures and reliance on profitability over revenue generation stays significant after controlling for VCs’ industry selection skills and self-selection bias, which appeared to be non-significant in my sample. My findings shed more light on a multidimensional impact of value-added activities across reputable and non-reputable VCs and help entrepreneurs better understand value propositions of each VC in a syndicate.

Roman Reshetnev
Thesis Advisor: Oleg Shibanov
Interaction between US and BRICS' Stock Markets: Does the Collapse of Stock Indices in 2015 Cause the Change of Mutual Influence?
This paper explores the interaction between the US, Chinese and other BRICS’ stock markets during the last two decades and the last two years in particular. A majority of previous studies did not identify any substantial increase of the influence of emerging stock markets on US’s ones. However, the collapse of stock indices in 2015 and overall negative effects of growth deterioration in China made me think about possible turnaround point in such a relationship. I conduct the research applying such methods as Granger-causality test, Quandt-Andrews breakpoint test and regression analysis. According to my results, refocusing influence is not observed between the US and China: trading results in China do not significantly affect returns of the US’s indices. The results for other BRICS countries generally turned out to be hard to interpret. Concluding the paper, I point out that the influence of China on developed markets could still grow decently in the near future, backed by its increasing integration into the global financial markets.

Vakatova Irina
Thesis Advisor: Alexey Zakharov
To Shoot or Not to Shoot? Modeling Incentives of Agents in Gun-Free Zones
This is a work on the topic of gun-free zones and their influence on social welfare and public safety, particularly concerned about the US situation. The game-theoretical approach is taken to model the interaction between the law-abiding citizen inside the institution (referred as Student) and potential shooters (referred as Criminal) under both shall-carry laws and gun-free zone implementation on campus, with Social Planner to decide on which option to choose between these two based on social welfare. The results showed the probability of attack on Students to increase with the shift from shall-carry laws to gun-free zone. Almost under no circumstances is that beneficial for Planner to implement the gun-free zone, particularly, in mixed-strategy equilibrium, the one most resembling the real-world situation, it's strictly beneficial for society to guarantee licensed individuals the right to carry weapons for self-protection. Policies affecting the Criminal’s costs in case of an armed attack are found the best to be chosen to both decrease the probability of attack and increase social welfare, while the ones targeting availability of firearms in general seem to produce the opposite effect.

Timofey Volozh
Thesis Advisor: Ksenia Panidi
Goals as Reference Points: a Behavioural Model of Crowdfunding
It is well-known that humans and animals experience an increase of motivation while approaching their goal (Kuppuswamy, Barry, 2015). The funding dynamics of reward-based crowdfunding projects is a convincing evidence for this phenomenon. Thus, according to Kickstarter official statistics, backers (i.e. investors) tend to support a project a lot at its launch and right before its finish, whereas in the middle of a project there is a significant decrease of the number of pledges. In this paper I try to explain this U-shape pattern through presenting a behavioral model of crowdfunding with backers perceiving monetary project goal as a reference point and experiencing emotional loss in case the goal is not reached.

Mikhail Butkov
Thesis Advisor: Dmitry Makarov
Dynamic Competition of Retail and Institutional Investors: Pricing and Volatility
Asset pricing theory offers a number of theoretical models focusing on competition between retail investors on financial markets. However, due to the rapid development of financial markets the institutional trading activity becomes more and more prominent today. In this paper, I examine the fundamental factors influencing the variance of price of a risky asset when both institutional and retail investors are engaged in trading activity. As a result, I have concluded that that the variation of a price is negatively correlated with the risk aversion of small and institutional investors, but positively with the number of large investors engaged in trading activity, as well as with their relative bias parameter and the difference between the expected payoffs of the final dividends. I argue that on the markets, where institutional investors scantly take into account the success of its peers, the variance of stocks would be lower than on those markets, which are populated entirely with small investors.

Yulia Zhestkova
Thesis Advisor: Konstantin Sonin
Catch Me if You Can: Election Manipulation in Non-democracies
Election manipulations are often considered as an integral part of non-democracies and an essential procedure for an incumbent who wants to stay in power. This paper is based on the fact that an incumbent in non-democratic countries has a more effective and durable source of power – political terror. Using a theoretical model, I show that repressions and election fraud appear to be substitutes rather than complements and explore how the effect of political terror accumulates over the time, making election manipulations excessive. The empirical part of the paper exploits the data of election monitoring missions from 1960 to 2014 and shows that a unit increase in political terror scale raises the probability of election fairness by 11 percentage points. Using random forest algorithm, I show that systematic political terror as a method of securing elections' results is mostly used in hybrid regimes. Though a presence of Western observers on elections plausibly affects democratic transitions in many countries, their estimates of election fairness often do not tell much about the real level of democratic development.

Ilya Kozis
Thesis Advisor: Konstantin Sonin
Brain Drain in Non-Democratic Regimes
Empirical studies suggest that human-capital formation is one of the determinants of economic growth. However, there political aspects of human-capital formation are largely neglected in theoretical literature. In my paper, I am trying to incorporate possibility of into model of authoritarian regime, presented in the seminal book of Daron Acemoglu and James Robinson ``Economic origins of dictatorship and democracy.’’ In particular, I use a model with three income groups, where elites dictate their policy to other citizens, while poor and middle class, the latter is also considered to be educated and has a non-negative impact on income of all citizens, can undertake a revolution. Besides that, educated group can also choose to migrate. Presented model, unlike already existing, reflects very well such events as Huguenot Exodus from France in 1685, and Expulsion of Jews from Spain in 1492. Also, I was able to show, that , as a result of more redistributive policy, rather than the ideal policy of elites, is more likely to happen in societies, where inequality between poor and rich is larger.

Evgeni Serebryakov 
Thesis Advisor: Stanislav Khrapov
Prediction of Jump Intensity in Stock Price Dynamics
Here I tried to improve stock volatility prediction with prediction of size and density of price jumps for some stocks. I found several models those predicted jumps better than historical mean. I found that best parameter for jump quantity prediction is term spread. Best parameters for prediction of jumps’ sizes are default spread and last month S & P 500 return. The list of models for predictions is not extensive, which leaves space for future researches.

Alexander Tsyba
Thesis Advisor: Andrei Bremzen
The Effect of Heavy Rail Transit on Socioeconomic Indicators of a City
The purpose of this paper is to analyze rapid heavy-rail systems in largest world cities as graphs (mathematical objects) and to find out whether the complexity of the system influences city socioeconomic indicators as GMP (gross metropolitan product), employment and other variables. The main hypothesis is that well-developed systems are able to decrease transaction costs for a vast number of economic agents in the city and thus increase productivity of the economy. In order to support the hypothesis, I construct 50 graphs based on subways of largest world cities, calculate indices that reflect the complexity of their structure and apply regression methods with inclusion of instrumental variables in order to find relationship with socioeconomic variables. I find that complex systems lead to higher GMP, employment and city’s position in Innovation Cities Index with highly significant coefficients and then conclude that rapid rail transit systems development is one of the integral steps in city development

Telman Shagants
Thesis Advisor: Olga Kuzmina
Does Increased Gender Diversity Produce More Effective Boards of Directors? Evidence from the UK
This paper is devoted to an analysis of the relationship between gender diversity of corporate boards of directors and firm performance, as measured by Tobin's Q. Despite the significant amount of research conducted on this issue, the causal inference is extremely difficult to obtain due to the problem of endogeneity. In this paper I explore the introduction of female gender quotas in the UK in 2010 to extract the impact of exogenous changes to the boards mandated by the quota. By introducing a new instrumental variables approach employing regression discontinuity design, I demonstrate that the increased participation of females in corporate boards could have resulted in a positive impact on firm value. The results call for a closer attention to the problem of women inclusion in boards of directors and inform about the potential benefits which could be obtained by the firms.
 
Joint HSE NES Program in Economics Research Papers, class 2015
 
During the last term of study at the Faculty of Economic sciences all students, including undergraduates are required to write and present their research thesis. This, along with certain number of credits and courses is a graduation requirement. Here at this page we list examples of undergaduate students' theses that illustrates the diversity of research opportunities at the Faculty of Economic Sciences. 

Tamara Arutyunyan 
Thesis Advisor: Paul Dower
The impact of legalizing prostitution on life expectancy and sexual violence
Does legalizing prostitution increase life expectancy and decrease sexual violence? In order  to answer this question I estimate the impact of legalizing prostitution on life expectancy using a panel data set covering 166 countries from 1995 to 2009. I also prepare a case study of Denmark, Germany, the Netherlands, Norway, and Sweden in order to investigate the  effect of legalization on sexual violence. I employ a number of panel data techniques, from the instrumental variable analysis to the synthetic control method. The empirical analysis shows that legalizing prostitution increases life expectancy and decreases the number of reported rape offenses after accounting for other factors. The paper innovates by collecting and aggregating the data on sexual violence in the five countries and studying the link between legalizing prostitution and life expectancy.

Stepan Averin
Thesis Advisor: Patrick Kelly
Default spread as a predictor for European equity market returns
In this paper I study the forecasting properties of the default spread in the Eurozone, the United Kingdom and Germany. This study builds on the findings of Fama and French (1989) and Keim and Stambaugh (1986) that analyze the United States stock market to show that the default spread is able to partly explain future excess equity market returns. The key novelty of this research is that it is primarily focused on the European markets. In this work I present the evidence that there exists a market-based default spread measure in the Eurozone that performs no worse than the US measure. The study of the UK and German markets discovers an unexpected relationship between the default spread and equity market returns that lays the groundwork for further research in the field.

Dmitry Bazarov
Thesis Advisor: Oleg Shibanov
How Counterparty Risks Affect ETF Performance?
Exchange-traded funds (ETF) often don’t exactly match their benchmark returns due number of reasons. Focus of this study is to look at what framework typical passive investor should use in order to identify the most efficient ETF. 
These research analyses asset classes focus of ETF, ETF liquidity, expenses and total net assets size and how these factors affect tracking differences. Apart from that I look at persistency of tracking difference over time.
Result show that ETF deviations are persistent. Deviations are higher when funds have higher expense ratio, low size of total net assets and are focused on non-U.S stock markets.

Alexander Belyakov 
Thesis Advisor: Sergey Stepanov
Corporate Governance during the Global Crisis of 2008-2010
In this paper, I use scores for five corporate governance indicators – audit conflict of interests, board effectiveness, board independence, board committees, and entrenchment provisions – from the Annual Sustainability Assessment by RobecoSAM to study how pre-crisis quality of corporate governance affected share price performance of companies from around the world during the global financial crisis of 2008-2010, and whether companies changed their corporate governance in response to the crisis. I find that companies with more effective boards experienced smaller share price decline during the crisis, and I also find that board independence and entrenchment provisions had a complementary effect: companies with strong boards fell less if they had more antitakeover measures. In the second part of the work, I find that balance of powers between the CEO and the board in companies that fell deeper during the crisis shifted in favor of the board: boards became more independent, and the amount of antitakeover provisions declined.

Guli Kholmatova
Thesis Advisor: Olga Kuzmina
Leverage, Adjustment Costs of Debt and Probability of M&A
The purpose of this study is to explore the relationship between the target capital structure and acquisition choices. I observe whether the deviation from the optimal capital structure, target leverage, affects the probability of a target firm to be acquired. Despite vast amount of research conducted on target capital structure and mergers and acquisitions (M&A), the studies of the overlapping field between the two branches have been relatively few. This paper is the first to investigate how deviations from the target leverage affect the probability of a firm to be acquired. The results of the study imply that deviations from target capital structure do not influence the acquisition strategies of a selling firm. The database used in the research includes all companies from select number of industries covered by S&P Capital IQ platform in the period from 2005 – 2015. Overall, this paper makes a contribution to the research studying the connection between the capital structure and investment decisions.

Radmila Khusainova
Thesis Advisor: Anton Suvorov
May Equity-based Crowdfunding Substitute for Traditional Sources of Early-stage Financing?
The equity-based crowdfunding, or crowdinvesting, has recently been established and rapidly gained a place among the main sources of early-stage financing. The idea is that a large pool of investors gives money in exchange for shares. By the example of two leading UK platforms (CrowdCube and Seedrs), I study how equity crowdfunding works, why individuals invest and why entrepreneurs may prefer one model to another. The paper compares two equity crowdfunding mechanisms: a direct ownership of shares and a nominee structure. I propose a crowdinvesting model, showing that small projects tend to choose a nominee, whilst a direct ownership is better in case of large required capital. In addition to theory, I support results by examining empirical data of successful campaigns. Conclusions of the paper may have implications for potential owners of the platforms. This contribution may be also applicable to today’s fast-growing industry of equity crowdfunding.

Olga Kvan
Thesis Advisor: Patrick Kelly
Impact of Financial News on the Russian Stock Market
This paper studies the impact of financial news at the Russian stock market. High levels of insider trading lead to high noise levels, which make it questionable whether it is possible to find any effect. Using the stock market returns of companies listed on MOEX and data on their financial news, I find that the days with news events predict higher volume-induced momentum over subsequent 10 days. At the same time, correlation between turnover and absolute returns is higher before the day of the event than at day 0.

Antonina Lyakh
Thesis Advisor: Grigory Kosenok
Maximum Profit Continuous Reaction Functions Maintaining Tacit Collusion in Infinitely Repeated Games
This paper examines tacit collusion considering two firms which compete on a differentiated product market for an infinite number of periods. The general punishment strategy which is a function of firms’ prices in the previous period is analyzed. The subgame perfect strategy that gives to the firms a higher profit compared to the price-matching strategy is provided. 

Anna Markova
Thesis Advisor: Russell Pittman
Ownership Concentration and Corporate Performance
In this paper I examine the relationship between ownership structure, specifically ownership concentration and the type of the largest shareholder, and corporate performance. I use panel data for Finland and Sweden from the Thomson ONE database for the period 2006-2011. I split the period into stable time (2006-7, 2010- 11) and crisis time (2008-9) to capture the difference in the economic landscape. Employing a two step system generalized method of moments I found that concentration is negatively related to corporate performance and family shareholders are positively related to performance in both periods. Foreign corporation shareholders are strongly positively related to Tobin’s Q during stable time, but negatively during the crisis. These results show that the effect of ownership structure on performance depends on the economic environment.

Tatyana Petrova
Thesis Advisor: Andrei Savochkin
The Effect of an External Enemy on the Within-group Cooperative Behavior
In this paper we investigate the relationship of an external enemy and evolutionary stability of generous strategy within the group. We construct a model of the repetitive with probability p game of two agents "prisoner's dilemma". The model is based on the principles of evolutionary game theory, and we assume that all players are programmed to play certain strategies. In each period an agent chooses one of three strategies: generous, neutral or greedy. The strategy depends on the reputation of an opponent. We consider the interaction of the agents in the two cases: in the absence of an external enemy, and with the external enemy group. As a result, we have found that, depending on the parameters, the altruistic strategy is evolutionary stable strategy in the absence of the external enemy. But when the external enemy group appears, the altruistic strategy is not evolutionary stable anymore.

Arseniy Samsonov
Thesis Advisor: Konstantin Sonin
Why do Dictators Prosecute Minorities?
Under autocracy people are often prosecuted because of their ethnicity, religion or sexual orientation. In this paper I present two models that explain this phenomenon. My first approach is close to that of “Economic origins of dictatorship and democracy” by Daron Acemoglu and James Robinson. Specifically, I analyze a society that consists of three types of voters and has to choose two policies, one of which is the tax rate and the other is minority rights. In the case of democracy policies are chosen sequentially by a parliament, while in a dictatorship they are selected by a ruler who maximizes the utility of one of the voter types. In both cases a revolution threat exists. I show under which conditions the dictator chooses lower minority rights than a democratic parliament. The other approach is to model the division of resources in a society using cooperative game theory. I represent democracy as a game where the division of resources is decided by majority vote, while in a dictatorship it is determined by mutual threats of repression and civil war. Using the Shapley value as a solution concept, I show that democracy always yields a higher payoff for the smallest group in the society than a dictatorship.

Dmitry Sorokin 
Thesis Advisor: Ruben Enikolopov
Political Budget Cycles in Russia: a Microdata Approach
This paper studies cycles in total procurement expenditures, average prices of contracts and number of contracts placed in different regions of Russia in the face of noncompetitive governor and parliament election using a detailed dataset on all procurement contracts placed in Russia in the period from January 1, 2011 to January 31, 2015. In countries with high level of corruption it is insufficient to look at total expenditures in search of cycles as politicians have incentives to enforce lower corruption in procurements before election, which leads to lower prices and ambiguous behavior of total expenditures. I find that average price, number of contracts, amount of suspicious procurements and their prices tend to increase before governor elections. Surprisingly, the number of contracts doesn't change a lot in front of parliament election while prices exhibit strong declines. I also test whether a change of governor leads to cycles in expenditures but find little evidence of such cycles.

Alisa Tizik 
Thesis Advisor: Ksenia Panidi
The Impact of Social Media on Physical Activity 
Abstract In this paper I study the effect of social media on humans’ physical activity. Published studies in Behavioral Economics show that observing the behavior of peers makes individuals more likely to resist the temptation to give up early. As social media enables observing peers’ behavior, we may expect the same influence from it. There is wide medical and psychological evidence that social media may positively influence physical activity by acting as a commitment device, as a plan of actions and as a peers’ network. However, little is known about this influence. This paper is aimed to shed some light on these questions. By applying various econometrics technics (OLS, IV, Probit and Ordered Probit, Heckit, Multinomial Logit) to the analysis of the survey data I come to the conclusion that there is a positive link between social media usage and sports activity. Moreover, males and those who state that self-control is unimportant in their lives, experience a greater effect of social media on their sports activities. In addition, I find that social media may help to be consistent with socially respected activities (reading books and doing sports), while helping to get away from not socially respected activities (watching TV). These findings suggest that social media can play at least three roles in increasing the time spent on sports: informational, motivational and a role of commitment device.

Ekaterina Zaytseva 
Thesis Advisor: Sergei Izmalkov
Factors Determining Domestic Box Office in Russian Motion Picture Industry
I examined performance of movies produced and released in Russia in years 2011-2014 in order to understand which factors affect weekly box office dynamics in Russian motion picture industry. Logarithm of first week box office and decay rate were used to described weekly box office dynamics. Regression results demonstrated that movie budget, familiarity with the story, presence of stars, New Year week and pre New Year week releases, and distribution by any of the top distributors have positive effect on the box office. It was established that high quality of the movie slows down the rate at which the weekly box office declines while distribution by any of the top distributors and the release a week before New Year speed it up. I have used two measures of competition – concentration ratio and number of long anticipated foreign movies released. While concentration ratio managed to demonstrate negative relation between level of competition and first week box office, competition from foreign movies failed to do so due to highly strategic behaviour of Russian distributors.

Undergraduate Program in Economics and Statistics  Research Papers, class 2017

Aleksey Balukhtin

Study of the Interrelation Between Innovation Development and Quality of Life

Thesis advisor: Marina Arkhipova

 

Anna Beketova

Analysis of the Relationship Between Foreign Investment and Macroeconomic and Stock Market Indicators

Thesis advisor: Tatiana Sokolova

 

Evgeny Ivanov

Statistical Research of Esports Industry

Thesis advisor: Viacheslav Sirotin

 

Tatiana Klyueva

Statistical Analysis of the Employment in Russia

Thesis advisor: Ekaterina Astafyeva

 

Kirill Kucherenko

The Factors of Participation in Job Related Training for Older Workers

Thesis advisor: ergey Roshchin

 

Kseniia Petrukhina

Statistical Analysis of Infant Mortality

Thesis advisor: Elena Kopnova

 

Maria Senatova

Population Behaviour in the Credit Market in Russia

Thesis advisor: Viacheslav Sirotin


Artem Akselrod

Natalya Volchkova

The Impact of Exchange Rate Change on Exporters Behavior


This paper examines firm export behavior under exchange rate changes depending on import share in its total costs. Export and import real effective exchange rates for more than 80 industries are created on the basis of Russian State Customs Declarations for  2008-2011. Using estimator which allows to control for fixed effects and error clustering the paper finds that firms with high import shares in total firm costs weaker adjust volume of export in total firm revenues in response to exchange rate change. Firm productivity is found to have positive influence on firm export share. Robustness checks with different approaches to estimation confirm results of the main estimation.



Anastasia Andreeva

Oleg Shibanov

Construction of the Optimal Portfolio from Russian Assets

This paper presents the first comprehensive empirical study on the optimal investment portfolio construction in the Russian market. I construct ten optimal portfolios for the period 2007-2016 from stocks, bonds and Exchange Traded Funds traded on the Moscow Exchange. I consider the liquid, inexpensive, alive, long-existing assets with no zero historical quotes. Only the assets available to ordinary Russian investors with the wealth of at least 100 000 rubles are included in the analysis. The research is based on the Modern Portfolio Theory, and the Sharpe ratio is the base performance measure. This core model has several extensions to validate the results. The most important extension consists in the introduction of the realized returns. The ex ante optimal portfolios constructed in this paper outperform the MICEX index even after the transaction costs are added. The ex post portfolios outperform the market mostly when the latter rises. Both ex post and ex ante portfolios generally outperform the naive strategy and confirm the improvement of the performance when the ETFs are added.


Имя и Фамилия: Pavel Bacherikov

Руководитель: Oleg Shibanov

Название: Does It Pay to Pay Your Fund Manager? New Evidence on Side-by-side Management and U.S. Alternative Mutual Funds.

Абстракт: The paper investigates the impact of simultaneous management of hedge funds and U.S. alternative mutual funds (a practice known as side-by-side management) on the risk-adjusted performance of the latter. Using a unique dataset, resulted from merging Lipper and Morningstar’s hedge fund databases with CRSP and Morningstar’s on-shore mutual fund databases, and subsequent matching with corresponding mandatory SEC filings, I find that mutual funds, managed side-by-side with hedge funds by individual fund managers, significantly outperform their unaffiliated peers by 1.6 to 2.76 pp. annually. Moreover, the positive effect persists even after the abolishment of side-by-side affiliation, suggesting that the detrimental impact of managers' favoritism is of no concern for mutual fund investors. Besides, there is also evidence that mutual funds with higher inflows are more likely to continue being side-by-side affiliated, whereas those operating within larger families (in terms of total net assets) are less likely to continue as side-by-side managed.



Name: Anastasiia Bochkovskaia

Thesis Advisor: Shlomo Weber

Topic: The Impact of Languages’ Grammatical Structure on Regional Economic Development


Abstract: There are more than 7,000 living languages in the world. Starting from Edward Sapir and Benjamin Lee Whorf, scholars were determined to explore the ways in which numerous differences in languages influence thinking and habits of their speakers. Vocabulary, speech rate, the direction in which the language is written were listed as potential sources of behavioral distinctions among nations. In addition to these dissimilarities, languages vary grammatically in terms of the word order they employ. In this paper, I explore the link between this language feature and regional economic development. I argue that different behavioral patterns emerge, leading nations to different economic outcomes, depending on whether a language has a preferred word order, and which of the three components – subject (S), object (O), or verb (V) – it puts in the first place in a sentence. I find that countries which speak languages with no dominant order exhibit higher levels of GDP per capita, although for official languages, SVO or SOV order is more preferable. This result is consistent with recent psycholinguistic findings. Finally, I conduct a robustness check using another proxy for the economic development – nighttime lights visible from space obtained from the Defense Meteorological Satellite Program’s Operational Linescan System (DMSP-OLS). However, after controlling for the historical relatedness of languages, results become statistically insignificant.




Ksenia Cherepnina

Руководител: Ksenia Panidi

Название: If I Were You: Self-Other Differences in Risk Taking


Абстракт: People who aren’t directly affected by the outcome of their actions take many social and economic decisions.  Such decisions do usually involve some level of risk and uncertainty that hinders decision-making. The milestone here is that subjects’ decisions on behalf of stakeholders do not necessarily match the ones taken for self. The experimental estimation of reasons behind self-other discrepancies in risk taking is the core issue of this paper. Here I show that on average risk-averse people take higher risks when managing someone else’s money, while risk-seeking subject’s behavior remains unclear. Risk attitudes differences between beneficiary conditions could be explained by loss and inequity aversion. Decreased loss aversion partially accounts for rise in risk-taking in loss domain. Moreover, the majority of participants are also motivated by fairness considerations. Sensitivity to differences in wealth compensate the effect self-other bias has on risk aversion – inequity aversion makes people less risk seeking when managing someone else’s money.  Overall, results demonstrate that beneficiary has strong effect on risk attitudes. Moreover, loss and inequity aversion influence the differences in risky behavior on behalf of other. I anticipate this study as a starting point for further research on self-other bias.


Имя: Nadezda Kotova

Руководитель: Andrei Savochkin

Название: Preferences for Fair Wage Distribution

Abstract: What is the effect of workers' beliefs about fairness on the contracts structure and internal organization of the firm? This study considers agents who perceive the difference in outcomes to be unfair if it comes from pure luck and not their effort. I propose a way to incorporate such agents' concerns into a microeconomics model of the principal-agent type. I consider a setup with one principal and two agents, who are allowed to be heterogeneous in their tolerance towards unfairness. Then I derive the optimal contract and optimal allocation of tasks, which are different in their noisiness. The results show that the principal's surplus is higher when the more tolerant agent works on the task with less noise in the output. I also find that if the difference in the agents' tolerance is large, the more tolerant agent receives higher wage and prefers to work in pairs versus working alone.



Evgeniya Kudinova

Sergey Stepanov

Directors' Reputation Concerns and Decision-Making in Corporations  

Abstract

This paper studies the effects of the board of directors’ reputation concerns on corporate decision-making. I show that in the absence of any conflict of interest between the manager and shareholders, board’s reputation concerns may harm the firm value through the board’s reluctance to reverse bad projects. However, if the manager’s interests are significantly misaligned with the shareholders’ ones, the reputation concerns may have both positive and negative effects. The negative effect arises from the manager exploiting the board’s unwillingness to reverse bad projects. The positive effect is that the board’s reputation concerns may discipline the manager through demanding a credible proof of the project’s quality from him. I show that the negative effect is more likely to prevail when the board’s reputation concerns are high and the manager’s misalignment is particularly strong. In such a case, the board’s commitment to not interfere in the initial decision-making, while keeping the right to reverse projects at a later stage, increases the firm value by eliminating the impact of reputation.



Name: Ivan Mozharov

Supervisor: Sergey Stepanov, PhD

Title: Venture Capitalist Reputation and Portfolio Company Operating Performance

Abstract:

This paper studies the relationship between Venture Capitalists (VCs) reputation measures and a portfolio company’s operating performance. Extending previous studies focused on Return on Assets (ROA) as an operating performance measure, I study ROA drivers: profitability and revenue generation. Using three measures of reputation, I found that reputable VCs are positively associated with a portfolio company’s profitability and revenue generation in the pre- and post-IPO periods. Importantly, I demonstrate that reputable VCs bring value to their portfolio companies by relatively more relying on profitability over revenue generation than less reputable VCs in the pre-IPO period. Positive association of VC reputation with operating performance measures and reliance on profitability over revenue generation stays significant after controlling for VCs’ industry selection skills and self-selection bias, which appeared to be non-significant in my sample. My findings shed more light on a multidimensional impact of value-added activities across reputable and non-reputable VCs and help entrepreneurs better understand value propositions of each VC in a syndicate.



1) Roman Reshetnev

2) Oleg Shibanov

3) "Interaction between US and BRICS' Stock Markets: Does the Collapse of Stock Indices in 2015 Cause the Change of Mutual Influence?"

4)This paper explores the interaction between the US, Chinese and other BRICS’ stock markets during the last two decades and the last two years in particular. A majority of previous studies did not identify any substantial increase of the influence of emerging stock markets on US’s ones. However, the collapse of stock indices in 2015 and overall negative effects of growth deterioration in China made me think about possible turnaround point in such a relationship. I conduct the research applying such methods as Granger-causality test, Quandt-Andrews breakpoint test and regression analysis. According to my results, refocusing influence is not observed between the US and China: trading results in China do not significantly affect returns of the US’s indices. The results for other BRICS countries generally turned out to be hard to interpret. Concluding the paper, I point out that the influence of China on developed markets could still grow decently in the near future, backed by its increasing integration into the global financial markets.


Vakatova Irina

Alexey Zakharov

To Shoot or Not to Shoot? Modeling Incentives of Agents in Gun-Free Zones


Abstract

This is a work on the topic of gun-free zones and their influence on social welfare and public safety, particularly concerned about the US situation. The game-theoretical approach is taken to model the interaction between the law-abiding citizen inside the institution (referred as Student) and potential shooters (referred as Criminal) under both shall-carry laws and gun-free zone implementation on campus, with Social Planner to decide on which option to choose between these two based on social welfare. The results showed the probability of attack on Students to increase with the shift from shall-carry laws to gun-free zone. Almost under no circumstances is that beneficial for Planner to implement the gun-free zone, particularly, in mixed-strategy equilibrium, the one most resembling the real-world situation, it's strictly beneficial for society to guarantee licensed individuals the right to carry weapons for self-protection. Policies affecting the Criminal’s costs in case of an armed attack are found the best to be chosen to both decrease the probability of attack and increase social welfare, while the ones targeting availability of firearms in general seem to produce the opposite effect.


Timofey Volozh

Ksenia Panidi

Goals as Reference Points: a Behavioural Model of Crowdfunding

It is well-known that humans and animals experience an increase of motivation while approaching their goal (Kuppuswamy, Barry, 2015). The funding dynamics of reward-based crowdfunding projects is a convincing evidence for this phenomenon. Thus, according to Kickstarter official statistics, backers (i.e. investors) tend to support a project a lot at its launch and right before its finish, whereas in the middle of a project there is a significant decrease of the number of pledges. In this paper I try to explain this U-shape pattern through presenting a behavioral model of crowdfunding with backers perceiving monetary project goal as a reference point and experiencing emotional loss in case the goal is not reached.