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Сколько должны стоить финансовые активы? Нобелевские премии по экономике 2013 г.
Экономический журнал Высшей школы экономики. 2014. Т. 18. № 1. С. 160-172.
Gelman S. V., Sprenger C.
This paper reviews the contribution of Eugene Fama, Lars Hansen and Robert Shiller to financial asset pricing research. We show how the Nobel prize winners have changed the approach to asset pricing research, as well as the views of academic economists and investors about price predictability and the risk-return relationship.
Chirkova E. V., Финансы: теория и практика 2011 № 2-3 С. 23,37-39,47
The paper analyses applicability of the market multipliers for the diagnostics of overheating of the stock market and the formation of a financial bubble. Advantages and shortcomings of employed multipliers are discussed Historical averages of multipliers are provided. Examples are given of diagnosing the overvaluation by using the multipliers. The author concludes concludes that the ...
Added: September 24, 2012
Chirkova E. V., Корпоративные финансы 2011 № 2(18) С. 24-32
The paper discusses the negative consequences of financial bubbles and the advisability of their monetary regulation. Pros and cons of possible responces of monetary authorities on the formation of a financial bubble and of possbile behavior of the regulator while a bubble collapses are analysed based on the availability and effectiveness of the regulatory instruments, ...
Added: January 18, 2012
Chirkova E. V., Корпоративные финансы 2010 № 3(15) С. 63-72
The article represents a review of the different theories of financial bubbles developed within modern financial theory. It is a concluding article in a series of three articles devoted to the theoretical foundations of financial bubbles. The previous articles are published in the e-journal The Corporate Finance, vol. 13-14, # 1-3, 2010. ...
Added: October 27, 2012
Chirkova E. V., Вестник Российского государственного гуманитарного университета. Серия: Вопросы образования. Языки и специальность 2010 № 6 С. 241-248
This article presents reflections on the book Glam-capitalism by Dmitry Ivanov where the author develops the concept of the modern society as a society of glam-capitalism in which glamour specifies the universal and fundamental logic of the action. The author of the article discusses such propositions as whether glamour tendencies are universal in modern society, ...
Added: October 21, 2012
Smirnov A. D., Экономический журнал Высшей школы экономики 2010 Т. 14 № 3 С. 275-310
Proposed a model of financial bubbles and crises based upon the methodology of complex systems analysis. The irrationality of financial investors, as it was well known, had been empirically explained by «the greater fool theory». This process, in modern terms, was represented as the autocatalytic process leading to a system's singularity. It was shown how ...
Added: October 13, 2012
Chirkova E. V., Финансы: теория и практика 2012 № 1 С. 79-87
In this article the author analyses the characteristics of the economic assets the most suitable for financial bubbles appearance and the preconditions thereof. The best objects for bubble inflation are the investment assets with long life, rare and hard-to-value objects. The development of the bubbles is frequently based on the «new world» paradigm in its ...
Added: March 20, 2013
Smirnov A. D., Вопросы экономики 2012 № 9 С. 25-40
In the paper some prominent features of a modern financial system are studied using the model of leverage dynamics. Asset securitization is considered as a major factor increasing aggregate debt and hence systems uncertainty and instability. A simple macrofinancial model includes a logistic equation of leverage dynamics that reveals origins of a financial bubble, thus ...
Added: November 14, 2012
Timofeev D. V., Финансовая аналитика: проблемы и решения 2014 № 11(197) С. 48-58
Аt the turn of 2008 Russian banks were traded at hefty P/BV multiples in the range of 3 to 4. That looks like a bubble. This paper is an attempt to reconstruct possible rational logic behind this value which related to a possible real option. Two approaches are employed: decision tree analysis and a binomial ...
Added: October 8, 2014
Chirkova E. V., Экономическая политика 2014 № 3 С. 93-115
In this paper I diagnose the existence of the bubble in the Russian stock market in 2008 by evaluating the preconditions and direct and indirect indications of the stock market bubbles as well as by analyzing the price levels before the market crash. The research has shown that in 2008 in Russia there existed such ...
Added: March 9, 2015
Дранев Юрий Яковлевич, Корпоративные финансы 2012 № 1 С. 33-36
The variance and semivariance are traditional measures of asset returns volatility since Markowitz proposed the market portfolio theory. Well known models for expected asset returns were developed under assumptions of mean-variance or mean-semivariance investor’s behavior. But numerous papers provided arguments against these models because of unrealistic assumptions and controversial empiric evidence. More complicated models with ...
Added: November 16, 2012
Chirkova E. V., Корпоративные финансы 2011 № 2 С. 24-32
The article discusses the negative consequences of financial bubbles and the appropriateness of the monetary regulation thereof. The pros and cons of the monetary authorities' possible responses to financial bubbles and the options for the regulator's behavior during the inevitable collapse of the bubble are analyzed based on the availability and effectiveness of the regulatory ...
Added: October 2, 2012
Nikolaevich Nikolaenko D., Абдухамидов А. В., Управление экономическими системами: электронный научный журнал 2013 № 1
Game-theoretic model of Minsky’s tension is proposed. This model illustrates logic of actions for potential sellers in the context of «animal spirit» of confidence realization and herding behavior for situation when sufficient mass of players has doubts about further market price rise in a period from the end of euphoria until the beginning of panic. ...
Added: March 28, 2015
Aistov A., Kuzmichev K., Финансовая аналитика: проблемы и решения 2013 № 5 С. 36-44
Основная цель исследования состоит в тестировании моделей ценообразования капитальных активов (CAPM, трехфакторной модели Фамы – Френча и четырехфакторной модели Фамы – Френча –Кархарта) на временном интервале с июня 2000 г. по май 2012 г. Авторы приходят к выводу, что на анализируемых данных объясняющая способность модели Фамы – Френча лучше. ...
Added: March 19, 2013
Smirnov A. D., Экономический журнал Высшей школы экономики 2010 Т. 141 № 4 С. 401-439
Proposed a model of financial bubbles and crises based upon the methodology of complex systems analysis. It was shown how the procedures (slice and dice) of a CDO synthesis generated the excess growth of the securitized assets value. The latter being coupled with the high leverage might produce the total collapse of a financial system. ...
Added: October 13, 2012
Smirnov A. D., / Высшая школа экономики. Серия WP2 "Количественный анализ в экономике". 2010. № 03.
Proposed a model of financial bubbles and crises based upon the methodology of complex systems analysis. It was shown how the procedures (slice and dice) of a CDO synthesis generated the excess growth of the securitized assets value. The latter being coupled with the high leverage might produce the total collapse of a financial system. ...
Added: February 12, 2013
Chirkova E. V., Экономическая политика 2010 № 1 С. 81-97
Статья посвящена анализу финансовых пузырей. Автор приводит примеры макро- и микропузырей, дискутирует о том, как можно определить финансовый пузырь, суммирует предпосылки, способствующие надуванию пузыря, а также разбирает признаки его наличия на том или ином рынке. Знание этих признаков поможет решить практическую задачу диагностирования пузыря до того, как он лопнет, что зачастую является нетривиальной задачей. ...
Added: October 23, 2012
Диагностирование пузыря на рынке акций российских телекоммуникационных компаний в конце 1990-х годов
Chirkova E. V., Тихонов А. А., Корпоративные финансы 2014 № 2(30) С. 34-53
In this paper we study the existence of a speculative bubble in the prices of the Russian telecommunications companies in the late 1990-s. In the study we use the regime-switching-type of econometric test that diagnoses the explosive pattern in the stock prices. Tests that compare series of prices and dividends are not applicable because most ...
Added: March 9, 2015
Timofeev D. V., Финансовая аналитика: проблемы и решения 2014 № 22(208) С. 47-58
The article provides an analysis of cumulative US equity value as of February, 2014 by means of Equity Q and CAPE multipliers. These coefficients allowed to identify NASDAQ bubble in the late nineties. Also these multipliers historically helped to predict the subsequent profitability of the equity market, allowing to speak about macroinefficiency. The author reveals ...
Added: October 8, 2014
Tovar-García E. D., Государственный университет Минфина России. Финансовый журнал 2012 Т. 11 № 1 С. 37-48
В статье анализируется влияние финансовой глобализации на финансовое развитие в странах c переходной экономикой. Рассматривается эмпирическое доказательство с новыми показателями, которые лучше отражают теорию и основные понятия. Используется оценка по обобщенному методу моментов для динамических панельных данных. Основной вывод: финансовая глобализация способствует росту рынка ценных бумаг, но не помогает росту кредита и финансовому развитию. ...
Added: May 30, 2013
Ichkitidze Y., Финансы и бизнес 2015 № 2 С. 70-91
В статье исследовано ценообразование на рынке акций в условиях двойственного равновесия между рыночной ценой и внутренней стоимостью, показано возникновение систематического смещения (устойчивого тренда) в результате изменений эволюционного характера. Обоснована эффективность дестабилизирующих спекуляций, рационально объяснён феномен следования за трендом. Сформулированы принципы фундаментального анализа капитальных активов с учётом особенностей рефлексивной модели. ...
Added: December 24, 2016
Chirkova E. V., М. : Кейс, 2010
Detailed discussion devoted to financial bubbles. Both chronological (from 16th century to modern times) and geographical (from Japan to Kuweit and USA) vantage points are considered. Historical facts are also illustrated by their reflection in world literature. Psychological, sociological, economic and financial explanations of bubbles are covered. A theoretical concept of financial bubble is developed ...
Added: March 12, 2014
Dranev Y., Levin A., Kuchin I., Foresight 2017 Vol. 19 No. 6 P. 615-627
Purpose. The purpose of this research is to look at effects of research and development expenditures (R&D) on value and risks of publicly traded companies by studying returns on stock exchanges of R&D-intensive economies (Republic of Korea, Finland, and Israel). Design/Methodology/Approach. Empirical tests of multifactor asset pricing models were applied in order to demonstrate that ...
Added: September 19, 2017
Tovar-García E. D., Ensayos Sobre Política Económica 2011 Vol. 29 No. 66 P. 80-127
This paper shows the empirical evidence about the nexus financial globalization-financial development, and the theoretical relationship between both, because this is important for the process of economic growth and development. A new empirical test is elaborated, with new indicators of financial globalization and financial development closer to theoretical and conceptual framework, and with a different ...
Added: January 23, 2014
Moinak M., Vukovic D., Journal of Economic Structures 2020 Vol. 9:47 P. 1-27
The purpose of the study is to evaluate the role of human asset in frm performance and its implication for frm valuation. To do so a modifed fve-factor model with human asset designed for capturing the size, value, proftability and investment in average portfolio returns that performs better than both Fama–French (1993) threeand Fama–French (2015) ...
Added: July 8, 2020