Эффективность управления пенсионными накоплениями: теоретические подходы и эмпирический анализ
This article is an attempt to review the research results of the seasoned equity offerings (SEO) in the empirical literature. It addresses the widely known SEO phenomena observed in different countries such as announcement effect – negative price reaction to SEO announcement, underpricing of seasoned equity and long-run underperformance of issuing company.
The article contains the data on negative price reaction to SEO announcement and also prescribes the hypotheses explaining this effect: the downward slopping demand curve hypothesis, capital structure hypothesis, transaction cost hypothesis and information hypothesis. The article provides the evidence of the impact of the following factors on announcement effect: the use of proceeds, information releases, equity issue volume, phases of the business cycle, cumulative abnormal stock performance and size of the issue. The article analyses the findings of the study of SEO discounting and the change in average SEO discounts over time as well as the impact of such as factors like exchange of issue, underwriter reputation contained in the academic literature. It also addresses the following hypotheses explaining SEO discount pattern: changing issuer composition hypothesis, leaving a good taste hypothesis, the short-selling hypothesis, increased investment banking power hypothesis. Authors also consider the worldwide phenomenon of long-run underperformance of issuing companies. The article also states various hypotheses that explain this pattern: windows of opportunities and manifestation of misspecified model.
The work contains diagnosing оf the problems in the Russian domestic savings; detailed analysis of 27 foreign pension systems in the world and instruments of development policy in collective investments in the United States, the European Union and the BRICS countries; quantitative study of factors affecting the level of development of pension funds and collective investments in 50 countries.
One of the fundamental concepts of financial theory is to find compromise between risk and return. In the traditional approach to ratio of risk and return - higher yield faces a higher risk. It does not take into consideration the timeframe of investments. Purpose of this article is to analyze the risk-profitability ratio of financial instruments depending on the investment period in developed and emerging markets. The analysis showed that the prolongation of the investment period reduces the risk indicators, and the yield remains almost constant. At long time periods shares indicate higher returns with lower risk.
The paper investigates the optimization methods used by an investor working on the Russian stork market. The efficient sets, corresponding for the two different states of the market (with «moderate» and «rapid» growth rates), are build. The paper denies the necessity of the «deep» diversification of the portfolio on the Russian stork market. Some recommendations concerning the investment portfolio management are formulated.
The paper examines the structure, governance, and balance sheets of state-controlled banks in Russia, which accounted for over 55 percent of the total assets in the country's banking system in early 2012. The author offers a credible estimate of the size of the country's state banking sector by including banks that are indirectly owned by public organizations. Contrary to some predictions based on the theoretical literature on economic transition, he explains the relatively high profitability and efficiency of Russian state-controlled banks by pointing to their competitive position in such functions as acquisition and disposal of assets on behalf of the government. Also suggested in the paper is a different way of looking at market concentration in Russia (by consolidating the market shares of core state-controlled banks), which produces a picture of a more concentrated market than officially reported. Lastly, one of the author's interesting conclusions is that China provides a better benchmark than the formerly centrally planned economies of Central and Eastern Europe by which to assess the viability of state ownership of banks in Russia and to evaluate the country's banking sector.
The paper examines the principles for the supervision of financial conglomerates proposed by BCBS in the consultative document published in December 2011. Moreover, the article proposes a number of suggestions worked out by the authors within the HSE research team.