Феномен экс-дивидендной даты: тестирование аномалии на российском фондовом рынке (часть 1)
This article is devoted to review research in field of payout policy which is widely known as dividend policy among Russian scientists. We structure logical connections among most sufficient papers, devoted to explaining payout policy by signaling theory.
The article describes proposed by the authors methodology of analysis of the Russian mutual funds. The aim of this methodology is to find out how attractive they are to investors and if they are able to provide the possibility of obtaining higher returns with less risk than the market in general. The study determines what type of fund management (active or passive) is more optimal. It also explains the effectiveness of focusing on past performance of the funds for making future investments. In addition, the ability of the management companies to repeat their past results is analyzed. Moreover, it is shown if it makes sense to focus on management companies that achieved the best results in the past while making decisions about future investments. These and other results achieved in this article reveal the features of the Russian market of collective investments and allow investors to form more competent policy of mutual funds’ investments. The methodology proposed by the authors is universal. Its application for the analysis of the other markets of collective investments will allow revealing their features.
The present article is devoted to consideration of investment strategy in stock market. The questions connected with designing of such strategy are systemically considered in it. The emphasis is thus placed on adaptation of the general (managerial) theory of engineering to engineering of investment strategy. Engineering of investment strategy is considered in indissoluble interrelation with the analysis of their typology. The most actual types and directions of engineering of investment strategy are characterized in the conclusion of article.
Дивидендная политика Рынок акций Технический анализ
Ключевые слова: экс-дивидендная дата, падение цены акции, захват дивиденда, налог на прирост капитала, НДФЛ, волатильность
Current article is an overview of models of influence of intellectual capital over the corporate financial decisions, as a main factor, influencing the value of firms. The importance of intellectual capital has dramatically increased with the transition to the knowledge economy. Inclusion of factors of intellectual capital into the models of corporate financial decisions is a way to increase the quality of analysis. Despite the fact that the influence of the intellectual capital on firms and corporate financial decisions in developed markets of the USA and the Western Europe is a proven fact, the evidence from the emerging markets is still scarce. Current researches of corporate financial decisions rarely include intellectual capital as a factor. Current article demonstrates the results of inclusion of these factors. Results of analysis of early works show negative relationship between intellectual capital and both the level of financial leverage and dividend payout ratio. However, more recent research, considering the efficiency of utilization of intellectual capital, shows that relationship between the efficiency of utilization of intellectual capital and the level of financial leverage is positive. At the moment there is no direct empirical evidence of relationship between the efficiency of utilization of intellectual capital and the dividend policy.
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.