The late choice of the type of alleged infringement in administrative investigations, when company (alleged infringer) presents evidence first and then responsible agency decides on the content of infringement on the basis of evidence produced by company has significant incentive effect. This rule demotivates alleged infringers to present evidence under the procedure of administrative inspection in time and as complete as possible. In addition, incentives to provide evidence are limited if the agency has the opportunity to select among different types of alleged infringement and to use evidence presented by company in its favor as evidence of a certain type of alleged infringement. Time sequencing of decisions when the choice of the type of infringement is made just after agency collects evidence from company inevitably results in decisionsof infringement, which company then appeals in the court. The experience of Russian antitrust investigations — with two indicative illustrations (Novolipetsky metallurgical plant case and the case with largest Russian retailers specialized in computers and home electronics) shows the importance for the company of being suspected in certain infringement to decide on the amount of evidence. Incentives to provide evidence are studied through the lens of all-pay auction framework to explaining the effects of procedural rules inadministrative enforcement that is inquisitorial in nature, in contrast to adversarial ones. It is shown that prosecutorial bias or asymmetric burden of proof is not necessary to suppress the incentives of the target of investigation to produce evidence.
The paper proposes a bootstrap methodology for estimating cost efficiency in data envelopment analysis. We consider the conventional concept of Fare, Grosskopf and Lovellcost efficiency, for which our algorithm re-samples “naive” input-oriented efficiency scores, rescales original inputs to bring them to the frontier, and then re-estimates cost efficiency scores for the rescaled inputs. Next, we examine Tone cost efficiency, where input prices vary across producers. Here we show that the direct modification on bootstrap algorithms by Simar and Wilson are applicable. We consider cases both with the absence and presence of environmental variables (i.e. input variables not directly controlled by firms). The bootstrap methodology exploits these assumptions: 1) the sample are i.i.d. random variables with the continuous joint probability density function with support over production set; 2) the frontier is smooth; and 3) the probability of observing firms on the frontier approaches unity with an increase in sample. The results of simulations for a multi-input, multi-output Cobb–Douglas production function with correlated outputs, and correlated technical and cost efficiency, show consistency of our proposed algorithm, even for small samples. Finally, we offer real data estimates for the Japanese banking industry in 2013. Our package “rDEA,” developed in the R language, is available from the GitHub and CRAN repository.
Economies, like Russia, blessed with resource abundance, do not usually perform well during the period of commodity price boom. The optimal policy of managing resource revenues prescribes to commit the permanent income rule to smooth the resource dividend in efficiency units and to smooth the real exchange rate. During the commodity price boom, Russia followed partially this prescribed policy, but the situation changed after the crash of oil and gas prices in 2014. Possible ways to overcome the consequences of low oil and gas prices are discussed, paying particular attention to the lack of economic complexity and the need for diversification and capabilities for growth and development of the Russian economy.
This article presents the results of theoretical and empirical study in which athe authors constructed and tested a multifactor model of the Russian stock returns. This model was imroved by corerecting for autocorrelation in residuals and checking for autoregresive conditional heteroscendasity. The article counter conventional wisdom that study of the Russian financial system is necessary plagued by instability of interdependencies.
This paper estimates the attractiveness of investing in paintings relative to the stock market. The art market is analyzed in the context of heterogeneity in order to identify main trends, including an analysis of the number of lots sold and sales prices for different countries using an extensive sample of open results of painting trades (data obtained contains about 500,000 observations). Heterogeneity of the market is shown even in a separate segment of paintings. The composition of artists in quantitative characteristics, even within isolated groups, is extremely heterogeneous. Based on the sample of re-traded paintings, the effect of the relationship between price and the moment of sale of a painting (the survival model) is analyzed. The probability of selling a painting is estimated depending on the length of the lot placement. With the help of the accelerated life model, factors influencing the speed of the sale of the picture are estimated. The analysis was carried out for different regions of sale and different nationalities of the authors of the paintings. Results obtained can be used when considering investing in art as a tool for portfolio diversification.
The lack of liquidity in the banking sector was a key factor in the deployment of the latest financial crisis, but at the moment the authors do not know indicators to measure the liquidity risk for the banking system as a whole. In this paper, we propose an indicator that allows you to measure the adequacy of liquidity. Its construction is based on the separation of accounts, bank balance for liquid and illiquid based on a comparison of statistics intramonth flows and stocks at the end of the month. We show that for the Russian banking system this indicator will display the instability of the system, associated with a lack of liquidity, as well as a leading indicator for the banking crises of 2008 and 2014's. The question of stability of distribution of the banks on this indicator during the crisis in the Russian economy is researched. Also in the work it is shown that the change in the time horizon in the calculation of the liquidity of the proposed definition of the indicator is a measure not only of the current liquidity risk, but the risk of instant liquidity and quality of funding.
The article investigates the institutional factors that affect the motivation index wich is measured as the proportion between the share of Improvement-Driven entrepreneurs and necessity-driven entrepreneurs. The difference between entrepreneurs with necessity and opportunity motivation figures the difference in entrepreneurial behavior. Those of them who consider an income increase and anindependence desire as the motives of their activities (Improvement-Driven Entrepreneurs) are ready for large investments in business creation, for the production of new products and for the usage of new technologies, providing a greater contribution to economic development. We test few hypotheses using data of Global Entrepreneurship Monitor Survey for the period 2007–2016. The results confirm the existence of positive relationship between the level of economic development and the motivation index, an increase in the share of Improvement-Driven entrepreneurs is typical for developed countries. Despite the necessity to develop all types of entrepreneurship, which are widely discussed in policy and programs for small and medium businesses, the promotion of Improvement-Driven Entrepreneurship entrepreneurs can contribute to GDP growth by creating new, including innovative, products and technologies, as well as increasing the scale of business. We found confirmation of the hypothesis that the protection of property rights, the regulation of corruption and the quality of education have a positive effect on the motivation index. Theconfidence that income and property are protected increases the likelihood of opting for voluntary entrepreneurship. Protection of rights affects not so much the general level of entrepreneurial activity, but rather the change in its “quality”. The perception of society as corrupt also reduces the level of forced entrepreneurship, but restricting corruption more strongly stimulates highly competitive entrepreneurs than forced ones.
A dynamic stochastic general equilibrium model with multiple sectors is constructed. The production is divided into 5 sectors: mining; manufacturing; electricity, gas and water; trade, transport and communication; other. The interaction of sectors includes competition for different sources of demand and production factors. They also use production of other sectors as production factor. The model is estimated on 29 time-series of Russia statistical data with maximum likelihood method. The model produces high quality of out-of-sample forecasts (better than autoregressions). The consequences of export price decline, restriction of access to foreign finance, tighter monetary policy and higher government spending are computed.
The main result achieved in this research to be considered is the new valuation methodology having been derived in the real options' framework. The new model allows to estimate the additional effect given to the independent companies by their co-financing, the real options' approach having been applied. Thus, the new methodology is based on the newly derived formula Ito for several independent Wiener processes. In this article the valuation results achieved by the new methodology having been implemented are compared with the ones recieved by the conventional income approach. Here some basic distinctions of the model should be hilighted:
The comanies of interest are to be independent, i.e. none of them should get any economic effect from the free cash flow of that of the others.
The companies of interest are to be public corporations with their shares being characterised by a high liquidity level, in order to be able to become a good approximation for the Weiner process.
The newly developed IT solution, based on the model having been proposed, is in charge of the Higher School of Management of the St. Petersburg University and is taught under the 'Financial management' Masters' programme.
Now there is a common practice in many Russian and foreign companies to include in asset pricing models a premium for small capitalization (size premium). As a rule, companies employing this approach (including Russian companies) use premiums of such reports as Ibbotson SBBI Classic Yearbook or Duff & Phelps Risk Premium Report. However, an information (size premiums) presented in these reports are prepared on the basis of the U.S. capital market, and, respectively, it is necessary to adjust this data when the cost of equity is evaluated for companies operating in other capital markets.
In addition, published studies devoted to the study of size effect, in both developed and emerging capital markets, often have opposing conclusions about the presence of this effect and its magnitude. For this reason we have a question about the validity of the calculations cost of equity using the size premium.
The article presents the results of the study of the size premium and cost of equity conducted in the laboratory of Corporate Finance Center (NRU HSE) in conjunction with PwC. Based on the dataset included stock returns of 101 non-financial companies listed on the Moscow Interbank Currency Exchange and covered the period from 2006 to 2014, we obtained that the size premium is typical for Russian medium-sized companies. At the same time, the size premium for small companies was negative. The results obtained in this study have a practical value for management of Russian companies and funds.