This paper presents the results of a study of insider trading prior to the significant corporate events of the Russian public companies in 2005–2015. We detected the difference in the volumes of trading of Russian stocks and depositary receipts. The study is based on an analysis of cumulative abnormal returns (ACAR) and abnormal trading volumes (AAV) during the period prior to the announcement of such events as announcements of M&As, SPOs, special dividend payments and delistigs of the stocks. The research detected the insider trading symptoms in common shares trading prior to the announcements of M&A deals, special dividend payments and delistings of the stocks. We have found positive ACAR and AAV prior to the announcement of the events. The numbers grew as long as the day of event came closer and reached its peak in a day before the announcement. The symptoms of a large insider trading prior to SPO announcements were not detected. Finally we did not find any symptoms of large insider trading in depositary receipts trading on the Russian stock market. The share of ACAR, gained before the day of event amounted 40% in case of common stocks and 60% in case of depositary receipts. The abnormal volumes of trades also were 1.5 times higher in case of common stocks. We suggest new criteria of detecting insider trading (to compare share of CAR, realized prior to the event, in case of depositary receipts and common stocks) and
the results of the study suggests that this methodology could be applied to the Russian stock market.
This paper studies the problem of calculation the dynamic hedge ratio for the portfolio consisted of two assets. Commonly it’s solved assuming that the investor’s risk aversion is infinite. Then the optimal hedge coefficient is equal to ratio of covariance of the hedged and hedging assets to the variance of the latter. It’s natural to assume that the optimal hedge ratio also dependы on the investor’s attitude to risk. In this paper this fact is implemented via maximization of the investor’s expected utility, which depend on the portfolio return and variance. Consequently if, for example, prices move upwards, the optimal hedge ratio is less than under the assumption of absolute risk aversion and vice versa. In the paper eight portfolios, consisted of Russian blue-chip stocks and futures, are estimated. Multivariate volatility models GO-GARCH and cop-GARCH are applied to estimate the conditional covariances and variances of hedged portfolio returns. There are additional parameters in the error term distribution, including skewness parameter, due to the existence of asymmetry effects in the financial assets returns’ distribution [Kroner, Ng, 1998]. The hedge effectiveness is estimated on the out-of-sample period using the maximum attainable risk reduction, unconditional variance of hedged portfolio returns and financial result. It’s shown that in six cases cop-GARCH surpasses GO-GARCH in hedge. Including the degree of risk aversion in the investor’s utility function together with above-mentioned volatility models allows to increase hedge effectiveness up to 65% for some assets
Causes and consequences of the so-called NEET status (Not in Employment, Educationor Training) are one of the popular foreign areas of youth labour markets research. NEET youth are one of the most vulnerable categories of the non-employed. Representatives of this group are common recipients of social benefits from the state and depend on the money transfers from relatives. The probability of finding a permanent job for young people who previously were in the NEET status is reduced. They have higher risks of informal employment, problems with physical and mental health, propensity to criminal activities and substance abuse, low level of trust in social institutions. Despite the relevance of the study, youth transitions between school, employment and different types of NEET status (so-called NEET-unemployment and NEET-inactivity) are relatively rare analyzed on panel data.
Present study introduces the flows of young people entering and leaving the NEET group in the Russian labour market as the focus of the research for the first time. This topic is particularly relevant for Russia since, according to Rosstat, the share of Russian NEET youth in 2010–2015 was 12–15% of all young people aged 15–24 years. The source of the data for the study is the Russia Longitudinal Monitoring Survey – Higher School of Economics (RLMS-HSE) for 2000–2016. The main findings of the study are based on the analysis of the transition matrices and the results of the estimations of dynamic multinomial logit regression models on the subsamples of men and women aged 15–24 years. According to the results received the share of NEET youth in Russia by 2016 was about 15% of all young people aged 15–24 years. At the same time, during the economic crisis, the growth in the share of NEET youth was mainly due to the increase of NEET-unemployment. The share of the latter in 2015–2016 reached the maximum values for the entire period analyzed (9–10% of all young people aged 15–24 years). Despite the heterogeneous nature of the Russian NEET, the risks of falling into this state are mainly associated with education – either with its insufficient level (in the case of inactive NEETs) or with its low quality (in the case of unemployed NEETs). Thus, higher education in Russia is as sociated with the greatest risks of NEET unemployment, while the risks of transition to the state of NEET-inactivity are concentrated among those who received vocational education after incomplete secondary school or after graduating from high school. Changes in the marital status are also among important factors of NEET state. However the probability of finding a job next year reaches 50% for unemployed NEETs, and about 30–40% for inactive NEETs. Thus, NEET status at the moment does not seem to be unequivocal hopeless «trap» for Russian youth.
In this paper, using the RLMS – HSE data for 2006–2013, we explore two intercon- nected forms of labour mobility: vertical intrafirm promotions and horizontal inter-firm transitions. Our focus is on the dynamics and driving factors of this mobility, on how the lat- ter relates to accumulation and utilization of the human capital, and what are payoffs in wage terms to job changes. During the period under study, about every fifth worker changed an- nually their employers or moved to new positions within firms. The external mobility was almost three times higher than the internal one, and promotions were much more frequent than demotions. Gradually the intensity of mobility tended to decrease. Averages hide con- siderable variation in mobility across groups: men generally are more mobile than women, youth are more mobile than older age workers and higher educated workers are more stable than less educated. One can speculate about the division on "movers" (those who are in per- manent job-to-job motion), "careerists" (workers climbing up the job ladder within the same organization), and “stayers” in status-quo over years.
Labour mobility emerges as a rational strategy that matches wage to productivity. Job- to-job moves lead to higher wage but may disrupt stability of labour relations. Before changing job externally mobile workers earn on average a little lower than the prevailing market rate, while internally mobile get the market wage. Return to the external mobility decreased gradu- ally, eroding incentives to voluntary inter-firm transitions.
More and more attention in theoretical studies are beginning to attract non-financial aspects of the functioning of enterprises, influencing management decisions. One of the most common concepts in this direction is an integrated theory of financial architecture. The greatest research interest of an extensive set of characteristics of the financial architecture cause the ownership structure and the composition of the board of directors. Found that diversification of Directors, including gender, provides for a multilateral view on leadership development company, improves its reputation and increase investor interest in her.
The main objective of this study is to analyze the non-financial aspects of the economic efficiency of enterprises, taking into account not only the time and individual effects of firms, but also taking into account unobserved industry and geographical characteristics. The sample is a panel of Western European companies, collected over the period from 2007 to 2012 on the basis of the database and Bloomberg Amadeus. The multilevel structure of models allows you to clean assess the effects of test performance (proportion and number of women on the board of directors, as well as the share held by the largest shareholder and the total stake in the three largest shareholders) from the influence of unobserved variables causing heterogeneity of companies, countries, sectors and time periods. The combination of the estimated models, the quadratic specification of indicators of gender diversification of the board of directors and their works on the performance of companies with the heterogeneity of the coefficients of these indicators allows to solve the contradiction between the content of the theoretical hypotheses of the study and the results of the preliminary analysis of the data. It was found that increasing the number of women (percentage of women) in directors contributes to the efficiency of the company only up to a certain limit, after which the efficiency drops. This effect was observed in the majority of the estimated models and versions monitored for possible endogeneity using, instead of the current values of the tested parameters of their lags. In the analysis of the effect of limiting the number of women on the Board of Directors on the effectiveness of the companies according to the in-house performance in a number of models found decreasing returns to total assets and financial leverage and increasing returns for expenditure on research and innovation. Conflicting results were found for the size of companies: the estimates obtained by OLS, show constant returns estimates of hierarchical models, taking into account country heterogeneity exhibit increasing returns, and evaluation of models, taking into account sectoral heterogeneity evidence of diminishing returns on the number of women on the Board of Directors on strategic effectiveness companies.
The effect of concentration of ownership of the strategic performance of companies in the vast majority of the estimated models can not be found.
We investigate the phenomenon of asymmetric information that is typical in both developed and emerging markets. The purpose of this paper is to explore the impact of asymmetric information on the value-enhancing capital budgeting in emerging markets. This study examines three measures of asymmetric information – general return variation, firm-specific return variation and stock price delay. We apply the deviation of a firm's estimated marginal Tobin's q from a benchmark as an indicator of effective capital budgeting. Finally the impact of asymmetric information on the value-enhancing capital budgeting has been analyzed. Research was conducted with 1080 listed BRIC companies from 2005-2014. The key findings of the paper are: stock price informativeness measured by daily general return variation and daily firm-specific return variation has a significant influence of investment performance. We find that the high level of investment opportunities and financial constraints lead to less efficient investment decisions. Moreover industry analysis reveals that the high peers’ stock price informativeness measured by weekly general return variation and weekly firm-specific return variation lets managers to improve the corporate value. Our study contributes to emerging literature on the determination of relevant investment model by showing that managers can improve the investment efficiency and investors can decrease the risks of personal investments. In addition, this study provides additional evidence on the agency problem that affects firms' investment decisions. The analysis concludes that the necessity to reduce the level of information asymmetry is one of the key components of the corporate value maximization that would increase the corporate attractiveness to investors.