Моделирование систематического инвестиционного риска на разных этапах развития российского рынка капитала
In this study we analyze a problem of the account of low liquidity of securities at carrying out of the fundamental analysis in the Russian capital market. The discount rate for prediction cash flow is a important factor in target price calculation. Standard САРМ as a model to explain assets pricing has restrictions in practical application. One of the problems of application - low liquidity of stocks in emerging markets. In this study we test on 72 companies of RTS stock exchange the technique of formation of the beta-factor, offered by Aton Investing Group and applied by a number of analyticals of the investment companies of the Russian market. This technique tries to consider both the size of the company, and a level of liquidity of its stocks.
Writing the paper on the eve of the G20 summit in Cannes, the author expressed a view that except for French President Sarkozy, no one should be surprised by a disappointing outcome in Cannes. More importantly the author argues that this does not mean that the world economy will not be rebalanced just because the G-20 did not ordain the solution. Unsustainable imbalances will eventually be adjusted by economic forces. Refraining from meaningful and urgent collective action, the G-20 leaders choose to let the world rebalance itself more chaotically, with the inevitable result of making things harder for each other. This is not a collective leadership but a joint abdication of responsibility. To prove its usefulness, the G-20 must do more than help old and emerging economic powers agree to disagree. The paper asserts that if the G20 fails the test, it is only a matter of time when the new creditors will see it as in their individual interests to make common cause either to reform existing institutions or to create new ones free of the dominance of the debtor countries. The author concludes that we can only hope that a new grouping of major creditors arrives as the successor to the G-20 in time to avert a replay of the 1930s. The publication is prepared within the framework of a joint project of Russian International Affairs Council (RIAC) Project and International Organizations Research Institute of the NRU HSE "Increasing Effectiveness of Russia's Participation in G8, G20 and BRICS in accordance with Russian Priorities and National Interests".