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Of all publications in the section: 62
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Working paper
Anna A. Bykova, Evgeniia V. Kuminova. Financial Economics. FE. Высшая школа экономики, 2013
This paper aims to contribute to the body of empirical studies that address the importance of investments in companies’ relationships and the way in which they influence value creation in the global economic crisis. We employ linear panel analysis using the Hausman–Taylor model to analyse panel data for companies from the five largest European countries in the period 2004–2011. Different types of exogenous and endogenous links which a company could have in different stages of the crisis are investigated. The findings suggest that there is a statistically significant and positive link between relational capital and a firm’s value. Moreover we identify several differences in the significance of the inputs during different crisis periods. The study provides both theoretical and practical insights into investments in intangibles for framing strategy decisions with a particular focus on the role of relational capital. This could provide scholars and practitioners with a working basis for understanding connections and the implications of strategizing in the context of a company’s networks.
Added: Nov 25, 2013
Working paper
Lozinskaia A. M., Ozhegov E. M., Karminsky A. M. Financial Economics. FE. Высшая школа экономики, 2016. No. 55.
This paper investigates the distribution of relative credit losses given mortgage default for loans provided by a major government-sponsored creditor in a local area. We use borrower’s individual and loan-level data on residential mortgages originated in the period 2008–2012. Our numerical analysis indicates that mortgages bunching at certain Loan-to-Value ratios (LTV) led to a discontinuity in relative credit loss given mortgage default. Through regression analysis, we demonstrate discrete jumps in the approximated historical credit losses generated by loans with a high LTV ratios and find thresholds allowing the segmentation of loans according their credit risk. In addition, our results suggest that mortgage insurance is a potentially valuable instrument for compensation for expected loss in certain risk segments. 
Added: Jul 26, 2016
Working paper
Andrievskaya I. K., Semenova M. Financial Economics. FE. Высшая школа экономики, 2014. No. 35.
There seems to be a consensus among regulators and scholars that in order to improve the  functioning of a banking system and to stimulate bank competition, it is necessary to raise the level  of bank information transparency. However, empirical studies which examine the determinants of  competition in the financial sector, the effect of competition on financial stability, or the  relationship between transparency and bank stability, leave aside the link between transparency and  competition. The aim of this paper is to fill this gap in the literature. To test the hypothesis that  greater bank information disclosure is associated with lower market power and lower concentration  in the banking system, we use country-level data covering 213 countries. The years under  consideration are 1998, 2001, 2005 and 2010, which correspond to the years of the World Bank's  Banking Regulation and Supervision Survey rounds. Our findings do not always support the  conventional wisdom: countries with higher levels of transparency have lower levels of bank  concentration, while the link between transparency and competition is less pronounced. The effect  from information disclosure grows – for both concentration and market power – with an increase of  bank credit risks. 
Added: Oct 13, 2014
Working paper
Semenova M., Andrievskaya I. Financial Economics. FE. Высшая школа экономики, 2016. No. WP BRP 52/FE/2016.
There are many studies revealing factors which influence the demand for financial services. However genetic features, determining the individual’s overall postnatal behaviour, have not been studied within this context. This paper extends the previous literature by studying to what extent individual biological endowment, proxied by prenatal testosterone (PT) (measured by the 2D:4D ratio), can determine personal demand for bank services and insurance. We use data from the Russian Longitudinal Monitoring Survey of 2011–2012. Our findings confirm the existence of the link between inherent biological variation and financial inclusion: PT affects the use of bank cards, intention to take out a loan, having a bank deposit and the consumption of insurance products.
Added: Feb 3, 2016
Working paper
Stepanova A., Ivantsova O. Financial Economics. FE. Высшая школа экономики, 2012. No. 10.
After the financial crisis, the necessity to support large inefficient banks had a crucial impact on a number of economies in Europe.  This paper focuses on  the  effect  that  corporate governance mechanisms  has on performance  for commercial banks operating in developed and emerging European markets. We test a model of market-based bank performance  for a sample of 150 commercial banks from 27 European countries over  a  period  from 2004 to 2011. As a result, we  show that  such governance mechanisms  as ownership concentration, state ownership,  board independence,  and others  do  have a significant influence on bank performance.  We also find significant differences between models for developed and emerging markets, as well as for different geographical regions. Studying the financial crisis provides us with evidence  for  structural movements in the  relationship  model  between corporate governance and bank performance as a result of the 2008-2009 crisis. In general, the important determinants lose  their significance after 2007.  Though,  due to the possible endogeneity problem in our models, we should be cautious when interpreting the causality of connections between factors.  
Added: Jan 17, 2013
Working paper
Гомаюн Н. И., Penikas H. I., Titova Y. Financial Economics. FE. Высшая школа экономики, 2012. No. 09.

In most cases the ultimate goal of a  bank  is profit maximization.  That depends on what derivatives one uses. Thus the objective of this research is to examine the relationship between a bank’s value and characteristics of derivatives it subscribed to. The financials from 2005 to 2010 of 130 European public banks countries are examined. The study is based on two sets of data: the
first one  contains the accounting data on balance sheets and the profit and loss accounts  from Bankscope from 2005  to 2010, while the second one includes the manually collected data from the notes to the financial statement disclosures. Regression analysis is used to trace the impact of derivative use  on bank’s value. Time effects and cross-country differences are controlled for.
Two key  research implications are as follows. The  return on  hedging  derivatives is positively associated with the growth in bank’s stock  returns, whereas trading derivatives’ notional value negatively impacts both Tobin’s q and ROAA, and positively impacts risk of the bank’s stocks.
 

Added: Jan 17, 2013
Working paper
Lopez Iturriaga F. J., Sanz I. P. Financial Economics. FE. Высшая школа экономики, 2015. No. 41.
We examine the effect of shareholder coalitions on the corporate payout policy in Spain, a context characterized by the presence of dominant shareholders. Our results show that shareholder coalitions affect payout policy negatively (both for dividends and shares repurchases). This finding suggests that shareholder coalitions serve as an instrument for the dominant shareholder’s to extract private benefits. We also find that the relation between the voting rights involved in the coalition and the dominant owner´s voting rights is negatively related to dividends. This result means that the dominant owner uses the coalition as a mechanism to amplify his or her control over the firm and reduce the cost of expropriation. The results provide new evidence on the effects of corporate control mechanisms on shareholders wealth; this evidence is complementary to the US or UK centered research, where dominant ownership is not as prevalent and, thus, it is more difficult to capture these effects.
Added: Dec 9, 2015
Working paper
Dobrynskaya V. V. Financial Economics. FE. Высшая школа экономики, 2017. No. 61/FE/2017.
Added: Oct 23, 2018
Working paper
Stepanova A. N., Kokoreva M. S. Financial Economics. FE. Высшая школа экономики, 2013. No. WP BRP 21/FE/2013.
In this paper we study the performance effects of capital structure, ownership structure and corporate governance of Russian companies. To address the lack of research in corporate performance modeling in emerging markets we contribute to the literature by introducing a cluster analysis of the financial architecture and market performance of Russian companies. Our goal is to find out the most efficient and inefficient types of financial architecture in emerging markets. Using a sample of 52 of the largest Russian non-financial companies between 2005-2010 we demonstrate the existence of three sustainable types of financial architecture. Using cluster analysis we form clusters of companies in the pre-crisis period and then demonstrate the relationship between the type of financial architecture and the level of market performance.
Added: Oct 25, 2013
Working paper
Minabutdinov A., Manaev I., Bouev M. Financial Economics. FE. Высшая школа экономики, 2014. No. WP BRP 32/FE/2014 .
We consider the problem of finding a valid covariance matrix in the FX market given an initial non-PSD estimate of such a matrix. The standard no-arbitrage assumption implies additional linear constraints on such matrices, which automatically makes them singular. As a result, one cannot just take the given estimate plug it into the standard optimization problem and solve it by applying even the most advanced numerical techniques developed recently. The reason is that such a problem is not well-posed while the PSD-solution is not strictly feasible. In order to deal with this issue, we described a low-dimensional face of the PSD cone that contains the feasible set. After projecting the initial problem onto this face, we come out with a reduced problem, which turns out to be well posed and of a smaller scale. We show that after solving the reduced problem the solution to the initial problem can be uniquely recovered in one step. We run numerous numerical experiments to compare performance of different algorithms in solving the reduced problem and to demonstrate the advantages of dealing with the reduced problem as opposed to the original one. The smaller scale of the reduced problem implies that virtually any numerical method can be applied effectively to find its solution.
Added: Jul 1, 2014
Working paper
Lakshina V. V. Financial Economics. FE. Высшая школа экономики, 2014. No. 37.
The paper proposes the thorough investigation of in-sample and out-of-sample performance of four GARCH and two stochastic volatility models, estimated on the Russian financial data.  The data includes prices of Aeroflot and Gazprom stocks and Ruble against US dollar exchange rates. In our analysis we use probability integral transform for in-sample comparison and Mincer-Zarnowitz regression along with classical forecast performance measures for out-of-sample comparison. Studying both the explanatory and the forecasting power of the considered models we came to the conclusion that stochastic volatility models perform equally or in some cases better than GARCH models.
Added: Oct 2, 2014
Working paper
Agata M. Lozinskaia, Anastasiia D. Saltykova. Financial Economics. FE. Высшая школа экономики, 2019. No. 77.
This paper studies how the influence of the fundamental factors on the Russian stock market changes retrospectively. We empirically test the impact of daily values of fundamental factors (indexes of foreign stock markets, oil price, exchange rate and interest rates in Russia and the USA) on the MOEX Russia Index over long time interval from 2003 to 2018. The analysis of the ARIMA-GARCH (1,1) model with a rolling window reveals the changes in the power and direction of the influence of the fundamental factors which are probably caused by the structural instability revealed earlier in Russia and other stock markets. The Quandt-Andrews breakpoint test and Bai-Perron test identify the number and likely location of the structural breaks. We find multiple breaks probably associated with dramatic falls in the stock market index, for example with the significant falls of the then MICEX index in the spring of 2006 and the global financial crisis of 2008-2009. The results of the regression models over the different regimes, defined by the structural breaks, can vary markedly over time.
Added: Oct 16, 2019
Working paper
Karpov A. V., Yurkov S. Financial Economics. FE. Высшая школа экономики, 2012. No. 08.
A new approach to  the bankruptcy problem is considered. We take  into account  the system of intercreditor debts. The traditional approach is a special case of our generalized model. Utilizing a  cooperative game approach  we prove  the  core existence of the corresponding game. The sequential nucleolus solution is applied.
Added: Jan 17, 2013
Working paper
Sergey Proskurin, Penikas H. I. Financial Economics. FE. Высшая школа экономики, 2013
In this research we propose an empirical methodology of investigating the successfulness of financial analysts' recommendations on buying or selling stocks of the Russian public companies. Results reveal that only 56% of all studied recommendations were successful (or not unprofitable). These results comes along with theoretical predictions published recently.
Added: Oct 13, 2013
Working paper
Semenova M., Rodina V. I. Financial Economics. FE. Высшая школа экономики, 2013. No. 14.
This paper examines the strategies of Russian households for choosing either the formal or informal banking sector as a source of credit. We aim to learn why households refuse to become clients of a bank and prefer to instead raise funds by borrowing from individuals – friends, colleagues, relatives, and other private parties. We use the results of “Monitoring the Financial Behavior of the Population” (2009-2010), a national survey of Russian households. Our results suggest that a household’s choice of the informal credit market is based not only on economic factors, but also on some institutional ones, including financial literacy, trust in the banking sector, and credit discipline. We show that choosing the informal market is explained by a lack of financial literacy, measured by mathematical competence and home accounting, as well as by a lack of trust in the banking sector as a whole. Borrowers from private parties demonstrate a higher degree of credit discipline: those who believe that repaying a loan is not obligatory are less frequently among informal borrowers and they choose the bank credit market. Our findings, however, are still in line with credit rationing theory. We show that better financial conditions reduce a household’s probability to use both formal and informal credit markets in favor of pure bank borrowing.
Added: Sep 12, 2013
Working paper
Naidenova I. N., Parshakov P. Financial Economics. FE. Высшая школа экономики, 2012. No. 11.
It is believed that investments in intellectual capital enable a company to create a competitive advantage that results in the ability to earn economic profits and increase company value. However, this influence is reciprocal: Companies that generate more money can invest more funds in intellectual capital. The aim of this study is to use vector autoregression (VAR) to analyze the return on investments for companies in tangible and intellectual assets. This instrument allows us to take into account both the lag effect and the mutual influence of intellectual capital components.
Added: Feb 12, 2013
Working paper
Andrievskaya I. K., Raschupkin M. Financial Economics. FE. Высшая школа экономики, 2015. No. WP BRP 51/FE/2015 .
Information disclosure is considered as an important prerequisite for the efficient functioning of a financial system. Costs and benefits of information disclosure in the banking system have been extensively theoretically and empirically investigated. However, the effect of voluntary transparency on bank market power and market share is still empirically unexplored. Our paper fills this gap in the literature, examining two hundred of the largest Russian banks in the period 2004-2013. The findings confirm that voluntary transparency – absolute and relative – affects a bank’s market power and market shares. Moreover, this relation depends on the bank’s asset quality.
Added: Dec 10, 2015
Working paper
Aleskerov F. T., Andrievskaya I. K., Пермякова Е. Е. Financial Economics. FE. Высшая школа экономики, 2014. No. WP BRP 33/FE/2014.
The issue of systemic importance has received particular attention since the recent financial crisis when it came to the fore that an individual financial institution can disturb the whole financial system. Interconnectedness is considered as one of the key drivers of systemic importance. Several measures have been proposed in the literature in order to estimate the interconnectedness of financial institutions and systems. However, most of them lack an important dimension of this characteristic: intensities of agent interaction. This paper proposes a novel method that solves this issue. A distinctive feature of our approach is that it takes into consideration not just the interconnectedness of agents but also their interaction intensities. The approach is based on the power index and centrality analysis and is employed to find a key borrower in a loan market. To illustrate the feasibility of our methodology we apply it at the European Union level and find key countries-borrowers.
Added: Sep 1, 2014
Working paper
Naidenova I. N., Parshakov P., Zavertiaeva M. A. et al. Financial Economics. FE. Высшая школа экономики, 2015. No. WP BRP 42/FE/2015 .
This is the first paper to explore which characteristics of Russian fund managers are connected with a higher abnormal return (measured by Jensen’s alpha) and risk (beta) for mutual funds. While only some fund managers publish biographic sketches we use the Heckman procedure to control for self-selection issues. The results support the idea that individual characteristics indicate the possibility to earn abnormal alpha. The relationship between both fund performance measures and manager experience has inverted U-shape. The results can be used as a simple screening system that helps to choose a mutual fund to invest in without sophisticated calculations
Added: Mar 4, 2015
Working paper
Penikas H. I., Titova Y. Financial Economics. FE. Высшая школа экономики, 2012. No. 02.
In this paper we elaborate a simple model that allows for the predicting of possible reactions from financial institutions to more stringent regulatory measures introduced by the Basel Committee on Banking Supervision (BCBS) in regard to global systemically important banks (G-SIBs). The context is framed by a 2011 BCBS document that proposes higher capital requirements for global systemically important banks. We attempt to analyze bank interactions in an oligopolistic market that is subject to demand constraints on loan amounts and additional loss absorbency requirements introduced by the regulator. We distinguish between the bank’s announced funding cost that determines both the loan amount issued and the market interest rate, and the bank’s true funding cost that has a direct impact on retained earnings. We conclude that in a two-stage game both banks will announce the highest funding cost, thus reducing the amount of loans granted (in line with the regulator’s objective), but at the expense of a higher cost of borrowing established in the market. If the game is repeated, then both banks also choose lower loan amounts in the periods prior to the last one in which the declared funding cost is the lowest possible. It should be noted that the designated outcome also coincides with the findings of the Monetary Economic Department of the Basel Committee on Banking Supervision.
Added: May 3, 2012
Working paper
Evdokimova M., Kuzubov S. A. Financial Economics. FE. Высшая школа экономики, 2021. No. 83/FE/2021.
This paper considers non-financial information disclosure impact on the cost of capital in the forms of cost of equity, cost of debt, and the weighted average cost of equity (WACC) in the BRICS countries. It was revealed that companies published non-financial report have lower cost of capital. Cost of debt, cost of equity, and WACC reduces after non-financial report publication. Six industries, where the cost of equity and debt capitals is lower for companies published non-financial reports, were determined: consumer discretionary, energy, industrials, information technology, healthcare, and materials. Moreover, according to the analysis, companies that issued non-financial reports have a lower cost of equity capital growth rate.
Added: May 25, 2021