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Of all publications in the section: 62
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Working paper
Pospelov I. G., Radionov S. Financial Economics. FE. Высшая школа экономики, 2015. No. WP BRP 48/FE/2015.
This article contributes to research dealing with the optimal dividend policy problem of a firm whose goal is to maximize the expected total discounted dividend payments before bankruptcy. We consider a model of firm whose cash surplus exhibits regime switching, but unlike the existing literature, we exclude diffusion from our model in order to over-come the well-known shortcoming of infinite money flows. Hence, we assume firm's cash surplus follows telegraph process, which leads to the problem of singular stochastic control. Surprisingly, this problem turns out to be more complicated than the ones arising in the models involving diffusion. We solve this problem using the method of variational inequalities and show that the optimal dividend policy is defined by two thresholds.
Added: Sep 28, 2015
Working paper
Zavertiaeva M. A. Financial Economics. FE. Высшая школа экономики, 2015. No. 44.
The purpose of this study is to present a tool to categorize companies as potentially profitable on the basis of an analysis of their intangibles. The paper distinguishes two crucial attributes for picking shares: intangibles and the capitalization of intangible-based growth potential in market indicators. By means of these attributes we create a portfolio from a sample of European companies and annually rebalance it. To test its attractiveness we compare it with benchmarks and random portfolios during the period from 2006 to 2013 using the Sharpe coefficient. The comparisons of the portfolio with the benchmarks demonstrate the importance of intangibles and the validity of the proposed tool. The Sharpe coefficient of the portfolio is significantly higher than the mean and median Sharpe ratio of random portfolios. The importance of intangibles for choosing an investment goal increases in crises. The paper contributes to the literature by identifying undervalued shares on the basis of the company’s intangibles and developing an algorithm to create an intangible-based investment portfolio.
Added: Nov 10, 2015
Working paper
Svetlana Grigorieva, Georgii Gorbatov. Financial Economics. FE. Высшая школа экономики, 2015. No. WP BRP 47/FE/2015.
Researchers have long tried to define the impact of corporate diversification on firm value. Academic papers mainly concentrate on the effects of corporate diversification in mature markets while its consequences in emerging capital markets are less explored. This article presents the results of an empirical analysis of corporate diversification strategies of a sample of companies from BRIC countries that expanded via acquisitions during 2000–2013. We contribute to the existing literature by examining the effects of corporate diversification on firm value during the pre- and post-crisis periods. In line with other studies, we distinguish between related and unrelated diversification and in contrast to them we single out and separately analyze horizontal, conglomerate and vertical acquisitions. Based on a sample of 319 deals initiated by companies from BRIC countries, we found positive (3.32% and 9.01%) and statistically significant cumulative abnormal returns for conglomerate acquisitions during the pre- and post-crisis periods, correspondingly. We also found that the market reacts positively and statistically significant to the announcements of horizontal and vertical integration only during the pre-crisis period.
Added: Sep 14, 2015
Working paper
Parshakov P. Financial Economics. FE. Высшая школа экономики, 2014. No. WP BRP 40/FE/2014 .
Our work is focused on Russian mutual funds managers' skills versus luck testing. Using the bootstrap procedure of Kosowski et al. (2007) we test Jensen's alpha significance for each fund. We found that only 5% of equity mutual funds do have skills. These results for the emerging Russian market are similar to previous studies of developed markets. Interestingly, skilled funds are not characterized with the extremely high alpha. This leads to an unexpected conclusion: an investor should avoid funds with a very high alpha.
Added: Dec 17, 2014
Working paper
Savchenko P. V., Semenova M. Financial Economics. FE. Высшая школа экономики, 2013. No. 16.
This paper investigates how combining positions between the board of directors and top-management affects bank profitability. We use 2010 bank-level data from 112 countries. Our results suggest that combining positions reduces both ROE and ROA of banks. However, for banks in developing countries, the influence proves to be positive. We also show that the higher the proportion of the board members who simultaneously hold a managerial position, the lower the profitability of the bank. This effect is observed both for developed and developing countries.
Added: Sep 12, 2013
Working paper
Naidenova I. N., Parshakov P., Chmykhov A. S. Financial Economics. FE. Высшая школа экономики, 2014. No. WP BRP 28/FE/2014.
This paper investigates how soccer sponsorship influences the financial performance of sponsors. We use an instrumental variable regression framework combined with a fixed effects model to avoid the possible endogeneity raised by omitted variables and reverse causality. The number of tweets containing both team and sponsor names were collected to use as the instrumental variable. Top European leagues were analyzed. Our results show that soccer sponsorship is more charity than commercial investment. Shareholders should be aware of sponsorship deals, and senior management should analyze the financial assumptions of cash flow forecasting for such projects carefully
Added: Mar 3, 2014
Working paper
Stepanova A. N., Guseva O. Financial Economics. FE. Высшая школа экономики, 2019
This paper examines how ownership characteristics affect the performance of small and medium technology startups in Russia. We focus on how different types of owners (e.g. founders, state, venture capital and corporate firms) contribute to startup performance. Using an unbalanced panel of startups from Skolkovo, the largest Russian innovation cluster, from 2010 to 2016, we found evidence of a negative relationship between a support from government-related organisations and chosen indicators of startup performance. Our findings confirmed the positive impact of venture capital on ROA, especially for the Space cluster startups. While family members as owners were not found to have a significant impact on startups, we identified a positive contribution from managerial ownership to ROA. The study highlights the importance of other ownership characteristics, which were found to be significant in previous studies of emerged markets. We discuss potential interpretations of the findings and provide strategic management insights for startup owners and investors.
Added: Oct 25, 2019
Working paper
Kurbangaleev M. Z., Zinaida V Seleznyova, Lapshin V. A. Financial Economics. FE. Высшая школа экономики, 2018. No. 71.
In this paper, we examine if the aggregate rating constructed as a consensus of individual credit ratings can be accurately predicted with publicly available non-rating information about company. Adopting approach from computational social choice we construct consensus of ratings assigned by seven credit rating agencies to Russian banks in national scale and compare it with several proxies based on publicly available characteristics of those banks. We measure how much aggregate (consensus) rating and proxies are agreed in terms of ordering banks by their credit quality and discriminatory power in predicting defaults over the one-year horizon. We show that aggregate (consensus) rating is comparable to financial-data-based econometric default model in term of discriminatory power, but as ordering the former have a fairly low agreement with the last. We also found that using models for predicting initial credit ratings allows for building a proxy that has practically high agreement with the original aggregate rating, but original aggregate rating outperforms proxy in terms of discriminatory power. It was also found that greater agreement between original aggregated rating and proxy can be achieved on the subsample of investment grade ratings.
Added: Dec 22, 2017
Working paper
Kurbangaleev M. Z., Lapshin V. A., Smirnov S. N. Financial Economics. FE. Высшая школа экономики, 2015. No. 43.
In this paper, we study the consistency of bonds and CDS quotes data within a widely accepted credit risk pricing framework, allowing for non-trivial term structures of risk-free interest rates and default intensities. We propose an approach to test this consistency and a procedure to deal with inconsistencies. Our approach is model-independent and does not rely on any term structure fitting method. It also allows us to assess the precision of constructing risk-free yield term structure can be estimated for a given bond and CDS quotes set. We apply the proposed approach to euro zone sovereign bond and CDS data, and demonstrate that, in general, bond/CDS quotes are typically inconsistent across issuers and require filtration. However, our findings suggest grouping the euro zone sovereign issuers according to the group-level internal consistency.
Added: Apr 2, 2015
Working paper
Egorova L. G. Financial Economics. FE. Высшая школа экономики, 2014. No. WP BRP 29/FE/2014 .
Simulation models of the stock exchange are developed to explore the dependence between a trader’s ability to predict future price movements and her wealth and probability of bankruptcy, to analyze the consequences of margin trading with different leverage rates and to compare different investment strategies for small traders. We show that in the absence of margin trading the rate of successful predictions should be slightly higher than 50% to guarantee with high probability that the final wealth is greater than the initial and to assure very little probability of bankruptcy, and such a small value explains why so many people try to trade on the stock exchange. However if trader uses margin trading, this rate should be much higher and high rate leads to the risk of excessive losses.
Added: Apr 21, 2014
Working paper
Avdasheva S. B., Korneeva D. V. Financial Economics. FE. Высшая школа экономики, 2014. No. WP BRP 34/FE/2014.
There is little evidence on the comparative effectiveness of different competition policy measures, especially in transition economies. This research represents the effort to expand the financial event study method for the assessment of different competition policy measures: merger control, antitrust investigations on abuse of dominance, and changes of import tariffs in the Russian ferrous and non-ferrous metals markets from 2007 to 2012. According to the reaction of financial market, mergers between Russian metal producers restrict competition and reduce consumer welfare. Antitrust investigations have a positive effect on stock prices of buyers of metal and no significant impact on the market valuation of target of investigation. Changes in import tariffs have a positive significant impact on the company stock prices. The sign of each effect allows the comparison of different measures of competition policy.
Added: Aug 27, 2014
Working paper
Kuzmicheva E. E. Financial Economics. FE. Высшая школа экономики, 2014. No. WP BRP 36/FE/2014.
This paper presents evidence of the combined effect of financial constraints and attitudes towards risk in corporate investment. Using panel data on public companies functioning in developed countries, the author shows that demand uncertainty provokes a firm with limited resources to invest sub-optimally, compared to an unconstrained company. Also, with a given level of financial constraints, risk-taking companies tend to decrease investment to a lesser extent in comparison with risk-averse companies. To show this, an index of financial constraints has been constructed, and the optimal threshold values of the index and the risk aversion coefficient have been found.
Added: Sep 30, 2014
Working paper
Kuzmicheva E. E., Kuzmichev K. Financial Economics. FE. Высшая школа экономики, 2013. No. 17.
This paper presents evidence of the negative combined effect of financial constraints and real options on corporate investment. Using panel data on public companies functioning in developed countries, the authors prove that with increasing uncertainty surrounding a firm, the real options effect increases the influence of financial constraints on investment. To this end we have found the threshold value of the option multiple, which switches the uncertainty regimes from relatively high to relatively low, and we have constructed an index of financial constraints
Added: Sep 25, 2013
Working paper
Stepanova A. N., Kopyrina O. Financial Economics. FE. Высшая школа экономики, 2019. No. 74/FE/2019.
This paper presents an empirical analysis of the influence of ownership structure and board independence on bond yield spread in BRIC countries, 2007-2016. The main finding of the study is the presence of significant country-specific effects of ownership structure on the cost of debt, and the absence of effects of board independence. According to our results, in Brazil, insider ownership and concentrated ownership of corporations increase the cost of debt, while institutional investors help to mitigate the risks of debt holders. Only state and insider ownership matter in Russia: the larger the government stake, the higher the cost of debt, while insider ownership has a non-linear effect. In India, insider ownership has an increasing effect, while state ownership has the inverse effect. Evidence from China reveals the decreasing influence of corporations’ ownership concentration, which can be a result of the co-insurance effect. We contribute to the literature by providing evidence from emerging markets, taking into account the specific features of each country and investigating the effect on the market indicator of the cost of debt, the data on which is scarce. The results of this study can be used by rating agencies or investors for the evaluation of the risks related to bond issuers, as well as by debt issuers for attracting finance with lower costs.
Added: Nov 2, 2020
Working paper
Karnoukhova E., Stepanova A. N., Kokoreva M. S. Financial Economics. FE. Высшая школа экономики, 2018
Innovative companies are a major driver of the global economy. The typical major owner is an institutional investor. In recent years the stakes of institutional owners have increased, which should increase the role of institutional investors. Institutional investors, however, differ. Traditional investment managers, banks, insurance companies and hedge funds have different goals and strategies, so their roles in firms differ significantly. In this article we analyze the difference between technology and non-technology companies to find out the reason for the success of fast-growing corporations. This research uses a Generalized Least Square model on a sample of 12,565 firm-year observations 2004–15, to justify the assumption that different types of investors have different effects on the performance of innovative companies. The research reveals a distinction between the type of investor and the investor strategy. By focusing on the concentration of ownership, we demonstrate the performance effect on different blockholders. Our findings suggest, first, that grey investors decrease firm value; second, that passive independent institutions enhance firm performance in virtue of their active monitoring and long-term investment horizons; third, that innovative firms have different ownership patterns to traditional ones.
Added: Nov 26, 2018
Working paper
Grigorieva S., Petrunina T. Financial Economics. FE. Высшая школа экономики, 2013. No. WP BRP 20/FE/2013.
Researchers have long tried to define the impact of corporate mergers and acquisitions on company performance. We contribute to the existing literature by examining the influence of M&A deals on company value in the short-run using the event study method and in the long-run based on economic profit concept. Examining a sample of 80 deals initiated by companies from emerging capital markets over 2002-2009, we find that M&As are value-destroying deals for the combined firms. Results from the long-run analysis prove the negative industry-adjusted differences between post-acquisition and pre-acquisition performance measures. The difference is equal to a significant -3.3% for the EBITDA/Sales ratio. The Economic Profit approach demonstrates a similar result. Our findings from the short-run analysis indicate that the announcements of M&A deals generate significant high returns for target shareholders, while the returns to bidder shareholders are not significant. We also analyze the determinants of M&A performance, such as method of payment, business similarity, and the target’s country. 
Added: Oct 25, 2013
Working paper
Ozhegov E. M. Financial Economics. FE. Высшая школа экономики, 2014. No. WP BRP 31/FE/2014 .
This paper analyzes the mortgage borrowing process from a Russian state-owned provider of residential housing mortgages concentrating on the choice of having government insurance. This analysis takes into account the underwriting process and the choice of loan limit by the bank, the choice of contract terms and the performance of all loans issued from 2008 to 2012. Our dataset contains demographic, financial, loan terms and the performance information for all applications. We use a multistep nonparametric approach to estimate the determinants of bank and borrower choice. The main finding that the probability of having government insurance is linked to riskier loans, but insured loans also are more likely to be approved by the bank. The bank, when approving a borrower, takes into account not the probability of default but the difference between the probability of default and having government insurance.
Added: Jun 17, 2014
Working paper
Guillemin F., Semenova M. Financial Economics. FE. Высшая школа экономики, 2018. No. WP BRP 67/FE/2018.
This paper investigates the role of bank voluntary disclosure, as a source of information about risk, in the interbank market. Using data on the 179 largest Russian banks over the period of 2004-2013 we test whether the ability to attract interbank loans is sensitive to various transparency indices such as those disclosing bank risks, board composition, or even corporate event details. We show that larger but riskier banks – at least in terms of credit risk – behave more transparently and disclose more. The article is also the first to provide evidence that the ability to attract funds in the interbank market is positively correlated with the degree of transparency. This result is stable for various aspects of disclosure.
Added: Aug 2, 2018
Working paper
Dobrynskaya V. V. Financial Economics. FE. Высшая школа экономики, 2015. No. WP BRP 50/FE/2015.
I provide a novel risk-based explanation for the profitability of momentum strategies. I show that the past winners and the past losers are differently exposed to the upside and downside market risks. Winners systematically have higher relative downside market betas and lower relative upside market betas than losers. As a result, the winner-minus-loser momentum portfolios are exposed to extra downside market risk, but hedge against the upside market risk. Such asymmetry in the upside and downside risks is a mechanical consequence of rebalancing momentum portfolios. But it is unattractive for an investor because both positive relative downside betas and negative relative upside betas carry positive risk premiums according to the Downside-Risk CAPM. Hence, the high returns to momentum strategies are a mere compensation for their upside and downside risks. The Downside Risk-CAPM is a robust unifying explanation of returns to momentum portfolios, constructed for different geographical and asset markets, and it outperforms alternative multi-factor models. JEL Classifications: G12, G14, G15. Keywords: momentum, downside risk, downside beta, upside risk, upside beta, Downside-Risk CAPM.
Added: Apr 13, 2016
Working paper
Andreev N. A. Financial Economics. FE. Высшая школа экономики, 2015. No. WP BRP 45/FE/2015 .
We study a worst-case scenario approach to the problem of strategic portfolio selection in presence of transaction costs and trading limits under uncertain stochastic process of market parameters. Unlike classic stochastic programming, the approach is model-free, solution of the arising Bellman-Isaacs equation can be easily found numerically under some general assumptions. All results hold for a general class of utility functions and several risky assets. For a special case of proportional transaction costs and CRRA utility, we present a numerical scheme which allows to reduce the dimension of the Bellman-Isaacs equation by a number of risky assets.
Added: May 20, 2015