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Momentum effect on the Russian stock market. Whether emerging markets are not profitable for Momentum Strategies (WP World Finance & Banking Symposium, Singapore 2014)
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In press
The aim of this article is to prove the evidence of cross sectional momentum effect in Russian stock market within the variety of momentum strategy design elements and disclosure of the momentum effect nature.
Language:
English
Berzon N. I., Якушова О. В., Финансы и бизнес 2025 Т. 21 № 4 С. 27–37
Российский фондовый рынок в последние годы переживает масштабную
трансформацию, обусловленную не только макроэкономическими и политическими
изменениями, но и активным притоком розничных инвесторов. Особенно
интенсивный рост наблюдается с 2020 г., что отражает растущую вовлеченность
населения в инвестиционную деятельность. ...
Added: March 10, 2026
Sizykh N., Sizykh D., , in: 2025 18th International Conference on Management of Large-Scale System Development (MLSD).: IEEE, 2025. P. 1–4.
This paper examines methods for analyzing structural changes in investment portfolios and proposes new approaches for assessing turnover and the effectiveness of their rebalancing. The study aims to systematize and adapt statistical indicators of structural shifts for analyzing the dynamics of securities portfolios, as well as to develop methodologies for assessing the proportion of changes ...
Added: February 1, 2026
Rechmedina S., Haniev A., Suhih V., Вестник Московского университета. Серия 6: Экономика 2025 Т. 60 № 3 С. 40–62
Periods of high market volatility put investors in a situation where conventional decision- making methods are less reliable. To improve returns, market participants need to understand which factors play a big role in portfolio formation. This article analyzes the determinants of Russian stock returns during the Covid-19 and the rise in geopolitical tension in 2022. ...
Added: December 11, 2025
Makeeva N., Наволоцкая П. А., Iskyandyarov R. et al., Вопросы экономики 2026 № 6 С. 135–154
This paper analyzes the informational value and predictive power of retail investor sentiment, formed by news flows and social media publications, for the dynamics of the Russian stock market. The aim of the study is to assess the informational value and predictive power of sentiment indicators, calculated using the FinBERT model, for key stock market ...
Added: December 2, 2025
Fayzulin M., Финансовый журнал 2024 Т. 16 № 4 С. 95–113
In this paper, the sentiment of private investors and the divergence of opinions of users of online investment platforms are analyzed as factors in the emergence of herd behavior on the stock market in different clusters. This clusters are formed on the basis of stock exchange information on shares of Russian issuers. The relevance of ...
Added: August 28, 2024
Nazarova V., Churakova I., Suvorova M., The Journal of the New Economic Association 2024 No. 2 (63) P. 117–143
This research investigates the Russian stock market response to COVID-19 pandemic and compares how the reactions to it varied among the industries. The event study and Wavelet coherence were applied to answer the research question. It was discovered that the Russian stock market in general had a strong negative reaction to the COVID-19 outbreak. However ...
Added: July 1, 2024
Ruzhanskaya L., Voytenkov V., Urazbaeva A. et al., Journal of Corporate Finance Research 2022 Vol. 16 No. 2 P. 44–55
In the face of complex sanctions, Russian companies are looking for new mechanisms to ensure sustainability. An over - crowded corporate news backdrop could be the source for a significant decline in a company’s market value or growth. Given the importance of information disclosure and corporate news for investors’ expectations, we estimate the effect that ...
Added: December 29, 2023
Nazarova V., Лещев С. И., Финансовый журнал 2023 Т. 15 № 1 С. 58–73
In this paper, the momentum effect is viewed as a price anomaly whereby portfolios of assets of the same return class exhibit a systematic outperformance in profit generation relative to a given benchmark (e.g., a market index). The study contributes to a better understanding of the momentum effect in the Russian stock market. Using data ...
Added: March 7, 2023
Teplova T., Tomtosov A., Sokolova T., Plos One 2022 Vol. 17 No. 12 Article e0276924
In this study, using AI, we empirically examine the irrational behaviour, specifically attentiondriven trading and emotion-driven trading such as consensus trading, of retail investors in an emerging stock market. We used a neural network to assess the tone of messages on social media platforms and proposed a novel Hype indicator that integrates metrics of investor ...
Added: January 16, 2023
Nazarova V., Анисина Д. В., Вестник Московского университета. Серия 6: Экономика 2021 № 21(3) С. 240–270
An initial public offer (IPO) involves new financial opportunities for the issuing company such as: gaining access to capital markets, expanding the investor base, increasing the company's market value. In most primary placements, there is an underestimation of companies entering the market, which may be due to the influence of both external and internal factors. ...
Added: November 4, 2021
Dmitri Trifonov, / Series WP BRP "Basic research program". 2020. No. 230/EC/2020.
This paper provides comprehensive empirical evidence on political connections of Russian corporations based on a sample of companies for the period 2011 – 2015, divided into subsamples before and after the events in Ukraine. Specifically, the study (1) evaluates how common political connections are for Russian corporate environment, and (2) investigates the impact of political ...
Added: March 24, 2021
Алексеев М. Ю., Шовиков С. Н., Финансовая газета (Российская Федерация) 1994 № 3 С. 9
О фоновом рынке России в 1993 г. ...
Added: December 12, 2019