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Вопросы управления портфелем при реструктуризации в условиях низкой ликвидности рынка
Финансовый бизнес. 2012. № 3 (158). С. 50-55.
The general issues of determining the liquidation value are discussed, such as the choice of market liquidity risk model and the choice of a price benchmark for estimating transaction costs. The layout for the portfolio management process is proposed which is grounded on a previously developed approach to determining the liquidation value of a portfolio. It allows not only defining and linking the rational liquidation strategies for different time horizons but also considering some microstructural effects, such as volatility momentum, corresponding to the intervals between trading sessions.
Naumenko V., Лизинг. Технологии бизнеса 2013 № 8 С. 7-15
Based on the analysis of the factors and circumstances that must be taken into account in portfolio restructuring, this article justifies using the potential liquidation value as a benchmark for evaluating portfolio performance. ...
Added: October 17, 2013
Teplova T., Gurov S., Applied Economics 2022 Vol. 54 No. 51 P. 5943-5955
We perform a comprehensive study of different illiquidity effects in the relatively illiquid Russian stock market. Over the period 2010–2020, we apply cross-sectional and time-series regressions using two low-frequency illiquidity proxies: the Amihud ratio and the invariance-implied ratio. The evidence suggests that implicit trading costs influence only the returns of small-capitalization stocks or low size ...
Added: April 26, 2022
Teplova T., Gurov S., Annals of Operations Research 2022
Using high-frequency transaction-level data for liquid Russian stocks, we empirically reveal a joint nonlinear relationship between the average trade size, log-return variance per transaction, trading volume, and the asset price level described by the Intraday Trading Invariance hypothesis. The relationship is also confirmed during stock market crashes. We show that the invariance principle explains a ...
Added: April 26, 2022
Andreev N. A., / Высшая школа экономики. Series WP BRP "Economics/EC". 2014. No. WP BRP 38/FE/2014.
We research the properties of implicit transaction costs function for general-shaped limit order book. Equivalent conditions for linearity of the function are presented in terms of market liquidity. We also present a suitable functional form of implicit costs for MICEX order-driven market based on high-frequency trading data. The proposed form meets the denition of costs ...
Added: October 21, 2014
Gurov S., Teplova T., International Journal of Emerging Markets 2023
Purpose – The study examines the relationship between news intensity, media sentiment and market
microstructure invariance-implied measures of trading activity and liquidity of Chinese property developer
stocks during the 2020–2022 Chinese property sector crisis.
Design/methodology/approach – The authors adopt the extension of the news article invariance
hypothesis, which is a generalization of the market microstructure invariance conjecture, from January ...
Added: September 8, 2023
N. A. Andreev, Journal of Mathematical Sciences 2020 Vol. 248 No. 1 P. 116-122
This paper studies the form of the instantaneous impact cost function in a financial market with transaction costs via an axiomatic approach. We show that several kinds of convexity of the cost function are equivalent to the corresponding properties of the price impact functions. The results clarify the implicit assumptions made when selecting a particular ...
Added: July 25, 2020
Shastitko A., Общественные науки и современность 2018 № 4 С. 178-191
Определены варианты интеграции концепции структурной неопределенности в экономические исследования. Раскрыты различные аспекты понимания структурной неопределенности в свете ти- пов ситуаций индивидуального выбора с учетом выбранной точки отсчета – неоклассическая ис- следовательская программа, единицей анализа в которой является индивидуальный выбор. С по- мощью концепции лапласовского наблюдателя показано отличие ситуации структурной неопреде- ленности от фундаментальной, или параметрической, ...
Added: October 30, 2018
Teplova T., Rasskazova A. N., МИР (Модернизация. Инновации. Развитие) 2012 Т. 12 № 4 С. 54-61
In this paper as the main feature of innovation in the financial health of a company analyst view the shift to two circuits of key interests of owners of capital (financial stakeholders). Justified by differences key financial systems within the contour ownership interest and the lender three projections: liquidity, the current economic efficiency and growth. ...
Added: March 8, 2013
Khasyanova S. Y., Деньги и кредит 2013 № 6 С. 35-40
The aim of this work is to analyze the financial stability indicators of Russian banking sector over a period 2008–2012. The analysis based on data published and used by the International Monetary Fund for assessing financial stability of various countries. During the research the factors affecting the level and dynamics of analyzed indicators were identified. ...
Added: July 15, 2013
Pilnik N., Radionov S., Yazykov A., Экономический журнал Высшей школы экономики 2018 Т. 22 № 3 С. 418-447
The paper describes the new version of the model of the Russian banking system, which successfully reproduces a wide set of parameters characterizing its performance: loans and deposits of firms and households, liquidity nominated both in rubles and in foreign currency, mandatory reserves. We describe the technique of derivation of model relations, which includes the ...
Added: November 1, 2018
Brodetskiy G., Шутова П. А., Логистика сегодня 2012 № 3 С. 130-141
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Added: November 20, 2012
Chirkova E. V., Веремчук И. А., Российский журнал менеджмента 2017 № 2 С. 225-248
This article is a case study of the bankruptcy of the Russian passenger aviation company “Transaero” that took place in 2015 aimed to reveal the preferences of creditors of financially distressed companies between formal bankruptcy and restructuring. We tested the hypothesis that the creditors of Transaero have chosen its bankruptcy because its liquidation value was ...
Added: July 13, 2017
Shastitko A., Kurdin A., Вопросы теоретической экономики 2020 № 2 С. 36-50
Статья посвящена особенностям поведения экономических агентов в ситуациях выбора с разными информационными характеристиками. Ситуации принятия решений могут быть систематизированы по признакам наличия информации о составе возможных случайных событий и вероятности их наступления. Можно выделить ситуации определенности, риска, параметрической и структурной неопределенности. В ряде случаев попадание экономических агентов в наиболее сложную ситуацию структурной неопределенности способствует выработке ...
Added: August 20, 2020
Алексеев А. А., Иванинский И. О., Озорнина О. В. et al., Корпоративные финансы 2009 № 1(9) С. 81-86
The article gives an overview of influence of stock market discrimination on market value of companies in China. There are two types of shares on Chinese stock market: class A shares, which are available for domestic investors, and class B shares, which are available for foreign investors. Such market structure is not a unique Chinese ...
Added: March 3, 2013
Прокудина Е. Б., Банковские услуги 2010 № 10 С. 13-20
Argentina, the second largest country in Latin America, hardly recovered form the recession of the year 2001, faces the crisis again in 2008. First of all, the crisis affected the credit and banking sphere of the country, reducing the volumes of credit and deposit. But during the crisis, Argentina managed to carry out the restructuring ...
Added: October 4, 2012
Andreev N. A., Lapshin V. A., Naumenko V. et al., Управление риском 2011 Т. 58 № 2 С. 35-53
В рамках методологии Альмгрена и Криса была подготовлена оригинальная методика расчета оптимальной ликвидационной стоимости портфеля с учетом особенностей микроструктуры рынка, организованного в форме книги лимитированных заявок. Для ее реализации была построена модель с учетом глубины рынка, которая привела к решению нелинейной оптимизационной задачи ликвидации портфеля. Главное отличие данного подхода от схожих методик заключается в том, ...
Added: October 24, 2012
Voyko A. V., Финансовая жизнь 2017 № 3 С. 64-67
Currently, the main problem in assessing the financial condition is the fact that the methodology proposed by the authors do not take into account the nature of the activities of energy companies. Currently, the majority of the works of Russian and foreign authors related to financial recovery issues are not investigated the influence of industry-specific ...
Added: January 31, 2018
Kotliarov I. D., Журнал институциональных исследований 2017 Т. 9 № 1 С. 69-87
The goal of the present paper is to clarify the role of transaction cost for existence of an economic agent. It is demonstrated that the opposition of transaction cost and transformation cost is not rigid and there are costs that contain both transaction and transformation component. In addition the amount of transaction cost depends on ...
Added: January 30, 2018
Pilnik N., Pospelov I. G., Dedova M., Журнал Новой экономической ассоциации 2014 № 4 (24) С. 87-110
On the basis of statistical balances and turnovers subaccounts Russian banking system built description liquidity needs of banks. Initial accounts combined into 35 units (which include loans and deposits by macroeconomic agents) are ranked by the rate of turnover. Based on this classification, there is a group of units that characterize the level of liquidity ...
Added: October 23, 2014
Kamenev I., Креативная экономика 2017 Т. 11 № 3 С. 363-378
The article describes theoretical and methodological issues of the research and planning of social (social-economic) reforms. The object of the study is the social-economic reform. The subject of the research includes social practices and social mechanisms (aims of the change), the content of innovation changes (which can be observed in the field of the reform) ...
Added: May 27, 2018
Khasyanova S. Y., Самсонов М. Е., Проблемы управления 2020 № 3 С. 40-48
The paper is devoted to the development of the mortgage securitization market in Russia. The aim of the study is to assess the average effect of mortgage securitization transactions on the performance of Russian banks that executed such transactions in the period from 2012 to 2018. The Propensity Score Matching methodology, which is applied for ...
Added: July 1, 2020
Zukhba D.S., Vysotskyi A., Popovich H., Экономический вестник Донбасса, Украина 2012 No. 4 (30) P. 92-98
This article deals with application of the Capital Asset Pricing Model and its drawbacks on the Ukrainian equity market. In this paper efficiency of the CAPM in the domestic conditions is identified; alternative models are proposed. ...
Added: September 22, 2015
Yavorksaya A., Экономика, социология и право 2012 № 4 С. 136-137
Статья посвящена кросс-листингу российских компаний, влиянию кросс-листинга на стоимость компаний. Автор обосновывает механизмы влияния кросс-листинга на стоимость компании. На обсуждение профессионального сообщества выносятся гипотезы, подтвержденные на развитых рынках и частично подтвержденные на российском рынке. Российские компании, выпустившие депозитарные расписки, имеют более высокую стоимость, являются более узнаваемыми. Компании, выпустившие депозитарные расписки в Нью-Йорке, имеют более высокую ...
Added: December 23, 2012
Teplova T., Zaltsman A., Рассадкин Л. Ю. et al., Вестник Национальной ассоциации участников фондового рынка (НАУФОР) 2012 № 2 С. 56-59
В периоды высокой волатильности на фондовом рынке особый интерес у инвесторов вызывают акции с денежными текущими выплатами – дивидендами. Кто выплачивал денежные дивиденды на российском рынке по акциям, которые котируются на ММВБ, кто такие "дивидендные аристократы" и каковы показатели привлекательности инвестирования по отраслям и эшелонам?" ...
Added: November 21, 2012