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Cost of Equity and Risk: Empirical Evidence from Russia
Social Science Research Network
,
2012.
No. 2107736.
The choice of appropriate model for estimation of cost of equity in emerging markets is still a very challenging problem. Market inefficiency, limited opportunities for diversification, as well as liquidity issues inspire researches to look for risk characteristics beyond the usual mean variance framework of the classical capital asset pricing model. Various models were developed for the past several decades proposing new ways of risk assessment, however, controversial empirical evidence of these models requires careful consideration. We tested empirically how different risk parameters, including those entropy based, explain the rate of return on Russian equities. We compare different models to choose the best suiting one for each period of economic cycle.
Shvets S. K., Вестник Российской академии естественных наук 2014 Т. 1 № 18 С. 59-63
We introduce a concept of risk elimination in nonfinancial companies. Principles of functioning of the risk elimination systems are stated and criteria of effectiveness of the key processes of corporate risks neutralization are given. ...
Added: March 16, 2015
Yury Dranev, Sofya Fomkina, / Высшая школа экономики. Series FE "Financial Economics". 2012. No. 12/FE/2012.
The choice of an appropriate model for the estimation of the cost of equity in emerging markets is still a very challenging problem. Market inefficiency, limited opportunities for diversification, as well as liquidity issues inspire researches to look for risk characteristics beyond the traditional framework of the classical capital asset pricing model. Various models ...
Added: February 28, 2013
Ayvazyan S. A., Andrievskaya I. K., Penikas H. I. et al., Review of Applied Socio-Economic Research 2011 Vol. 1 No. 1 P. 70-80
The world financial crisis of 2008-2009 has shown that the existence of systemically important financial institutions (SIFIs) poses serious policy challenges to both developed and developing economies’ authorities. As for now there are different approaches to identifying SIFIs focused on contagion, concentration, correlation and conditions effects. The paper aims at testing a new approach to ...
Added: November 3, 2013
Aistov A., Kuzmichev K., Финансовая аналитика: проблемы и решения 2013 № 5 С. 36-44
Основная цель исследования состоит в тестировании моделей ценообразования капитальных активов (CAPM, трехфакторной модели Фамы – Френча и четырехфакторной модели Фамы – Френча –Кархарта) на временном интервале с июня 2000 г. по май 2012 г. Авторы приходят к выводу, что на анализируемых данных объясняющая способность модели Фамы – Френча лучше. ...
Added: March 19, 2013
Vinogradov D., Elena Shadrina, Makhlouf Y., / SSRN. Series 3516187 "SSRN.3516187". 2020.
People differently rank factors they see as important when making decisions with potential environmental impact. Both in a survey and theoretically, we investigate the relative importance of monetary and non-monetary factors and how and whether attitudes to uncertainty affect this ranking. Risk and ambiguity aversion explains the ranking of decision factors that involve uncertainty about future outcomes but often uncertainty ...
Added: February 3, 2020
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
Shvets S. K., Вестник Российской академии естественных наук 2013 № 4(17) С. 43-51
We assess the current level of risk management in Russian companies and determine key trends of risk management development. Problems and factors of risk management development in Russia are described. The evolution of comcepts of corporate risk management is researched. We analyze the theory of risk taking into consideration the new paradigms of technological structures ...
Added: March 9, 2014
Dranev Y., Nurdinova Y., Redkin V. et al., Корпоративные финансы 2012 № 2 С. 107-117
Одной из наиболее актуальных проблем корпоративных финансов является оценка затрат на собственный капитал компаний. Особенности развивающихся рынков капитала не всегда позволяют использовать традиционные методы оценки. Действительно, развивающимся рынкам капитала свойственны дополнительные риски, связанные с неэффективностью рынка, ограниченными возможностями диверсификации, а также институциональными особенностями развивающихся стран. Для учета этих рисков значительное количество исследователей разрабатывали новые модели ...
Added: September 20, 2012
Krivda S., Варсегов А. Г., Управленческий учет 2015 № 9 С. 19-29
The article offers the author's method of analysis and evaluation of legal risks in a commercial organization. Contains the definition of legal risk, offers their classification. This paper proposes a mechanism for calculating the valuation of legal risks, as well as the interrelation of legal risks and financial condition of the commercial organization. ...
Added: October 1, 2015
Tevanyan E., Penikas H. I., Банковское дело 2015 № 7 С. 72-81
Bank of Russia instruction No. 154-I requests to develop remuneration system for bank employees that take and control risks, particularly paying attention to defining variable and deferred parts of remuneration. This paper addresses the first issue to define veariable part of remuneration. Paper offers optimal incentive contract for agents that differ by risk-perception considering the ...
Added: July 5, 2015
Rasskazova A. N., Rasskazov S. V., СПб. : Издательство СЗИУ РАНХиГС, 2013
The tutorial discusses the practical computer analysis in the solution of problems in financial management topics . Included guidelines for the quantitative description of the planning system in financial management. An overview of key categories and provisions for asset management and capital. Revealed theoretical issues related to investment management . The material in this manual ...
Added: March 9, 2013
Krivda S., Экономика, труд, управление в сельском хозяйстве 2019 № 8 С. 94-99
As part of the proposed method of estimates of the specific risk premium for the organization of the agricultural sector of the economy, identification of the main risks specific to the agricultural business is made. The method of estimation of probability and consequences of a risk event is specified. The method of risk assessment, taking ...
Added: October 2, 2019
Aistov A., Kuzmichev K., Финансовая аналитика: проблемы и решения 2012 № 47(137) С. 15-23
Авторы показывают, в какой степени такие факторы риска, как рыночный фактор из модели САРМ, фактор стоимости и фактор размера из трехфакторной модели Фамы-Фрэнча и фактор предыдущих доходностей из четырехфакторной модели Фамы–Фрэнча–Кархорта, влияют на избыточную доходность паевых инвестиционных фондов. ...
Added: January 12, 2013
Matsuk Z., Deari F., Lakshina V. V., Economic Annals-XXI 2016 Vol. 160 No. 7-8 P. 116-120
This paper provides an experimental study on optimal portfolio composition. Data on seven stocks, included in Ukrainian Exchange Index, for the period from January to December 2015 are considered.
The analysis covers descriptive statistics, correlation, and, finally, optimal investment weights, which are calculated using Sharpe ratio. Covariance matrix of returns is estimated by means of generalized ...
Added: October 5, 2016
Беунца Д., Старк Д., Экономическая социология 2016 Т. 17 № 2 С. 50-81
The article treats quantitative finance sociologically. It is argued that although mathematical modeling dramatically changed the nature of modern finance, it did not eliminate sociality from financial markets. However, the traditional sociological approach to markets, with its focus on personal social ties and networks, should be transformed as well. Anonymous financial models have not replaced ...
Added: April 10, 2016
Penikas H. I., Andrievskaya I. K., Model Assisted Statistics and Applications 2012 Vol. 7 No. 4 P. 267-280
According to the strategy of the banking system development until 2015, the Central Bank of Russia is going to implement Basel II Internal-Ratings-Based (IRB) approaches in 2015, while Basel III is planned to be introduced in full starting from 2019. Taking into account the effects of the Basel II regulation during the crisis 2008-2009, in ...
Added: November 6, 2012
Podinovskiy V. V., Искусственный интеллект и принятие решений 2015 № 2 С. 60-74
Приводится аналитический обзор числовых характеристик (мер) риска, применяемых в качестве критериев для оценки вариантов выбора в задачах принятия решений. Особое внимание уделяется среднему полуотклонению. ...
Added: July 10, 2015
Penikas H. I., Управление финансовыми рисками 2017 Т. 49 № 1 С. 2-16
Статья посвящена проектированию банковского регулирования, основанному на сравнении банков с транспортными потоками. Предложенные автором аналогии позволяют экстраполировать решения задач по управлению транспортными потоками на область регулирования финансовых рисков. В работе обосновывается, что финансовой стабильности можно достичь только при минимизации регулирования, а не его ужесточении. ...
Added: January 28, 2017
Shvets S. K., Вестник Российской академии естественных наук 2013 № 4 С. 149-156
We research the problem of risk diagnostics at a ship-building company. The procedures os classification, identification, mapping and cataloguing risks are considered. An algorithm of risk diagnostics considering specific features of a ship-building company is offered. ...
Added: March 9, 2014
Жуков А. Е., Финансы и кредит 2012 № 28 (508) С. 53-61
В статье отмечается, что изменение демографической ситуации во многих странах мира привело к развитию накопительной пенсионной системы и негосударственных пенсионных фондов (НПФ). Вопросы финансовой устойчивости НПФ имеют особое значение для регулирующих органов, так как фонды определяют доход своих клиентов в пожилом возрасте. Проводится анализ и сопоставление методов определения финансовой устойчивости надзорными органами в четырех странах. ...
Added: November 27, 2012
Shvets S. K., Морской вестник 2013 № 1(10) С. 120-123
Identified: the conceptual basis for the development and implementation of enterprise risk management in the shipbuilding industry. Comparative analysis of the systems of integrated risk management in the shipbuilding company. Recommendations on the implementation of ISO 31000:2009 at the enterprises of the industry. ...
Added: March 9, 2014
Selmier W. T., Penikas H. I., Vasilyeva K., Procedia Computer Science 2014 Vol. 31 P. 115-123
This paper aims to present an alternative paradigm of financial risk to mitigate future financial crises. We argue that risk is not simply a feature of a financial product but a good in and of itself. Examining financial risk, we argue that it is most accurately typed as a common pool (particularly systemic risk) and so ...
Added: July 3, 2014
Penikas H. I., Vasilyeva K., Selmier II W. T., / Indiana University. Series "Addressing the Complexities of Property Rights in Financial Markets". 2013. No. W13–11.
The recent financial crisis has once again shown us that our knowledge of the financial sphere is insufficient to manage, let alone control, these types of crises. The concept of risk is a crucial pillar in that sphere, and this paper aims to present an alternative paradigm of risk to mitigate future financial crises. Our ...
Added: May 24, 2013
Rossokhin V. V., Финансы и кредит 2012 № 2 С. 19-27
Анализируются методы оценки рисков вложения в финансовые активы. Проводится оценка показателя дисперсии, как мерила риска. ...
Added: November 14, 2012