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Does Momentum Trading Generate Extra Downside Risk?
Quarterly Journal of Finance. 2022. Vol. 12. No. 2. Article 2250001.
Momentum strategies tend to provide low returns during market crashes, and they crash themselves when the market rebounds after significant crashes. This is reflected by positive downside market betas and negative upside market betas of zero-cost momentum portfolios. Such asymmetry in upside and downside risks is unfavorable for investors and requires a risk premium. It arises mechanically because of momentum portfolio rebalancing based on trailing asset performance. The asymmetry in upside and downside risks is a robust unifying feature of momentum portfolios in various geographical and asset markets. The momentum premium can be rationalized within a standard asset-pricing framework, where upside and downside risks are priced differently.
Торговые ограничения как инструмент международного давления (на примере импортных поставок в Россию)
Biryukova O. V., США и Канада: экономика, политика, культура 2026 Т. 10 С. 37–50
The article examines the theoretical and practical aspects of the application of trade restrictions as a tool of international pressure using the case of import supplies to Russia. Special attention is paid to legal conflicts within the World Trade Organization (WTO) related to the application of national security exceptions (Article XXI of the GATT), and ...
Added: October 10, 2026
М.: НИЦ Инфра-М, 2026.
This textbook synthesizes modern concepts and approaches in the field of project management and is designed for use in project management courses. The material is based on the recommendations of the International Project Management Association (IPMA) and international standards ISO 21500 and ISO 21502.
It meets the requirements of the latest generation of federal state educational ...
Added: October 10, 2026
Aleskerov F. T., Вайншток А. П., Делахова А. М. et al., Информационные процессы 2026 Т. 26 № 3 С. 895–913
The development and effective management of territorial entities are priority issues for all states, particularly in the context of the digital transformation of public administration. Over the past decade, the integration of information technologies into municipal and regional planning has significantly altered approaches to strategic development, service delivery, and public engagement. This paper describes the ...
Added: October 9, 2026
Bessonova E., Popova S., Fedulova M., Emerging Markets Review 2026 Vol. 75 Article 101564
To mitigate the shocks caused by the pandemic-related restrictions, many governments implemented extensive support measures for companies facing sharp declines in revenues. In Russia, loan guarantee programmes allowed many firms to apply for loans during the pandemic. As a result, the number of small loans soared. Participation in the loan guarantee programmes helped firms in ...
Added: October 8, 2026
Kuzminov Y., Koshel A., Kruchinskaia E., Russian Journal of Economics 2026 No. 12(3) P. 311–334
The expansion of digital platforms and ecosystems is reshaping consumption and the structure of modern markets. In the Russian context, a representative survey conducted by the authors indicates frequent online purchasing driven primarily by time savings, broader assortment and price accessibility. Platforms thus generate consumer benefits, including non-monetary gains that are not fully captured by ...
Added: October 8, 2026
Aleskerov F. T., Chaika E., Дерендяев А. Б. et al., Procedia Computer Science 2026 No. 287 P. 590–595
Under conditions of dynamic socio-economic changes, effective planning and decision-making are key factors in ensuring a high quality of life for the population in territories. This paper presents a decision support system for territorial administrations for the development and implementation of sustainable development strategies, using one of the regions of the Russian Federation – the ...
Added: October 7, 2026
Kuzminov Y., Kruchinskaia E., Koshel A. et al., М.: Издательский дом НИУ ВШЭ, 2026.
В научном докладе цифровые платформы впервые рассмотрены не как частный сегмент цифрового рынка, а как новый институциональный механизм организации экономики. В одной исследовательской рамке соединены экономика, право, социология, компьютерные науки, информационная безопасность, данные бизнеса и регуляторная практика — все то, что позволяет взглянуть на платформы как на институт со своими правилами игры. Особую ценность работе ...
Added: October 6, 2026
Lola I. S., Ostapkovich G. V., Asoskov D., ИСИЭЗ НИУ ВШЭ, 2026.
Центр конъюнктурных исследований Института статистических исследований и экономики знаний НИУ ВШЭ представляет информационно-аналитический материал «Потребительские настроения населения в III квартале 2026 г.», подготовленный в рамках Программы фундаментальных исследований НИУ ВШЭ.
В основу обзора положены ежеквартальные опросы более 5 тыс. человек в возрасте от 16 лет и старше. Такие опросы Федеральная служба государственной статистики (Росстат) проводит во всех субъектах ...
Added: October 6, 2026
Rastvortseva S., Tyushkevich Y., Salushkina Z. S., Journal of regional and international competitiveness 2026 Vol. 7 No. 2 P. 38–49
This paper examines the contemporary models of international competitiveness adopted by Big Tech corporations between 2010 and 2025. The study aims to identify the internal drivers underpinning the resilience of technological giants and to assess their capacity to withstand external shocks, including sanctions, geo-economic fragmentation, and regulatory shifts. To achieve this objective, the authors employ ...
Added: October 5, 2026
De Gruyter, 2026.
Post-Soviet Eurasia is one of the world's most geopolitically consequential and rapidly transforming regions. Developments across it increasingly reshape political, economic and social relations far beyond its borders. Understanding these dynamics is therefore both intellectually urgent and analytically demanding, requiring an interdisciplinary approach capable of moving beyond established categories and fragmented national perspectives.
This handbook provides ...
Added: October 5, 2026
М.: Национальный исследовательский университет "Высшая школа экономики", 2026.
В шестнадцатом выпуске электронного издания «Вестник Российского мониторинга экономического положения и здоровья населения НИУ ВШЭ (RLMSHSE)» представлены работы, подготовленные на основании данных лонгитюдного обследования домохозяйств «Российский мониторинг экономического положения и здоровья населения НИУ ВШЭ» (РМЭЗ НИУ ВШЭ) за 1992–2024 гг. В выпуске рассматриваются динамика доходов и расходов российских домохозяйств, тенденции развития рынка труда, социальное самочувствие ...
Added: October 5, 2026
Милицына П. С., Rozhkova K., Roshchin S. et al., Высшее образование в России 2026 № 8-9 С. 94–115
Привлечение и удержание молодых педагогов в школах является одним из важнейших вопросов для преодоления проблемы кадрового дефицита в системе образования. В статье анализируются особенности трудоустройства выпускников российских вузов педагогических специальностей выпуска 2021–2022 гг. На основе тотальных административных данных выявлены факторы, влияющие на вероятность их первоначального трудоустройства в школу и последующего закрепления в профессии. Результаты показывают, ...
Added: October 5, 2026
Автухова Е. Э., Larionov A., Плачинда К. Д., М.: Экономический факультет МГУ им. М.В. Ломоносова, 2026.
Данное методическое пособие разработано в соответствии с рабочей программой курса «Банковское дело», реализуемого на Экономическом факультете МГУ имени М. В. Ломоносова по специальности «Экономика» (бакалавриат), и может быть рекомендовано для подготовки к семинарским занятиям и самостоятельной работе студентов. ...
Added: October 4, 2026
Demidova O., Kazakova S., Applied Economics 2026 P. 1–14
This paper examines the nonlinear relationship between inflation and economic growth across Russian regions, contributing to the literature on the inflation-growth nexus by using subnational evidence from a large and economically heterogeneous country. Using panel data for 83 regions over the period 2015–2023, we estimate fixed-effects models with a quadratic specification of inflation. The growth-maximizing ...
Added: October 3, 2026
Tikhonova N. E., Karavay A., Социологическая наука и социальная практика 2026 Т. 14 № 3 С. 12–36
Drawing on data from the 2024 RLMS-HSE, the article shows that employmentrelated risks are increasingly being shifted onto workers in Russia, while employment differentiation already affects more than 40% of employed Russians, even without taking into account deviations from standard working hours, which are typical of most representatives of the mass social strata. Employment differentiation in Russia is characterized, ...
Added: October 2, 2026
Белов Б. П., Kocharian R., Самойлов И. А. et al., Стандарты и качество 2026 № 10 С. 105–109
Acceptance of enterprise AI search requires checking answer correctness and access controls, defining acceptable errors, and assessing whether testing is sufficient. A record for individual acceptance criteria was developed. Its eight fields link requirements and risks to system configuration, testing, and the acceptance decision. The fields are mapped to provisions in four Russian standards. The ...
Added: October 1, 2026
Пилюк Е. Р., Rozmainsky I. V., Журнал институциональных исследований 2026 Т. 18 № 3 С. 77–96
This paper analyzes the financial fragility оf cоmpanies in Saudi Arabia frоm 2012 tо 2025 based оn the Hyman Minsky’s financial instability hypоthesis and is the first attempt to apply this theory to a country dominated by Islamic banking. The authors test not only the relationship between the dynamics of financial fragility and the dynamics ...
Added: October 1, 2026
Klaro Ramires P. M., Veselova A., AlterEconomics (ранее - Журнал экономической теории) 2026 Т. 23 № 3 С. 699–718
As Russia transitions toward a green economy and reshapes its sustainable development agenda, understanding the external and internal factors influencing companies’ adoption of ESG principles is increasingly important. The study examines the relationships between external institutional pressure, internal organizational capabilities, and the effectiveness of corporate ESG practices. It focuses on external regulatory and non-regulatory mechanisms, ...
Added: October 1, 2026
Teplova T., Sokolova T., Kissa D. et al., Журнал Новой экономической ассоциации 2026 Т. 70 № 1 С. 157–190
This study is the first attempt to apply Explainable Artifi cial Intelligence (ХAI) to reveal the relationship of different Environmental, Social and Governance (ESG) metrics of stock issuers on downside risk in the Russian market. The methodology is based on the two-stage approach, i. e., neural networks with dense layers and the Shapley values from ...
Added: October 17, 2025
Teplova T., Sokolova T., Gurov S., Journal of Risk and Financial Management 2024 Vol. 17 No. 4 Article 172
This paper reveals the impact of environmental, social, and governance (ESG) scores on systematic and downside risks in the Russian stock market. We analyze the influence of a broad set of ESG factors controlling for stock liquidity, financial indicators of companies, and macroeconomic indicators. The period under consideration is from 2013 to 2021. The methodology ...
Added: April 27, 2024
Dobrynskaya V. V., Review of Finance 2014 Vol. 18 No. 5 P. 1885–1913
I propose a new factor – the global downside market factor – to explain high returns to carry trades. I show that carry trades have high downside market risk, i.e. they crash systematically in the worst states of the world when the global stock market plunges or when a disaster occurs. The downside market factor ...
Added: August 14, 2020
Dobrynskaya V. V., Journal of International Financial Markets, Institutions and Money 2019 No. 63 P. 101141
High momentum returns cannot be explained by risk factors, but they are negatively skewed and subject to occasional severe crashes. I explore the timing of momentum crashes and show that momentum strategies tend to crash in 1-3 months after the local stock market plunge. Next, I propose a simple dynamic trading strategy which coincides with ...
Added: August 14, 2020
Dobrynskaya V. V., / NRU Higher School of Economics. Series FE "Financial Economics". 2017. No. 61/FE/2017.
Added: October 23, 2018
Dobrynskaya V. V., Review of International Economics 2015 Vol. 23 No. 2 P. 345–360
Added: March 23, 2015