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Анализ дивидендов российских компаний
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Motuz S., Известия экономики и права 2008 № 2 С. 61-66
В данной статье автор обосновывает новаторский подход к термину "инжиниринг инвестиционных стратегий", отличающийся комплексностью и процессинговым подходом. В частности комплексно рассматриваются конструирование, тестирование и оптимизация инвестиционных стратегий. ...
Added: July 25, 2013
Korhonen I., Peresetsky A., / Bank of Finland Institute for Economies in Transition. Series DP "BOFIT Discussion Papers". 2013. No. 4.
We empirically test the dependence of the Russian stock market on the world stock market and world oil prices in the period 1997:10–2012:02. We also consider three Eastern Euro-pean stock markets (Poland, the Czech Republic, and Hungary), as well as two markets outside Europe (Turkey and South Africa). We apply a rolling regression to identify ...
Added: March 18, 2013
Volodin S., Емелькина А. И., Управление финансовыми рисками 2016 Т. 3 № 47 С. 182-194
Проблема манипулирования ценами актуальна с момента зарождения финансовых рынков и до настоящего времени. Она затрагивает все страны – как развитые, так и развивающиеся. В России же, где фондовый рынок все еще проходит процесс становления, системы выявления противоправных сделок и регулирующие этот механизм нормативные акты находятся в зачаточном состоянии. Ввиду этого, инвесторы подвергаются дополнительному риску возникновения ...
Added: September 6, 2016
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
Volodin S., Мирошниченко И. В., Аудит и финансовый анализ 2017 № 2 С. 258-266
The present study focuses on the analysis of the cross arbitration use on the Russian futures market which is one of the most popular approaches to the development of investment strategies. Nine pairs of futures were selected for trading on the Russian stock market and then were divided into groups with high, medium and low ...
Added: June 16, 2017
Volodin S., Sorokin I., Управление корпоративными финансами 2014 № 6 С. 382-390
В статье рассматриваются инвестиционные стратегии, основанные на формировании портфеля акций с высокой дивидендной доходностью. Анализируется их сущность и общая эффективность применения на мировых фондовых рынках. Предлагается авторский подход к созданию портфеля высокодивидендных акций, позволяющий достигать лучших показателей доходности относительно рыночного индекса. ...
Added: November 13, 2014
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
Volodin S., Головченко А. Э., Аудит и финансовый анализ 2014 № 5 С. 99-105
Nowadays, a number of research of Russian and foreign experts is dedicated to one of the most widespread approaches to price forecasting – technical analysis. However, usually results contain only general characteristics of applying this approach in a market and do not specify in which conditions it is most effective. In this paper authors define ...
Added: November 13, 2014
Volodin S., Кузнецова М. С., Корпоративные финансы 2015 № 4(36) С. 88-102
The article analyzes the Russian market of collective investments aimed at determining what type of fund management - active or passive is the most attractive for investors. In addition, the findings have been obtained about the stability of the results of management of mutual funds over time and shown how appropriate is the use of ...
Added: January 1, 2016
Volodin S., Коченков И. А., Управление корпоративными финансами 2014 № 4(64) С. 220-226
В статье рассматривается достаточно новый для российского рынка подход к прогнозированию цен финансовых активов и совершению биржевых операций – перекрестный арбитраж. Несмотря на то, что данный подход уже активно используется на западных рынках, в России он пока еще не получил должного распространения. Авторами раскрывается суть перекрестного арбитража и исследуется зависимость результатов его применения на российском ...
Added: September 15, 2014
Peresetsky A., International Journal of Computational Economics and Econometrics 2014 Vol. 4 No. 1/2 P. 82-95
In this paper, we empirically test the dependence of the Russian stock market on the world stock market, world oil prices and Russian political and economic news during the period 2001–2010. We find that oil prices are not significant after 2006, and the Japan stock index is significant over the whole period, since it is ...
Added: March 23, 2014
Motuz S., Балакирев Н. Н., В кн. : Ученые записки Международного банковского института. Актуальные проблемы экономики и инновации в образовании. Т. 2. Вып. 8.: СПб. : Изд-во МБИ, 2014. С. 110-118.
The present article is devoted to consideration of investment strategy in stock market. The questions connected with designing of such strategy are systemically considered in it. The emphasis is thus placed on adaptation of the general (managerial) theory of engineering to engineering of investment strategy. Engineering of investment strategy is considered in indissoluble interrelation with ...
Added: May 29, 2014
Sergey Nikolayevich Volodin, Gennadii Mladenovich Kuranov, Alexey Pavlovich Yakubov, Scientific Annals of Economics and Business, Romania 2017 Vol. 64 No. 3 P. 271-287
The following research is dedicated to the analysis of political events’ impact on price dynamics of Russian stock market financial assets. In recent times, in line with the sharpening of internal and external political clashes, such events significantly affect the country’s financial system. However, this issue is insufficiently considered on Russian market. Constructed econometric GARCH ...
Added: September 7, 2017
Volodin S., Kuznetcova M., , in : Risk management: perspectives and open issues. : L. : McGraw-Hill Education, 2016. Ch. 1. P. 323-343.
The article describes proposed by the authors methodology of analysis of the Russian mutual funds. The aim of this methodology is to find out how attractive they are to investors and if they are able to provide the possibility of obtaining higher returns with less risk than the market in general. The study determines what ...
Added: May 18, 2016
Teplova T., Mikova E., , in : World Finance & Banking Symposium. : Singapore : World Finance & Banking Symposium, 2014.
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. ...
Added: December 17, 2014
Гальперин М. А., Teplova T., Экономический журнал Высшей школы экономики 2012 Т. 16 № 2 С. 205-242
В статье изложены основные принципы построения инвестиционных стратегий на аномалиях поведения акций с устойчивыми дивидендными выплатами и относительно низкой ценой акции, показаны варианты отбора акций в портфель по ранее опробованным методам. Показано теоретическое развитие стратегий от «собак Доу» к «акциям стоимости», а также результаты их эмпирического тестирования на различных рынках капитала. Представлены обзор выплат по ...
Added: November 21, 2012
Volodin S., Кулагина М. В., Аудит и финансовый анализ 2013 № 5 С. 208-213
The article is devoted to one of the most popular approaches to forecasting market prices - technical analysis. We investigate the effectiveness of methods of technical analysis on the most liquid stocks of the Russian stock market. Derived conclusions about the overall effectiveness of technical analysis and identifies financial assets for which the use of ...
Added: October 21, 2013
Korhonen I., Peresetsky A., Emerging Markets Finance and Trade 2016 Vol. 52 No. 7 P. 1210-1225
We empirically test the dependence of the Russian stock market on the world stock market and world oil prices in the period 1997:10--2012:02. We also analyze countries that can be considered to be relatively similar to Russia, e.g., Poland, the Czech Republic, and South Africa. First, we apply a rolling regression to identify periods when ...
Added: August 12, 2016
Vizgunov Arsenii, Goldengorin B., Kalyagin V. A. et al., Computational Management Science 2014 Vol. 11 No. 1-2 P. 45-55
We consider a market graph model of the Russian stock market. To study the peculiarity of the Russian market we construct the market graphs for different time periods from 2007 to 2011. As characteristics of constructed market graphs we use the distribution of correlations, size and structure of maximum cliques, and relationship between return and ...
Added: August 20, 2013
Vizgunov A. N., Трифонов Ю. В., Вестник Нижегородского университета им. Н.И. Лобачевского. Серия: Экономика и финансы 2013 Т. 1 № 6 С. 285-289
The paper presents an analysis of the stocks traded on MICEX from 2007 to 2011. In order to analyze the data, we construct a market graph model. The vertices of the graph represent stocks; the edges represent strong similarity between considered stocks returns. We suggest using the following way to calculate the similarity measure: we ...
Added: February 7, 2014
Volodin S., Якубов А. П., Валютное регулирование. Валютный контроль 2016 № 10 С. 56-62
Thriving development of new market segment – algorithmic trading, resulted in the case that nowadays it exerts rather significant influence on the process of market’s price formation. It is noted not only in the leading world stock exchanges but also in the domestic market. Unfortunately, the development of this segment often causes the rise of ...
Added: December 3, 2016
Stolyarov A. I., Sorokin I., Вестник Санкт-Петербургского университета. Серия 5. Экономика 2021 Т. 37 № 1 С. 166-186
Ivestment strategies related to the use of high-dividend shares have been known for more than 30 years. Despite this, they remain relevant today A large number of studies on this topic are devoted to studying the effectiveness of high-dividend strategies within one market, and cross-country studies evaluate a small number of markets. The aim of ...
Added: October 5, 2021
Sorokin I., Вестник Московского университета. Серия 6: Экономика 2020 № 3 С. 106-125
At the end of the past century, a new type of anomaly associated with a higher return on high-yield shares was discovered on the American stock market. Since then the effectiveness of high-dividend strategies has been investigated by many authors based not only on US market, but also on other markets. The results of the studies ...
Added: December 10, 2020
Agata M. Lozinskaia, Anastasiia D. Saltykova, / Высшая школа экономики. Series FE "Financial Economics". 2019. No. 77.
This paper studies how the influence of the fundamental factors on the Russian stock market changes retrospectively. We empirically test the impact of daily values of fundamental factors (indexes of foreign stock markets, oil price, exchange rate and interest rates in Russia and the USA) on the MOEX Russia Index over long time interval from ...
Added: October 16, 2019