НИС «Эмпирические исследования корпоративных финансов»

17 февраля вторник в 16:00 онлайн состоится НИС «Эмпирические исследования корпоративных финансов». Доклады представят:

1.  Добрынская В.В., доцент Школы финансов.

Тема доклада: Факторное инвестирование на финансовых рынках

Аннотация: This study reveals that the historical performance of value strategies is primarily concentrated in relatively rare episodes of exceptionally high returns, which we refer to as value booms. Behavioral theories suggest that the value premium should vary depending on lagged market returns or other proxies of investor sentiment, a hypothesis supported by our empirical findings. In the US, the value premium is about three times higher than its unconditional counterpart following two years of negative market returns, whereas it effectively disappears after two years of positive returns. These value booms often coincide with sharp underperformance of momentum strategies. Therefore, we propose a positively skewed, dynamic investment strategy that switches from value to momentum and back, depending on trailing market conditions, thereby enhancing the Sharpe ratios of standard value and momentum strategies by over threefold and 60 percent, respectively. Our results are robust across different value definitions, sentiment measures, and internationally. Similar value and momentum patterns are also observed in the crytocurrency market, and the same switching strategies, which alternate between value and momentum strategies depending on the trailing market performance, yield superior returns in this alternative investment market.

2. Томтосов А.Ф., старший преподаватель Школы финансов.

Тема доклада: Do Foreign Investors Decrease Investment Opportunities in Emerging Markets?

Аннотация: The paper is based on unique data from foreign investors' accounts (FIA) on the Moscow Exchange. I investigate investment opportunities for stock picking and systematic strategies, such as momentum, value, size, and low volatility, across periods characterized by high, declining, and no share of FIA. Periods with high foreign investor activity are characterized by low opportunities for factor investing and higher probabilities for successful stock picking. Since 2022, with the prevalence of retail investors, the number of persistent factors has increased from one to three, and the share of stocks that outperform the market has dropped by 10%.
 

Рабочий язык: английский, русский.

Ссылка для подключения: https://us06web.zoom.us/j/84183739597?pwd=7MbHypUwF2bDOaL7Zr0ciGhVxdPO5l.1

Идентификатор конференции: 841 8373 9597

Код доступа: 648130

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