22/11/2022 16:00 online Research Seminar «Empirical Research in Corporate Finance»

22/11/2022 16:00 online Research Seminar «Empirical Research in Corporate Finance»

1.  Mariia Evdokimova, Lecturer of the School of Finance: «The impact of COVID-19 pandemic on IT companies’ innovation activity in the USA»

Abstract:  The goal of the research is to analyze the impact of COVID-19 pandemic on such innovative activity indicators as R&D spending and the number of international patents of American IT companies. The sample includes 130 US companies from 2010 to 2021. The data were analyzed using models with fixed individual effects and robust errors, Tobit regressions and Heckman models. The results of the study showed that companies from the technology equipment and telecommunications sectors increased R&D/Sales ratio during the pandemic. In addition, R&D spending, regardless of other indicators, increased during the pandemic for highly innovative firms. Also, firms that have international patents before the pandemic granted more patents for registration during the pandemic. A one-year lag was found between innovations’ input in the form of R&D investment and innovations’ output in the form of international patents. Thus, based on the results of the study, we concluded that COVID-19 has a positive impact only on highly innovative companies in the United States.

2. Evgenia Mikova, PhD, Senior  Lecturer of the School of Finance: «Factor investing in emerging markets»

Abstract: The monograph is devoted to the detection of the most pervasive asset pricing anomalies that occur in the market and contradict the EMH provisions. There is non-exhaustive list of anomalies analyzed in the book and will be supplemented further with other anomalies, in particular, low volatility, quality effects and behavioral anomalies, etc.

The book shows the specific risks inherent in emerging stock markets. The Russian stock returns are negatively skewed and distributed with high kurtosis and observed drawdowns, sometimes reaching up to 80%. And although over the past 5 years Russia has shown the best results in terms of return, outperforming other developed and emerging markets, many anchoring price levels for some companies have not been reached. An interesting result - "anti-value" and "anti-size" effects were founded out in the Russian market. The naming effect was also not confirmed due to the small number of companies listed on the market. But the momentum effect was confirmed even during the period of the Russian Empire, and it persists even last decades. Calendar and attention effects with some restrictions are observed in the domestic stock market. For other developing and developed countries, non-trivial conclusions were also obtained. 

The stock market is so large and diverse that financial assets' behavior can be studied for decades, which actually has been started since the early 30s. This paper is the first attempt to conduct a comprehensive research of the discussed anomalies in emerging markets with focus on the Russian financial assets.

This research will be further developed in emphasising on microstructural effects for getting closer to reality in searching stock market patterns.  The volume of open positions, slippage costs, short-sale restrictions, the inclusion of transaction costs in tradable factors through self-financing portfolios as a proxy for risk factors will be correctly accounted for. Additionally, the ideas of the book can be developed towards behavioral finance, including the modeling of investor behavior in explaining stock market anomalies.

3. Kristina Galenskaya, Senior Lecturer of the Department of Financial Market Infrastructure: «Complex Interplay of Eastern Bloc SMEs Trade Credit Determinants: Changes due to the Global Financial Crisis»

Abstract : We investigate whether the determinants of small and medium enterprises´ (SMEs) trade credits taken for purchasing fixed assets suffered substantial changes due to the global financial crisis (GFC). The geographical focus of this paper covers 18 former Eastern bloc countries. The data sample comprises opinions of the SMEs top managers relative to the trade credit financing. The two-step Heckman procedure is applied to study complexity of the trade credit determinants. We find that before the GFC the equity concentration and inflation have negatively impacted the trade credit while foreign ownership and company’s longevity have had a positive effect. The GFC has changed this complex relationship. We evidence that after the GFC, equity concentration and state subsidies have a positive effect.

Zoom https://us06web.zoom.us/j/83309663604?pwd=V3l6Q3gyREgwc2RzZXljQUN6c3JCUT09

Conference ID: 833 0966 3604

Access code: 287591