Publications

 

Purpose

Dynamic changes in the world bring challenges for making long-term future-oriented policy and strategy. A number of recent developments like drops in oil prices, increasing global conflicts, mass immigration, and economic stagnation have had disruptive effects on long-term policies and strategies. This new fast-changing landscape requires approaches and tools, which may help to practice adaptive Foresight for a dynamically changing context.Design/methodology/approach

 

The scenario approach presented in the paper aims to develop and multiple time horizons by bringing together short-term forecasts and long-term exploratory and visionary scenarios. Each time horizon allows for re-considering and dynamically changing drivers and assumptions of scenarios and thus builds not a single linear, but multiple and dynamic pathways into the future. Following the presentation on the background and description of the methodology, the paper illustrates the proposed approach with a case study on Science and Technology (S&T) development in Russia.

Findings  

The flexible scenario approach allows developing and strategies with similar adaptability and flexibility. Practical implications: The scenario approach presented in the paper may be applicable for foresight exercises at all levels of governance including national and international, regional, and corporate.

Practical implications  

The scenario approach presented in the paper may be applicable for foresight exercises at all levels of governance including national and international, regional, and corporate.

Originality/value  

A novel scenario approach is presented for the formulation of Science and Technology policy with an illustrative case study.

Purpose: Dynamic changes in the world bring challenges for making long-term future-oriented policy and strategy. A number of recent developments like drops in oil prices, increasing global conflicts, mass immigration, and economic stagnation have had disruptive effects on long-term policies and strategies. This new fast-changing landscape requires approaches and tools, which may help to practice adaptive Foresight for a dynamically changing context.

Design/methodology/approach: The scenario approach presented in the paper aims to develop and multiple time horizons by bringing together short-term forecasts and long-term exploratory and visionary scenarios. Each time horizon allows for re-considering and dynamically changing drivers and assumptions of scenarios and thus builds not a single linear, but multiple and dynamic pathways into the future. Following the presentation on the background and description of the methodology, the paper illustrates the proposed approach with a case study on Science and Technology (S&T) development in Russia.

Findings: The flexible scenario approach allows developing and strategies with similar adaptability and flexibility.

Practical implications: The scenario approach presented in the paper may be applicable for foresight exercises at all levels of governance including national and international, regional, and corporate. 

Practical implications: The scenario approach presented in the paper may be applicable for foresight exercises at all levels of governance including national and international, regional, and corporate. Originality/value: A novel scenario approach is presented for the formulation of Science and Technology policy with an illustrative case study.

We propose a model in which an entrepreneur, seeking outside fi nancing, sells a large equity share to an outside blockholder in order to signal his low propensity to extract private benefi ts. A conventional theoretical rationale for the presence of an outside block holder is mitigation of the agency problem via some type of monitoring or intervention. Our model provides a novel insight: outside blockholders may be attracted by fi rms with low, rather than high, agency problems. Our result yields a new implication for the interpretation of an often documented positive relationship between outside ownership concentration in a fi rm and its market valuation: such relationship may be driven by “sorting” rather than by a direct effect of blockholder monitoring. In fact, we show that the positive correlation may arise even if the blockholder derives private benefi ts and has no positive impact on the value of small shares. Finally, we argue that our analysis may help explain why the market reacts more favorably to private placements of equity as opposed to public issues.

Importance The article considers the features of terrorist attacks, which have an impact on stock indices.It analyzes 117 terrorist attacks committed in different countries within 1988–2016. Objectives The research assesses how terrorist attacks influence stock index trends. It will enable market agents make better decisions and avoid excessive losses, reduce negative reaction of the market in general, and helpthe national financial system minimize the adverse consequences of terrorist attacks. Methods We employ historical-logical, graphical, statistical methods and a comparative analysis to describean impact of different aspects of terrorist attacks on the dynamics of stock indices. We also systematize analytical information in this area. Results The findings show that the impact of terrorist attacks on stock index dynamics depends on various factors, i.e. the number of victims, level of country’s economic development, day of terrorist attack, etc. We found out that the market trend before a terrorist attack had a significant influence on stock index movement after the attack.Terrorist attacks influence industries in a different way. Conclusions and Relevance Terrorist attacks mostly have a dramatic impact on the dynamics of stock indices. However, the influence is often insignificant and impermanent. Therefore, investors should refrain from ill-judged financial decisions to avoid losses. The findings may be useful for investors, market makers and other market participants.

The Basel Committee on Banking Supervision (BCBS) standards are generally accepted by 46 countries in the world (28 jurisdictions). However, these countries differ in terms of details of standards’ implementation, i.e. national discretions take place. In 2012 the Basel Committee launched Regulatory Compliance Assessment Program (RCAP) to assure that all member states operate according to rules at least not softer than the original ones. Standards’ unification across countries results in need for less developed countries to adopt standards faster and in a more stringent form. One may foresee financial instability exacerbation as an outcome of such policy.

That is why paper objective is to demonstrate that standards’ implementation (RCAP) score is an implicit product of country’s macroeconomic and financial system development. For example, higher share of foreign banks and higher unemployment are strongly associated with countries that have regulation significantly different from the Basel original ones (having low compliance scores finally). This is exactly why standards should be differentiated by countries. Key message of the paper is that to promote financial stability regulator should target natural heterogeneity of risk management and risk regulation instead of that appealing artificial homogeneity (of which RCAP is one the examples).

We analyze whether a depositor’s familiarity with a bank affects depositor behavior during a financial crisis. Familiarity is measured by the presence of regional or local cues in the bank’s name, while depositor behavior is considered in terms of depositor sensitivity to observable bank risk (market discipline exerted by depositors). Using the 2001–2010 bank-level and region-level data for Russia, we show the evidence that depositors use quantity-based discipline on all banks in the sample. The evidence of a price-based discipline mechanism, however, is virtually absent. We find that depositors of familiar banks were less sensitive to bank risk after a financial crisis than depositors at unfamiliar banks. To assure the results are driven by familiarity bias and not implicit support of regional governments to banks with regional cues in their names, we interact the variables with measures of trust in local governments and regional affinity. We find a “flight to familiarity” effect strongly present in regions with strong regional affinity, while the effect is rejected in regions with greater trust in regional and local governments. This suggests that the results are driven by familiarity rather than implicit protection from trusted regional or local governments.

We propose a market-consistent approach to the definition and construction of the implied term structure of the risk-free interest rates which are model-independent with respect to the choice of the fitting method. The main idea consists of the simultaneous fitting of the credit default swap (CDS) and the defaultable bond quotes where the theoretical prices are calculated in the framework of the reduced-form modelling of credit risk under standard assumptions. We obtain not only the implied risk-free zero-coupon yield curve but also the implied issuer-specific hazard rate curves. Prior to fitting, we perform a selection of bond issues and issuers. Next, we check for data consistency via arbitrage-like reasoning. Typically, the initial data needs a consistency adjustment, namely `artificial' widening of the observed bid-ask spreads for the selected financial instruments. We construct feasibility bands representing achievable precision of the fitting procedure depending on maturity. Then we apply this methodology to determine the term structure of the risk-free rates for the euro zone. This generic approach for the calculation of the risk-free reference rates in the euro zone can be helpful for the purposes of insurers and pension funds. In particular, the relevant term structure can be used in the assessment of technical provisions as requested in Article 77 of the Solvency II Level 1 text.

This article deals with the important issues of adults and schoolchildren financial literacy development. The authors explore possible ways for development of financial literacy of schoolchildren as well as potential development tendency of financial education in the context of dynamically developing information environment. The introduction describes the importance of developing the financial literacy of people (starting from school age), immediacy of the problem in connection with education modernization in the face of intensively changing information environment. Importance of this topic is associated with the need for students to acquire knowledge and practical skills in financial markets functioning and regulation, financial methods, and economy instruments aimed at ensuring effective interaction of citizens with the economic institutions of society. Some of author's tasks are presented for monitoring the achievements of students and determining their skills to navigate in the economic space, making optimal decisions in life situations to avoid financial risks. The study results allow us to draw conclusions about the effectiveness of methods and tools for implementing special programs to increase financial literacy and financial sustainability of the population. The study may be of interest for graduate students, methodologists, teachers of secondary schools, secondary specialized institutions, and universities in the relevant areas.

There are many studies revealing factors which influence the demand for financial services. However genetic features, determining the individual's overall postnatal behaviour, have not been studied within this context. This paper extends the previous literature by studying to what extent individual biological endowment, proxied by prenatal testosterone (PT, measured by the 2D:4D ratio), can determine personal demand for bank services and insurance. We use the data from the Russian Longitudinal Monitoring Survey (RLMS) of 2011–2012. Our findings confirm the existence of the link between inherent biological variation and financial inclusion: PT affects the use of bank cards, intention to borrow from a bank, having a bank deposit and the consumption of insurance products.

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 models allowed unambiguously characterizing the impact of political events on return and volatility of financial assets. Moreover, the effects of leverage and clusterization were also assessed. The provided research discloses the impact of political events on the market as a whole as well as on separate industries. It was demonstrated that the obtained results are similar to the ones from other developing markets, however, the particularity of Russian stock market was also revealed. As the obtained results disclose the peculiarities of price formation on Russian market, they will be useful for domestic and foreign investors, operating on Russian stock market, other market participants and specialists in financial science. Analysis of a wider range of political events is a considerable advantage of the present research in comparison with the other papers that cover the Russian market. As a result, the market reaction to such events’ manifestation was studied more thoroughly. 

We use the linear programming approach to quantify quote inconsistencies in risk-free bond markets. We present an algorithm to identify whether an inconsistency is probably due to the insufficient framework flexibility, the insufficient data quality, or the non-homogeneity of the dataset. In the latter case we study the problem of filtering out some instruments so that the remaining dataset be homogeneous. We show that the traditional filtering approach performs unacceptably poor and propose new algorithms. We find that the bonds, which get mispriced the most by a fitting algorithm, surprisingly are not the bonds, which cause the inconsistencies.

Our paper offers analysis of tendencies and determinants of development of local currency corporate bond markets in the period from 2006 to 2015. We consider a wide range of macroeconomic and institutional factors for 15 bond markets. The sample consists of 600 country-quarter observations. Multifactor linear regression models and the generalized method of moments are applied for the balanced panel data. Our analyses reveals that inflation and its stability, exchange rate, and market capitalization have a significant influence on the share of local currency bonds. Financial and macroeconomic instability stimulates the growth of local currency bond markets.

This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of new policy and other points of view related to equity market efficiency to help address the future challenges facing the global equity markets and economies. Information Efficiency and Anomalies in Asian Equity Markets: Theories and evidence is an insightful resource that will be useful for students, academics and professionals alike.

This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of new policy and other points of view related to equity market efficiency to help address the future challenges facing the global equity markets and economies. Information Efficiency and Anomalies in Asian Equity Markets: Theories and evidence is an insightful resource that will be useful for students, academics and professionals alike.

Purpose. The purpose of this research is to look at effects of research and development expenditures (R&D) on value and risks of publicly traded companies by studying returns on stock exchanges of R&D-intensive economies (Republic of Korea, Finland, and Israel). Design/Methodology/Approach. Empirical tests of multifactor asset pricing models were applied in order to demonstrate that R&D intensity could be considered a pricing factor and affect investors’ risk premiums on those markets. In order to discover the reasons behind the asset pricing R&D anomaly, we investigated the nature of R&D risk further by looking into the interactions of R&D and currency risks. Findings. We discover that investors in stock markets of R&D-intensive countries should require a positive equity risk premium. However, the reduction of R&D intensity may increase firm’s risks and firms with higher R&D-intensity are less exposed to currency risks in R&Dintensive economies. Originality/value. Many researchers have investigated the relationship between a firm’s R&D and stock returns. But nearly all of them focus on the U.S. stock market and attempt to determine the reasons for R&D’s impact on firms’ risks and market value. Meanwhile, the role of R&D and related risks for investors could be even more prominent for stock markets in R&D intensive countries. In order to bridge this gap, we study stock returns on exchanges of three developed countries where the ratio of Gross domestic expenditure on R&D (GERD) to GDP is among the highest worldwide. We adopted the methodology of asset pricing empirical studies and developed it further to analyze the causes of R&D risks. The new methodology was applied to discover relationship between R&D intensity and currency risk exposure. Our interesting findings could be used for development of firm’s corporate strategies in those countries and for elaboration of policy decisions.

National Research University – Higher School of Economics (Moscow) and author has been researching the leasing market of Russia for 19 years. The article presents based on the author's survey of the leasing market dynamics on the value of new contracts and leasing portfolios, structure of the Russian leasing market on major industries such as aircraft leasing, leasing of mechanical equipment, railway rolling stock, car leasing, leasing of real estate, etc., as well as regional structure of leasing. The article contains the author's calculations of the three options of leverage in leasing on the basis of the methodology developed by the author. The article presents the regression model that identifies four factors influence the cost of real estate leasing contracts for 118 deals, identified by the author.

The article considers various options of the stock price volatility on different time intervals. It is revealed that the shorter the time period – the higher the character of the volatility of the stock price is. And vice versa, the volatility of the stock price acquires a regular character with the increase of the time interval. 

This paper proposes a new approach to decision making processes for investors to focus on factor investing and stock selection strategies on the national stock market by capturing the momentum effect (when two portfolios of past relative winners and past losers continue to beat a given benchmark for a certain period of time in the future). Our approach is based on ranking all the combinations of strategy design (5184 strategies) and the disclosure of the momentum effect with two criteria (mean return and risk) controlling for momentum return probability distribution.

It is new perspective on the momentum effect permitting its analysis from a comprehensive view taking into account the strategy’s different design elements and observing how the disposition of investor preferences has changed depending on the criterion. We distinguish two criteria: (1) maximizing the mean return of the investment with control t-statistics and the author’s innovation with the Bootstrap p-value, (2) minimizing the risk approximated by the number of drawdowns. This paper conducts the first comprehensive examination of the momentum effect on the Russian stock market.