Shabolovka 26, office 4415а
+7 (495) 621-91-92,
+7 (495) 772-95-90 *26146
Irina Ivashkovskaya —
Head of the School, Head of Corporate Finance Research Center, Dr., tenured professor
Olga Lukashova —
Valeriya Mechel —
Alexey Yushkin —
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.
The purpose of the article is to identify the specifics of political leadership from the standpoint of morality and the dominant model of the political system in the developed countries of the world. Leadership is a necessary element of the management system of any organized human activity. The leader is the head of the team aimed at fulfilling the common goal. If the goal is directly related to the interests of society as a whole then such a leader is a political leader. Political leadership becomes possible only if a person expresses the interests of certain groups (segments) of society. But since there is no unity of interests in the society, the leader has a risk of political leadership.
Leaders often succeed each other in the course of an acute political struggle due to the organization of the country's political system. Therefore, no continuity of their political goals is usually possible. The only exception is the political organization of the society in which the leader has the opportunity to remain in office for a period of 10-20 years. The realization of really meaningful social goals is possible only at such terms measured by the life expectancy of generations of people.
Short-term performance of the political leader is a political reason for the fact that society develops spontaneously, randomly. Only the long-term functioning of the leader or the continuity of the political goals of successive leaders is the political basis for such social development when society itself manages its development.
National Research University – Higher School of Economics (Moscow) and author has been researching the leasing market of Russia for 20 years. The article presents based on the author's survey of the leasing market by results of 2016, its dynamics on the value of new contracts and leasing portfolios, structure of the Russian leasing market in critical sectors, such as railway rolling stock, motor transport, air transport, energy, engineering, etc., the structure of leasing for regions of the Russian Federation. The article presents the structure of leasing 10 sources, including loans, own funding, advances, bond issue, etc.; a comparative analysis of the level of concentration of leasing in Russia and Italy; analysis of bad debts; Variant calculation of leverage in leasing on the basis of the author's methodology; tax design of the Russian leasing.
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.
In the second half of the 2000s there has been a decline of the high concentration of ownership in Russian manufacturing industry. Structural shifts in corporate governance affect the financial stability of companies. In this paper, using logistic regression we investigate the impact of corporate governance factors and sector expectations on a negative net worth of the companies in the period of 2011-2015. The results showed, in particular, the probability of a negative company's net worth is higher, the lower the index of business confidence in the industry; the presence of agency problem; the smaller numerical membership of the board of directors; the higher concentration of ownership; and, if company is not privately owned or joint stock company. Robustness of the coefficients of the final specification was confirmed.
The issue of financing the power industry in recent time is one of the sharpest in the industry. The need for investment and new technologies of generation and transportation of electricity, the need to make electricity generation more environmentally friendly offers to attract a large number of funds into the sector. However, the access to investment capital will get only financially strong companies with well-organized management system. In this regard, the selection and use of methods of prediction of crisis developments in the electricity industry is one of the keys to a correct choice of object of investment.
The article describes existing models and techniques for analyzing and predicting the crisis state of enterprises of the power industry of the Russian Federation, and also the analysis of an example of the largest energy companies in order to determine their effectiveness in modern conditions of industry.
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.
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.
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.
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.
We analyze institutional determinants of the development of local currency (LCY) corporate bond markets in the period from 2010 to 2016. We consider a wide range of indicators of the quality of institutional environment: the Heritage Foundation's Index of Economic Freedom, the Worldwide governance indicators, the World Economic Forum’s indicators of corporate culture, development and regulation of financial markets. Unlike most previous studies, we test not only static regression
models (multifactor linear regressions), but also dynamic models based on the generalized method of moments, which allows to solve the problem of endogeneity of variables.
The results show that low quality of institutional environment, macroeconomic and financial instability stimulate growth of the share of LCY corporate bonds in the total issuance volume. In the periods of instability LCY corporate bonds become less attractive for foreign investors, and issuers are forced to raise capital in the domestic market. The most significant factors in both static and dynamic model specifications are the World Bank’s indicators of regulatory quality and rule of law.
A decline in sovereign credit ratings also gives impetus to the development of LCY corporate bond markets.
An original result is that more developed stock markets suppress the growth of LCY corporate bond markets: equity and corporate bonds are competing financing sources for companies from developing countries. A developed banking sector contributes to the growth of the LCY corporate bond market: banks act as dealers and market makers. Devaluation of the national currency has a significant positive influence on the explained variable.
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).