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Valuation of innovative companies by venture investors in the raw materials dependent countries

Borochkin A.A. assistant, N.I. Lobachevsky State University of Nizhni Novgorod ( borochkin@yandex.ru )

Journal: Finance and credit, #6, 2010

To overcome the raw materials dependence and to create the innovative companies should be developed venture investments. In the present work are examined methods of valuation of innovative companies operating in emerging markets and suggested author's modification of Capital Asset Price Model that takes into consideration raw dependence of Russian economy. Approbation of the enhanced valuation methods was performed on two Russian successful innovative companies. It is concluded that foreign methods of valuation of innovative companies enhanced with consideration of national particularities may be successfully used in practice of national venture investors.


Management methods of venture fund with state participation

Borochkin A.A. assistant, N.I. Lobachevsky State University of Nizhni Novgorod ( borochkin@yandex.ru )

Journal: Finance and credit, #11, 2010

Venture capital funds with state participation are effective in stimulating innovative development of economy. This article offers a management approach of venture fund, which allows to predict the value of the venture fund and evaluate the effect of financial leverage provided by the state on the yield and the risk of private investors. The method is tested on the example of Russian innovative companies. Calculations showed that the government should increase investment in the venture capital fund that finance start-ups and reduce investment in the venture fund that is in the transition to finance growing companies in order to prevent overheating of the economy and reduce the risks of financial crisis.


Volatility and predictability of the Russian ruble exchange rate

Borochkin A.A. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( borochkin@yandex.ru )

Journal: Finance and credit, #5, 2017

Importance Researching the market predictability enables to compare profits of speculative trading and return on alternative investment and estimate the imbalance in the financial system.
Objectives The purpose of the study is to offer an approach to quantify the level of predictability of the Russian foreign exchange market.
Methods Preliminary analysis of data rests on descriptive statistical methods. To describe the influence of rare events on foreign exchange rate, I apply the case study method. Trading strategies for the Russian FX market are developed based on generalized autoregressive conditional heteroskedasticity (GARCH) models.
Results The Russian currency market is predictable mostly during crisis periods. The market predictability was the lowest in the period of high and growing oil prices, and has tended to increase over ten recent years.
Conclusions Mega-regulator can decrease the predictability of the Russian currency market and prevent speculation on market volatility by reducing the number of rare events that cause sharp one-off changes in currency quotations.


Macroeconomic determinants of the currency and stock market shocks: A panel VAR approach

Borochkin A.A. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( borochkin@yandex.ru )

Journal: Finance and credit, #15, 2017

Subject The article addresses the currency and stock market volatility caused by market participants' perception of macroeconomic news that central banks across opened economy countries take into account when making decisions on changes in the monetary policy.
Objectives The study aims to offer a quantitative approach to assessing the reaction of the currency and stock market to macroeconomic news publication.
Methods The study employs descriptive statistics methods. Basic calculations rest on the Panel Vector Autoregression method.
Results News about changes in interest rates, inflation and industrial production instantly trigger financial market volatility in all analyzed countries. I found volatility spillovers from currency to stock markets and vice versa. The aftermaths of the news-related shocks are absorbed by the market during 3–4 days.
Conclusions and Relevance The modern monetary policy of central banks implies no immediate measures against inflation spikes, therefore, the reaction of markets to publication of price indices is quite slow as compared to official announcements about interest rate changes. Financial markets respond slowly to publication of important macroeconomic news if the latter can be predicted on the basis of leading indicators.


Macroeconomic Determinants of the Currency and Stock Market Shocks: A Panel VAR Approach

Borochkin A.A. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( borochkin@yandex.ru )

Journal: Digest Finance, #4, 2017

Importance The article addresses the currency and stock market volatility caused by market participants' perception of macroeconomic news that central banks across opened economy countries take into account when making decisions on changes in the monetary policy.
Objectives The study aims to offer a quantitative approach to assessing a reaction of the currency and stock market to macroeconomic news publication.
Methods The study employs descriptive statistics methods. Basic calculations rest on the Panel Vector Autoregression method.
Results News about changes in interest rates, inflation and industrial production instantly trigger financial market volatility in all analyzed countries. I found volatility spillovers from currency to stock markets and vice versa. The aftermaths of the news-related shocks are absorbed by the market during 3–4 days.
Conclusions and Relevance The modern monetary policy of central banks implies no immediate measures against inflation spikes, therefore, the reaction of markets to publication of price indices is quite slow as compared to official announcements about interest rate changes. Financial markets respond slowly to publication of important macroeconomic news if the latter can be predicted on the basis of leading indicators.


Short-term forecasting of stock market bubbles: Evidence from the U.S. economy

Borochkin A.A. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( borochkin@yandex.ru )

Rogachev D.Yu. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( rogistyle@mail.ru )

Journal: Finance and credit, #21, 2016

Subject The article addresses the stock market bubbles forecasting. The subject is gaining popularity in view of recent economic crises caused by financial bubble busting.
Objectives The objectives of the study are to devise models to predict the emergence and development of financial bubbles in the short term; to identify micro- and macroeconomic factors affecting the short-term changes in stock prices (stocks included in the Dow Jones Industrial index); and to assess the consistency of the models in question.
Methods The study employs econometric techniques (mixed models) to analyze quarterly panel data on financial statements of companies in their relations with macroeconomic indicators.
Results We developed four models, which may help analyze the stock market from the perspective of financial bubble presence.
Conclusions and Relevance The proposed models clarify the relationship between the innovative activity of a company, overall condition of the economy and trends in the stock market. The paper may be of interest to individual traders and mutual fund managers for trading strategies development, risk hedging and portfolio diversification, as well as to financial market regulators.


Managing the risk of stock market volatility and state economic policy uncertainty in international portfolio investment

Borochkin A.A. National Research Lobachevsky State University of Nizhny Novgorod (UNN), Nizhny Novgorod, Russian Federation ( borochkin@yandex.ru )

Journal: Financial Analytics: Science and Experience, #7, 2017

Subject The article deals with the issues of international portfolio investment in terms of a fluctuating market environment and shock changes in the economic policies of States.
Objectives The article aims to propose a certain investment strategy that could minimize the investor's exposure to macroeconomic shock in the international stock market and assess the effectiveness of stock market indicators of market uncertainty in relation to portfolio investment.
Methods To assess the risk of investment, I used the indices of stock market volatility and uncertainty in economic policy for each of the countries reviewed. Portfolio shares are determined by a global optimization method. Average expected shortfall minimization, risk exposure factor minimization, and the investor's expected quadratic utility function maximization are used as optimization criteria. To assess the cost-effectiveness of investment strategy, I used the mean-variance analysis.
Results Equity investments, which are least susceptible to macroeconomic shocks, provide one percent of the annual portfolio income additionally in developed countries and up to six percent in the developing world.
Conclusions The reduction in the impact of macroeconomic shocks through the optimization of the investment portfolio makes the highly risky stock markets available to risk averse investors. In times of economic recession, such a strategy does not lead to significant losses in the portfolio, which is an answer to the criticism of this approach by the followers of the Prospect Theory and Narrow Diversification Theory.


Violation of financial and banking laws: Evidence from the largest international banks

Borochkin A.A. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( borochkin@yandex.ru )

Rogachev D.Yu. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( rogistyle@mail.ru )

Journal: Finance and credit, #1, 2017

Importance The article addresses criminal activity in the banking sector. The topic is gaining popularity against the backdrop of fines imposed recently on the largest international banks for numerous violations of financial and banking laws, particularly, market manipulation for money laundering or capital expatriation.
Objectives The study aims to examine the size of and reasons for bank fines imposed on international banks, analyze the relationship of criminal activities in the financial and banking sector, investigate current problems and shortcomings of financial and banking legislation enabling capital flight to offshore financial centers.
Methods We employ descriptive statistics methods, i.e. box plots and pivot tables, to analyze data, and a case study method to find a solution to the problem of threats to the entire economic system from crimes committed by a large financial or banking institution.
Results The paper assesses criminal activities in the banking sector, analyzes the efficiency of punitive measures, presents possibilities for future development and improvement of laws on anti-money laundering and combating the terrorist financing in the banking sector and securities market.
Conclusions The analysis clarifies the practice of criminal activities in the banking sector through offshore zones, tax evasion, violation of fair trade principles on stock exchanges, and economic development destabilization. The paper may be of interest for supervising and regulatory authorities in the AML/CFT area.


Investment portfolio forex risk hedging in the international stock market

Borochkin A.A. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( borochkin@yandex.ru )

Journal: Economic Analysis: Theory and Practice, #6, 2017

Importance Investment management on the international financial market necessitates a special approach to foreign currency hedging. The majority of international investors fully eliminate risk associated with their foreign-exchange holdings, seeking profits only from stock price differentials. In certain circumstances, a correlation between local currency exchange rate and local stock index may provide additional opportunities for profit generation.
Objectives The aim of the study is to test the hypothesis that partial currency risk-taking may reduce the total portfolio risk and increase return on international investment.
Methods I apply the global optimization approach to calculate investment portfolios for 11 countries of the world. Each portfolio includes shares of 20–25 highly capitalized companies. Descriptive statistic methods are used to check the input data, i.e. random variable calculation, pivot tables. Investment strategy efficiency is assessed based on the Sharpe Ratio, Sortino Ratio, Treynor Ratio and Omega Ratio.
Results Currency hedge position at the rate of about 14 percent of the total portfolio value may increase investment yield by two percentage points annually on the ten-year time span.
Conclusions and Relevance Total currency risk hedge is necessary for investment in developed and developing countries that pursue the policy of regular devaluation of their national currency. Market regulators inside a particular country should take into account that a sudden devaluation of national currency may be needed, if return on the stock market is lower than that of risk-free instruments.


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