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Evaluating the Applicability of Modified Beta Coefficient in the Russian Stock Market

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Guzovskii Ya.E. Financial University under Government of Russian Federation, Moscow, Russian Federation ( Jackov_mu77@mail.ru )

Lukashenko I.V. Financial University under Government of Russian Federation, Moscow, Russian Federation ( IVLukashenko@fa.ru )

Journal: Digest Finance, #4, 2019

Subject The article addresses the applicability of modified beta coefficient in the Russian stock market. A modified Capital Asset Pricing Model is a tool enabling to obtain reliable data for investment appraisal. The beta coefficient in the model considers the effect of non-traded risk on the asset.
Objectives We aim to identify the modified beta coefficient for domestic companies, compare the modified and traditional beta coefficients, conduct an empirical study to determine the applicability of modified beta coefficient in the Russian stock market.
Methods The survey sample includes data on 260 Russian companies listed on the Moscow Exchange for the period from 2010 to 2016. Based on the Amihud illiquidity measure, the companies' shares were divided into 5 quantiles to calculate the model parameters. The shares in the upper quantile served as a benchmark for non-traded assets, and the shares in all other quantiles as a benchmark for traded assets in the market.
Results We found that the more imperfect the financial market is, the bigger is the gap between the modified and traditional beta, especially, when the traditional beta value is greater than unity. In addition, the graph of beta coefficients distribution showed that the distribution of modified betas differed noticeably from the distribution of traditional betas which tends to unity.
Conclusions The use of traditional beta coefficient is limited in practice, moreover, when creating a portfolio, investors should use a modified beta to obtain more accurate and reliable data, especially for imperfect financial markets.


Influence of macroeconomic factors on M&A market of the Russian energy industry based on the Granger causality test

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Izotova E.I. OAO Alfa-Bank, Moscow, Russian Federation ( izotova.elena.mglu@yandex.ru )

Journal: Finance and Credit, #46, 2014

The article deals with the influence of various macroeconomic factors on the mergers and acquisitions market of the energy sector of the Russian Federation. The authors assess their impact on transactions in the M&A market, which is measured by two indicators, i.e. average monthly quantity and average monthly cost of transactions, and on efficiency of transactions, which is defined under the cumulative abnormal return (CAR) method. The authors calculate the efficiency as a cumulative abnormal return at five-day and fifteen-day intervals. The authors analyzed monthly data on transactions and macroeconomic factors from January, 2010 to December, 2013 and offered three hypotheses. Namely, about influence of financial markets (equity market and money market), prices for energy resources (oil and gas), and the general condition of the power industry market on the M&A market. The authors used the following methods in the research: the GARCH model to calculate volatility, the Hodrick-Prescott filter to identify the trend, and the Granger causality test to identify interrelations between macroeconomic indicators and parameters of M&A transactions. In addition, the authors assessed the influence of macroeconomic factors using the Granger causality test at various lags from 1 to 10. Studying the time series under the causality test method, the authors confirmed the three hypotheses. They proved the influence of ruble to dollar exchange rate, MICEX index, prices for oil and gas, as well as prices for electricity and electricity generation and consumption on the market of mergers and acquisitions on the whole and on efficiency of such transactions in particular. The characteristic feature of the research is its industry-specific focus. The research results have both theoretical and practical values. The obtained conclusions and proposed recommendations can be useful in arranging merger and acquisition transactions in the energy sector.


Interrelation of company capital structure and effectiveness in Russia

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Rybalkin P.I. Higher School of Economics, Moscow, Russian Federation ( rybalkinpavel93@gmail.com )

Fedorov F.Yu. OOO RedSys, Moscow, Russian Federation ( fedorovfedor92@mail.ru )

Journal: Finance and Credit, #48, 2017

Subject The article investigates interrelations between capital structure and effectiveness of 451 Russian manufacturing companies from 2008 to 2015.
Objectives The purpose of the study is to explore the interaction between the capital structure of the companies and their effectiveness in the Russian market.
Methods Annual financials of Russian manufacturing companies from Ruslana database serve as input data. We estimate the companies' effectiveness by building non-parametric DEA models (VRS and FDH modifications). To challenge the main hypotheses, we constructed two linear regression equations under three methods, namely, OLS, 2SLS, and quantile regression.
Results Using the obtained estimates of effectiveness, we tested the agency-cost hypothesis to find out whether an additional debt leads to an increase in company performance in the next period (Jensen & Meckling, 1976). Also, there have been tested two competing efficiency risk and franchise value hypotheses to understand whether more effective companies raise additional debts to achieve their capital structure optimum or they tend to maintain positive cash flow for equity holders and avoid additional debts. Based on the findings, we rejected the agency-cost hypothesis. The effectiveness of Russian companies is not improved if the debt level grows. For a number of companies, the franchise value hypothesis was confirmed – if the major shareholder possesses from over seventy percent of the total share capital, it results in the biggest decline in the debt level in the next period.
Conclusions Raising new debt by more effective companies has an insignificant impact on their performance in the subsequent period.


On ensuring the banking sector's stability under sanctions to attain financial security

Fedorova O.A. State University - Education-Science-Production Complex, Orel, Russian Federation ( foaorel@mail.ru )

Skorlupina Yu.O. State University - Education-Science-Production Complex, Orel, Russian Federation ( yu_nauka@mail.ru )

Journal: National Interests: Priorities and Security, #16, 2015

Importance Whereas the Russian economy is undergoing a crisis, the national banking sector demonstrates unstable performance, and the leading scientists and analysts pay great attention to the ways of reaching the national security, it is very relevant and reasonable to consider the matter of ensuring the banking sector stability, concurrently with financial security.
     Objectives The objective of the research is to examine how the banking sector and its condition influence the process of ensuring Russia's financial security, and to identify approaches to sustaining the banking sector stability and reaching the financial security. The research pursues the following tasks: to find the relation between the banking sector stability and financial security of the State; to analyze the current position of the banking sector; to elaborate steps for detecting hazardous situations in the banking sector in order to ensure its stability and reach the financial security of the State.
     Methods Using statistical methods, we reviewed the position of the Russian banking sector. We determine a set of leading indicators that may be considered as early warning for the banking system to detect crisis threats beforehand and ultimately ensure the financial security.
     Results We find how the banking system stability and financial security of Russia relate to each other. We prove that the current position of the Russian banking sector cannot be qualified as stable and sustainable, and figure out that the leading indicators are the main tool to spot crisis situations in the banking sector.
     Conclusions and Relevance We conclude that the system of leading indicators can serve as an early warning mechanism to signal a crisis arising in the banking system and therefore to prevent it, ensuring the banking sector stability and financial security of the State.


Companies that manage investment portfolios of non-governmental pension funds: the main trends and prospects

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Sedykh D.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( d.sedykh@list.ru )

Journal: Financial Analytics: Science and Experience, #30, 2015

Importance The managing company invests retirement savings and reserves, considering the regulator's restrictions and contracts with Pension Funds. As their main objective, managing companies are responsible for effective portfolio management by selecting the most promising issuing organizations that meet credit quality criteria, and striving for the maximum rate of return.
     Objectives The research analyzes portfolios and operations of Pension Fund managing companies. The analysis relies upon quarterly reports of 30 managing companies of the Russian Pension Fund.
     Methods We explore trends in economic indicators within 2004 through 2014. The research investigates trends in assets transferred on terms of trust and analyzes portfolios of managing companies (main types of assets in the managing company's portfolio, analysis of the rate of return on the aggregate investment portfolio). We also examine factors that influence employees' performance (salary, number of retirement savings management contracts with private pension funds) and review financial results.
     Results Following the analysis, we have found out that the portfolio efficiency and the managing company's performance, respectively, were affected with such assets as shares of open joint stock companies and bonds of the Russian profit-making entities. It refers to assets generating low dividend yield and high risk from revaluation of assets. Most companies try to consider this risk and mitigate it by placing or depositing their funds with credit institutions.
     Conclusions and Relevance Managing companies strive to increase the market value of investment portfolio by raising the value of its assets as a whole, but often neglecting such permitted financial instruments as bonds of external bond loans of the Russian Federation, government securities of the Russian Federation.


Analysis of factors affecting dividend policy in the Russian Federation

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Zavozina D.V. OOO PKB "Inzhproekt" (design center), Moscow, Russian Federation ( arkdarya@yandex.ru )

Journal: Economic Analysis: Theory and Practice, #44, 2014

The article examines the factors affecting the dividend policy in the Russian Federation, related to financial and economic indicators of a company, macroenvironment and company's policy with respect to dividends. The financial and economic indicators comprised the financial leverage and the Tobin coefficient. As the macroenvironment, the authors consider indicators of the crisis economy, inflation, taxes and industry sectors. The internal factors affecting dividend policy comprised depreciation allocations, equity capital and investment policy. Within each of the three blocks, the paper identifies sub-blocks. Each of the sub-blocks defines the corresponding hypothesis of tests. An empiric base of research included 516 observations within the period of 2002-2012, among which 246 represent observations with the absence of dividend payments. All financial indicators were taken from the Bloomberg and Ruslana database. The methodology includes the quantal-response method and a binary tree of classification. The results demonstrate that the financial leverage and the Tobin coefficient directly impact on paying dividends by a company. The paper also considers the direct link of the hypotheses associated with inflation changes in the portion of asset value. However, the hypothesis related to the global financial crisis impact on dividend payment has not been confirmed. The article identifies an inverse relationship between dividend payment and tax rate. The paper confirmed the hypothesis about the impact of capital growth on dividend payments. The calculated model confirmed the inverse dependence of dividend payment and amortization deductions. In the binary tree classification, the authors identified three terminal nodes of receiving dividend payments: for example, the first terminal node reflects a situation under which in case of increases in tax and capital payments, the probability of dividend payment will be almost 100 percent. The developed models enable to predict company's annual dividend payment with a high degree of probability.


Evaluation of investment projects in electrical power engineering using real options

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Journal: Economic Analysis: Theory and Practice, #14, 2015

Importance Investment attraction is one of the principle goals the entities pursue. Unusual solutions will enable the Russian entities to evolve notwithstanding that the cost of securing loans rises. Investment project planning always requires a feasibility study of any project. Basically, for these purposes, the Net Present Value (NPV) method and Internal Rate of Return (IRR) are applicable, since they relate to the discounted cash flows.
     Objectives The research is to compare the application of standard evaluation methods based on the discounted cash flows principle with non-standard methods using information technologies. The article illustrates the project: The Construction of the New Hydro Power Plant Combined Cycle Power Unit.
     Methods The modern information technologies allow using the quantitative methods to assess the risks associated with the investment approach. The methods eliminate weaknesses of the standard approach. The article discusses three methods of the quantitative approach to risk assessment, i.e. decision tree, Monte Carlo method (simulation modeling), and the theory of options.
     Results As set forth in the conventional evaluation methods, the project should be declined, if it has negative NPV, low rate of return, without paying back. As for alternative evaluation methods and the Monte Carlo method, in particular, the probability of NPV>0 is close to 0.85. According to the decision tree method, NPV may reach RUB 3,624 million provided the top management makes correct key decisions. According to the Black-Scholes model, RO will equal RUB 890.88 million.
     Conclusions and Relevance When the conventional pattern has the analysis of strategic opportunities and conditional value integrated and embedded, it will unite the potential of the strategic and financial analysis, thus creating an analytical tool that is consistent with the New World Economy associated with risks and uncertainties. The article reviews information technologies, which may be applicable to evaluate investment projects.


The modified Taylor rule for the Bank of Russia based on mode switching

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Mukhin A.S. Financial University under Government of Russian Federation, Moscow, Russian Federation ( mukhin.alexey@gmail.com )

Dovzhenko S.E. Saint Petersburg State University, St. Petersburg, Russian Federation ( serg.dovzhenko@gmail.com )

Journal: Finance and Credit, #2, 2015

Russian and foreign studies prove that the policy of central banks can be described by one or another version of the Taylor Rule. The Taylor Rule is a rule of a monetary policy, which defines how the interest rate changes in case of a change in GDP and inflation indicators. In particular, it states that for each percent of inflation growth a central bank has to increase the nominal interest rate by more than one percentage point. This aspect is often called the Taylor principle. The authors made an empirical assessment of the efficiency of the Bank of Russia policy and built an econometric model based on the nonlinear least square method. The authors used the data on inflation rate and GDP size from the official site of the Federal Service of State Statistics, and the inflation data - from annual reports of the Bank of Russia on principal direction of the unified State monetary policy. The authors calculated the GDP gap as a difference between the quarterly GDP value and its trend generated with the help of the Hodrick-Prescott filter. The results of the built model enabled to conclude that all indicators turned out to be significant. According to the original Taylor's work, the coefficient of inflation gap is 1.5, and the coefficient of GDP gap is 0.5. In our case, the coefficient of inflation gap was lower and made 1.13, and the coefficient of GDP gap - 0.4. On the basis of our calculations (the Chow test and evaluation of two econometric models for two sub-samplings: during pre-crisis and post-crisis periods), we found out that it is incorrect to apply the standard Taylor Rule to the Russian economy during crisis periods. We believe, it is necessary to develop a Taylor Rule, which the Bank of Russia can use in inflation targeting based on crisis situations.


Optimization of pension savings portfolios

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Journal: Financial Analytics: Science and Experience, #10, 2015

Importance The study defines a model that can be used with a particular strategy taking into account the market situation (passive, aggressive and balanced ones).
     Objectives I used the assets that have been authorized by the Russian legislation in respect of pension savings, and also those assets, which are not authorized by the Russian legislation provisions.
     Methods Having built the most popular models and methods of formation of an investment portfolio, I can conclude as follows: the quasi-Sharpe model is more applicable for passive control, which allows to find an effective portfolio with minimum risk and which is best suited to work with in an unstable market, such as the Russian equity market. I assume that Huang and Litzenberger methods are the methods, which enable to find an effective portfolio among many portfolios, which satisfies an investor in terms of rate of returns. In addition, this method has no limits on positions, which permits to open long position (buy) and short position (sell). Portfolio, which was compiled in the research, includes assets, which are not allowed for investment, which showed 10.05% return on assets for 2013 period, which are 3. 67% higher than the portfolio of the largest non-government pension fund of the Russian Federation. The largest share in portfolio, which was formed by the quasi-Sharpe method belong to corporate and municipal bonds.
     Results The paper underlines that 9 % annual yield to match the selected benchmarks underlies the need for an increase of the number of instruments that can be invested in pension savings. Low yield of permitted instruments leads to an increase in the share of more profitable assets in an investment portfolio. Thus, an optimal calculation portfolio weighted second-tier shares amounting to 14.11%. I emphasize that despite the fact that these securities are not allowed for investment to the National Pension Fund (NPF) such practice must be introduced at the legislative level.
     Conclusions and Relevance I consider that this procedure can be performed at the expense of expanding of the list of assets of investable pension savings.


Assessment of external and internal factors affecting the effectiveness of activities of pension management companies

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Didenko A.S. Financial University under Government of Russian Federation, Moscow, Russian Federation ( alexander.didenko@gmail.com )

Sedykh D.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( d.sedykh@list.ru )

Journal: Financial Analytics: Science and Experience, #33, 2014

The article provides an estimation of efficiency of activities of 46 companies, which managed pension savings for the period of 2004-2012 on the basis of the DEA (Data Envelopment Analysis) methodology application. The authors point out that the used DEA model considered the portfolios of the management companies as a unit of decision making, which transform the risk, human and financial capital in an active returns and quality of diversification. The paper describes the measure of incoming risk, which was assumed as follows: the average for the quarter conditional value at risk (Conditional VaR) of the CVaRs portfolio. With respect of the measure of human capital, the paper assumes portfolio management fees within the framework of the activities of a particular investment portfolio and as a measure of financial capital - net assets value (NAV). The quality of portfolio NAV diversification was determined through the covariance of proportions of asset portfolio. The active returns, defined as the excess return over the benchmark yield portfolio (yield of benchmark applications of asset classes in the portfolio) served as earnings yield. The authors emphasize that the panel regression facilitated detection of the external factors (the exchange rate index of the Moscow Interbank Currency Exchange (MICEX) and the interbank sector rates for loans placement) and internal factors (balanced strategy of investment portfolios management, life of the portfolio and seasonality), which affect the efficiency of the activities of the asset management companies. On the basis of calculations, the paper revealed that the most optimal investment strategy is balanced strategy and that a large proportion of assets such as the blue-chip stocks and the amount of monetary assets in the accounts impacted negatively on the performance of portfolio management. The authors identify the seasonality in the investment portfolio management and underline that the third quarter turns out as the most difficult quarter for company. The lifetime of the investment portfolio had a negative impact on the efficiency of its management. This is due to the increase in total net asset value, as well as because of the restrictions imposed by trust agreements that reduce the degree of assets diversification.


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