Working papers by the Basic Research Program
 Financial Economics |
WP BRP Series: Financial Economics / FE Series Managing Editor: Maria Semenova |
Nikolai A. Manushkin "Application Of Fama-French Five Factor Model On The Russian Market", Series: Financial Economics, WP BRP 95/FE/2024
Yuliana Loginova, Maria Semenova "Board Gender Diversity And Bank Performance During Covid-19: Did Women Save The Day?", Series: Financial Economics, WP BRP 94/FE/2024
Polina Popova "COVID-19, Corporate Non-performing Loans, and Corporate Lending Dynamics: Evidence from Russian Regions", Series: Financial Economics, WP BRP 93/FE/2024
Polina Popova, Maria Semenova, Vladimir Sokolov "Covid-19 And Retail Depositor Strategies In Russian Regions: Whether To Withdraw And Why?", Series: Financial Economics, WP BRP 92/FE/2023
Anastasia N. Stepanova, Polina A. Khmeleva "The Impact Of Family Ties And Founder Involvement On Innovation In High-Tech Firms", Series: Financial Economics, WP BRP 91/FE/2022
Evgenii Zimin, Maria Semenova "Profitability And Bank De-Branching In The Digital Age: Evidence From Russian Regions", Series: Financial Economics, WP BRP 90/FE/2022
Victor Lapshin "Sensitivity-Based Bond Portfolio Immunization With Nonparametric Term Structure Models", Series: Financial Economics, WP BRP 89/FE/2022
Victor Lapshin, "Model Risk In Bond Portfolio Hedging", Series: Financial Economics, WP BRP 88/FE/2022
Kolade Sunday Adesina, Maria Semenova Do Non-Interest Income Activities Matter For Banking Sector Efficiency? A Net Interest Margin Perspective, Series: Financial Economics, WP BRP 87/FE/2022
Victoria Dobrynskaya, Mikhail Dubrovskiy "Cryptocurrencies Meet Equities: Risk Factors And Asset Pricing Relationships", Series: Financial Economics, WP BRP 86/FE/2022
Irina Iakimenko, Maria Semenova, Eugeny Zimin "The More The Better? Information Sharing And Credit Risk", Series: Financial Economics, WP BRP 85/FE/2021
Victor Lapshin "Immunizing a Marked-to-Model Obligation with Marked-to-Market Financial Instruments", Series: Financial Economics, WP BRP 84/FE/2021
Irina Skvortsova, Anna Vershinina "Do Cognitive Biases Impact M&A Performance in Emerging Markets? Evidence from Russian Firms", Series: Financial Economics, WP BRP 82/FE/2021
Alexander Benov, Maria Semenova "Bank Runs And Media Freedom: What You Don’t Know Won’t Hurt You?", Series: Financial Economics, WP BRP 81/FE/2021
Anastasia N. Stepanova, Anastasia V. Suraeva "An Overconfident CEO VS A Rational Board: The Tale About Bank Risk-Taking", Series: Financial Economics, WP BRP 78/FE/2019
Agata M. Lozinskaia, Anastasiia D. Saltykova "Fundamental Factors Affecting The Moex Russia Index: Structural Break Detection In A Long-Term Time Series", Series: Financial Economics, WP BRP 77/FE/2019
Olga Guseva, Anastasia Stepanova "Startups In Russia: Ownership Vs. Performance", Series: Financial Economics, WP BRP 76/FE/2019
Valeria V. Lakshina "Do Portfolio Investors Need To Consider The Asymmetry Of Returns On The Russian Stock Market?"Series: Financial Economics, WP BRP 75/FE/2019
Anastasia N. Stepanova, Olga O. Kopyrina "The Influence Of Ownership Structure And Board Independence On The Cost Of Debt In Bric Countries", Series: Financial Economics, WP BRP 74/FE/2019
Victor Lapshin, Sofia Sokhatskaya "Choosing The Weighting Coefficients For Estimating The Term Structure From Sovereign Bonds", Series: Financial Economics, WP BRP 73/FE/2018
Karatetskaya Efrosiniya, Lakshina Valeriya "Volatility Spillovers With Spatial Effects On The Oil And Gas Market", Series: Financial Economics, WP BRP 72/FE/2018
Marat Z. Kurbangaleev, Victor A. Lapshin, Zinaida V. Seleznyova "Studying The Replicability Of Aggregate External Credit Assessments Using Public Information", Series: Financial Economics, WP BRP 71/FE/2018
Elena Karnoukhova, Anastasia Stepanova, Maria Kokoreva "The Influence Of The Ownership Structure On The Performance Of Innovative Companies In The US", Series: Financial Economics, WP BRP 70/FE/2018
Artem E. Anilov, Irina V. Ivashkovskaya "Do Boards Of Directors Affect CEO Behavior? Evidence From Payout Decisions", Series: Financial Economics, WP BRP 69/FE/2018
François Guillemin "Governance by Depositors, Bank Runs and Ambiguity Aversion: A Theoretical Approach", Series: Financial Economics, WP BRP 68/FE/2018
Anastasia Stepanova, Vladislav Savelyev, Malika Shaikhutdinova "The Anchoring Effect in Mergers and Acquisitions: Evidence from an Emerging Market", Series: Financial Economics, WP BRP 63/FE/2018
Maria Kokoreva, Anastasia Stepanova, Kirill Povkh "Could High-Tech Companies Learn from Others While Choosing Capital Structure?", Series: Financial Economics, WP BRP 62/FE/2017
Victoria Dobrynskaya "Dynamic Momentum and Contrarian Trading", Series: Financial Economics, WP BRP 61/FE/2017
Vladimir Sokolov, Laura Solanko, "Political Influence, Firm Performance and Survival", Series: Financial Economics, WP BRP 60/FE/2017
Nikolay A. Andreev, "Boundedness of the Value Function of the Worst-Case Portfolio Selection Problem with Linear Constraints", Series: Financial Economics, WP BRP 59/FE/2017 (PDF, 568 Кб)
Fuad Aleskerov, Natalia Meshcheryakova, Alisa Nikitina, Sergey Shvydun, "Key Borrowers Detection by Long-Range Interactions", Series: Financial Economics, WP BRP 56/FE/2016 (PDF, 1.66 Мб)
Agata M. Lozinskaia, Evgeniy M. Ozhegov, Alexander M. Karminsky, «Discontinuity in Relative Credit Losses: Evidence from Defaults on Government-Insured Residential Mortgages», Series: Financial Economics, WP BRP 55/FE/2016 (PDF, 339 Кб)
Alexander V. Porshnev, Valeria V. Lakshina, Ilya E. Red'kin, "Could Emotional Markers in Twitter Posts Add Information to the Stock Market Armax-Garch Model”, Series: Financial Economics, WP BRP 54/FE/2016 (PDF, 393 Кб)
Alexander Chigodaev, "Recursive Method for Guaranteed Valuation of Options in Deterministic Game Theoretic Approach", Series: Financial Economics, WP BRP 53/FE/2016 (PDF, 550 Кб)
Irina Andrievskaya, Maria Semenova, "Does Biological Endowment Matter for Demand for Financial Services? Evidence from Russian Household Survey", Series: Financial Economics, WP BRP 52/FE/2016 (PDF, 1.15 Мб)
Irina Andrievskaya, Mikhail Raschupkin, "Is it Worth Being Transparent? Evidence from the Russian Banking System", Series: Financial Economics, WP BRP 51/FE/2016 Download PDF
Victoria V. Dobrynskaya, "Upside and Downside Risks in Momentum Returns", Series: Financial Economics, WP BRP 50/FE/2015 Download PDF
Dmitrii V. Timofeev, "Non-Keynesian Savings of Russians", Series: Financial Economics, WP BRP 49/FE/2015 Download PDF
Igor G. Pospelov, Stanislav A. Radionov, "Optimal Dividend Policy When Cash Surplus Follows The Telegraph Process", Series: Financial Economics, WP BRP 48/FE/2015 Download PDFMikhail Mamonov and Andrei Vernikov, "Bank ownership and cost efficiency in Russia, revisited", Series: Financial Economics, WP BRP 46/FE/2015
Download PDFNikolay A. Andreev, “Worst-Case Approach To Strategic Optimal Portfolio Selection Under Transaction Costs And Trading Limits”, Series: Financial Economics, WP BRP 45/FE/2015
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Marina A. Zavertiaeva, "Portfolio Forming Decisions: The Role of Intangibles", Series: Financial Economics, WP BRP 44/FE/2015
Download PDFMarat Z. Kurbangaleev, Victor A. Lapshin, Sergey N. Smirnov, "Study of Consistency of Bond and CDS Quotes", Series: Financial Economics, WP BRP 43/FE/2015
Download PDFIuliia N. Naidenova, Petr A. Parshakov, Marina A. Zavertiaeva, Eduardo Tome, “Look For People, Not For Alpha: Mutual Funds Success And Managerial Intellectual Capital”, Series: Financial Economics, WP BRP 42/FE/2015 Download PDF
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Félix J. López-Iturriaga, Domingo Javier Santana-Martín, “Do Shareholder Coalitions Modify Dominant Owner's Control? The Impact On Dividend Policy”, Series: Financial Economics, WP BRP 41/FE/2015 Download PDF
Petr Parshakov, “Russian Mutual Funds: Skill vs. Luck”, Series: Financial Economics, WP BRP 40/FE/2014 Download PDF
Victor A. Lapshin, Vadim Ya. Kaushanskiy, “A Nonparametric Method For Term Structure Fitting With Automatic Smoothing”, Series: Financial Economics, WP BRP 39/FE/2014
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Nikolay A. Andreev, “On Linearity Of Transaction Costs In Order Driven Market”, Series: Financial Economics, WP BRP 38/FE/2014
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Valeria V. Lakshina, “The Fluke Of Stochastic Volatility Versus Garch Inevitability : Which Model Creates Better Forecasts?”, Series: Financial Economics, WP BRP 37/FE/2014
Download PDFEkaterina E. Kuzmicheva, “The Influence Of Financial Constraints And Attitude Towards Risk In Corporate Investment Decisions”, Series: Financial Economics, WP BRP 36/FE/2014 Download PDF
Irina Andrievskaya, Maria Semenova, “Does Banking System Transparency Enhance Bank Competition? Cross-Country Evidence”, Series: Financial Economics, WP BRP 35/FE/2014 Download PDF
Svetlana B. Avdasheva, Dina V. Tsytsulina, “The Effects Of Competition Policy: Merger Approval, Entry Barrier Removal, Antitrust Enforcement Compared”, Series: Financial Economics, WP BRP 34/FE/2014 Download PDF
Fuad Aleskerov, Irina Andrievskaya, Elena Permjakova "Key borrowers detected by the intensities of their short-range interactions", Series: Financial Economics, WP BRP 33/FE/2014 Download PDF
Aleksei Minabutdinov, Ilia Manaev, Maxim Bouev, “Finding The Nearest Valid Covariance Matrix: A Fx Market Case”, Series: Financial Economics, WP BRP 32/FE/2014
Evgeniy M. Ozhegov, ”The Underwriting, Choice And Performance Of Government-Insured Mortgages In Russia”, Series: Financial Economics, WP BRP 31/FE/2014 Download PDF
Agatha M. Poroshina, "Credit Risk Modeling Of Residential Mortgage Lending In Russia", Series: Financial Economics, WP BRP 30/FE/2014 Download PDF
Liudmila G. Egorova, "The Effectiveness Of Different Trading Strategies For Price-Takers", Series: Financial Economics, WP BRP 29/FE/2014
Download PDFIuliia Naidenova, Petr Parshakov, Alexey Chmykhov, "Soccer Sponsor: Fan Or Businessman?", Series: Financial Economics, WP BRP 28/FE/2014
Download PDFDranev Yury, Maxim Babushkin, "Asymmetric exchange-rate exposure in BRIC countries", Series: Financial Economics, WP BRP 27/FE/2014
Download PDFDranev Yury, Fomkina Sofya, "Colog asset pricing, evidence from emerging markets", Series: Financial Economics, WP BRP 26/FE/2013
Download PDFMarina A. Oskolkova, Petr A. Parshakov, "Company intangibles: creation vs absorption", Series: Financial Economics, WP BRP 25/FE/2013
Download PDFElena Shakina, Maria Molodchik, "Intangible-driven value creation: supporting and obstructing factors", Series: Financial Economics, WP BRP 24/FE/2013
Download PDFAnna A. Bykova, Evgeniia V. Kuminova, "Did relational capital matter during the financial crisis?", Series: Financial Economics, WP BRP 23/FE/2013
Download PDFAlexander Porshnev, Ilya Redkin, Alexey Shevchenko "Improving prediction of stock market indices by analyzing the psychological states of twitter users", Series: Financial Economics, WP BRP 22/FE/2013
Download PDFMaria Kokoreva, Anastasia Stepanova, "Financial architecture and corporate performance: evidence from Russia", Series: Financial Economics, WP BRP 21/FE/2013
Download PDFSvetlana Grigorieva, Tatiana Petrunina, "The performance of mergers and acquisitions in emerging capital markets: new evidence", Series: Financial Economics, WP BRP 20/FE/2013
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Mikhail E. Mamonov, "Bad management, skimping, or both? The relationship between cost efficiency and loan quality in Russian banks", Series: Financial Economics, WP BRP 19/FE/2013
Download PDFHenry Penikas, Proskurin S ., "How Well do Analysts Predict Stock Prices? Evidence from Russia", Series: Financial Economics, WP BRP 18/FE/2013
Download PDFEkaterina E. Kuzmicheva, Kirill E. Kuzmichev, "The influence of financial constraints and real options on corporate investment decisions", Series: Financial Economics, WP BRP 17/FE/2013
Download PDFPolina Savchenko, Maria Semenova "Sitting on the fence: does having a ‘dual-director’ add to bank profitability?", Series: Financial Economics, WP BRP 16/FE/2013
Download PDFHenry Penikas, W. Travis Selmier II "Does banking regulation cause counterproductive economic dynamics?", Series: Financial Economics, WP BRP 15/FE/2013
Download PDFMaria Semenova, Victoria Rodina "Informal loans in Russia: credit rationing or borrower’s choice?", Series: Financial Economics, WP BRP 14/FE/2013
Download PDFVictor Lapshin, Marat Kurbangaleev "A joint non-parametric approach to the decomposition of bond yields and CDS spreads: application of Eurozone market data", Series: Financial Economics, WP BRP 13/FE/2012
Download PDFYury Dranev, Sofya Fomkina "An asymmetric approach to the cost of equity estimation: empirical evidence from Russia", Series: Financial Economics, WP BRP 12/FE/2012
Download PDFIuliia Naidenova, Petr Parshakov "Intellectual Capital Investments: Evidence from Panel Var Analysis", Series: Financial Economics, WP BRP 11/FE/2012
Download PDF Anastasia Stepanova, Olga Ivantsova "Does Corporate Governance Have an Effect on Performance in the European Banking Sector? Evidence from a Crisis Environment", Series: Financial Economics, WP BRP 10/FE/2012 Download PDF
Nikita Gomayun, Henry Penikas, Yulia Titova "Do Hedging and Trading Derivatives Have the Same Impact on Public European Banks' Value and Share Performance?", Series: Financial Economics, WP BRP 09/FE/2012 Download PDF
Alexander Karpov, Semyon Yurkov "Generalized bankruptcy problem", Series: Financial Economics, WP BRP 08/FE/2012 Download PDF
Maria Semenova, Irina Andrievskaya "Are banks peer disciplined? Evidence from post-crisis Russia", Series: Financial Economics, WP BRP 07/FE/2012
Alexander Karminsky, Alexander Kostrov, Taras Murzenkov "Comparison of default probability models: Russian experience", Series: Financial Economics, WP BRP 06/FE/2012 Download PDF
Boris Brodsky, Henry Penikas, Irina Safaryan "Copula structural shift identification", Series: Financial Economics, WP BRP 05/FE/2012 Download PDF
Fuad Aleskerov, Azamat Keskinbaev, Henry Penikas "A Multiplicative Model of Countercyclical Capital Buffer Evaluation Differentiated by Homogeneous Clusters of Countries", Series: Financial Economics, WP BRP 04/FE/2012 Download PDF
Henry Penikas " An Optimal Incentive Contract Preventing Excessive Risk-Taking by a Bank Manager ", Series: Financial Economics, WP BRP 03/FE/2012
Henry Penikas, Yulia Titova "Modeling Policy Response to Global Systemically Important Banks Regulation", Series: Financial Economics, WP BRP 02/FE/2012
Richard Hainsworth, Alexander Karminsky, Vasily Solodkov "Arm's Length Method for Comparing Rating Scales", Series: Financial Economics, WP BRP 01/FE/2012 Download PDF
Any opinions or claims contained in these Working Papers do not necessarily reflect the views of HSE
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