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Regular version of the site

Working papers by the Basic Research Program


Financial
Economics
 

WP BRP Series: Financial Economics / FE

Series Managing Editor: Maria Semenova




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




 François Guillemin, Maria Semenova "Transparency and Market Discipline: Evidence from the Russian Interbank Market", Series: Financial Economics, WP BRP 67/FE/2018



 Egor A. Krivosheya "Evaluating Efficient Multilateral Interchange Fees: Evidence from End-User Benefits", Series: Financial Economics, WP BRP 66/FE/2018

 



 Maria Bondarenko, Maria Semenova "Do High Deposit Interest Rates Signal Bank Default? Evidence from the Russian Retail Deposit Market", Series: Financial Economics, WP BRP 65/FE/2018

 



 Maria Semenova "A Bank Run in a Classroom: Do Smart Depositors Withdraw on Time?", Series: Financial Economics, WP BRP 64/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)


Koen Schoors, Maria Semenova, Andrey Zubanov, "Depositor Discipline in Russian Regions: Flight to Familiarity or Trust in Local Authorities?", Series: Financial Economics, WP BRP 58/FE/2016 (PDF, 1.97 Мб)


Maria Semenova, Andrey Shapkin, "Currency Shifts as a Market Discipline Device: The Case of the Russian Market for Personal Deposits", Series: Financial Economics, WP BRP 57/FE/2016 (PDF, 825 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
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Victoria V. Dobrynskaya, "Upside and Downside Risks in Momentum Returns", Series: Financial Economics, WP BRP 50/FE/2015
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Dmitrii V. Timofeev,
  "Non-Keynesian Savings of Russians", Series: Financial Economics, WP BRP 49/FE/2015

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Svetlana A. Grigorieva, Georgii Gorbatov, "Puzzle of Corporate Diversification Efficiency in Bric Countries", Series: Financial Economics, WP BRP 47/FE/2015
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Mikhail Mamonov and Andrei Vernikov, "Bank ownership and cost efficiency in Russia, revisited", Series: Financial Economics, WP BRP 46/FE/2015  
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Nikolay A. Andreev, “Worst-Case Approach To Strategic Optimal Portfolio Selection Under Transaction Costs And Trading Limits”, Series: Financial Economics, WP BRP 45/FE/2015 (PDF, 717 Кб)



Marina A. Zavertiaeva, "Portfolio Forming Decisions: The Role of Intangibles", Series: Financial Economics, WP BRP 44/FE/2015  

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Marat Z. Kurbangaleev, Victor A. Lapshin, Sergey N. Smirnov, "Study of Consistency of Bond and CDS Quotes",  Series: Financial Economics, WP BRP 43/FE/2015   
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Iuliia 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  
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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 
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Petr Parshakov, “Russian Mutual Funds: Skill vs. Luck”,  Series: Financial Economics, WP BRP 40/FE/2014   
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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  
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Ekaterina E. Kuzmicheva, “The Influence Of Financial Constraints And Attitude Towards Risk In Corporate Investment Decisions”,  Series: Financial Economics, WP BRP 36/FE/2014
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Irina Andrievskaya, Maria Semenova, “Does Banking System Transparency Enhance Bank Competition? Cross-Country Evidence”, Series: Financial Economics, WP BRP 35/FE/2014
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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
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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
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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 
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Agatha M. Poroshina, "Credit Risk Modeling Of Residential Mortgage Lending In Russia", Series: Financial Economics, WP BRP 30/FE/2014 
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Liudmila G. Egorova, "The Effectiveness Of Different Trading Strategies For Price-Takers", Series: Financial Economics, WP BRP 29/FE/2014 
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Iuliia Naidenova, Petr Parshakov, Alexey Chmykhov, "Soccer Sponsor: Fan Or Businessman?" Series: Financial Economics, WP BRP 28/FE/2014
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Dranev Yury, Maxim Babushkin, "Asymmetric exchange-rate exposure in BRIC countries", Series: Financial Economics, WP BRP 27/FE/2014
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Dranev Yury, Fomkina Sofya, "Colog asset pricing, evidence from emerging markets", Series: Financial Economics, WP BRP 26/FE/2013
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Marina A. Oskolkova, Petr A. Parshakov, "Company intangibles: creation vs absorption", Series: Financial Economics, WP BRP 25/FE/2013
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Elena Shakina, Maria Molodchik, "Intangible-driven value creation: supporting and obstructing factors", Series: Financial Economics, WP BRP 24/FE/2013
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Anna A. Bykova, Evgeniia V. Kuminova, "Did relational capital matter during the financial crisis?", Series: Financial Economics, WP BRP 23/FE/2013

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Alexander 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
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Maria Kokoreva, Anastasia Stepanova, "Financial architecture and corporate performance: evidence from Russia", Series: Financial Economics, WP BRP 21/FE/2013
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Svetlana 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
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Henry Penikas, Proskurin S ., "How Well do Analysts Predict Stock Prices? Evidence from Russia",  Series: Financial Economics, WP BRP 18/FE/2013
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Ekaterina 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
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Polina Savchenko, Maria Semenova "Sitting on the fence: does having a ‘dual-director’ add to bank profitability?", Series: Financial Economics, WP BRP 16/FE/2013
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Henry Penikas, W. Travis Selmier II "Does banking regulation cause counterproductive economic dynamics?", Series: Financial Economics, WP BRP 15/FE/2013
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Maria Semenova
, Victoria Rodina "Informal loans in Russia: credit rationing or borrower’s choice?", Series: Financial Economics, WP BRP 14/FE/2013
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Victor 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

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Yury Dranev
, Sofya Fomkina "An asymmetric approach to the cost of equity estimation: empirical evidence from Russia", Series: Financial Economics, WP BRP 12/FE/2012

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 Iuliia NaidenovaPetr Parshakov "Intellectual Capital Investments: Evidence from Panel Var Analysis", Series: Financial Economics, WP BRP 11/FE/2012
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Anastasia StepanovaOlga 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
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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
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Alexander Karpov, Semyon Yurkov "Generalized bankruptcy problem", Series: Financial Economics, WP BRP 08/FE/2012
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Maria Semenova, Irina Andrievskaya "Are banks peer disciplined? Evidence from post-crisis Russia", Series: Financial Economics, WP BRP 07/FE/2012

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Alexander Karminsky, Alexander Kostrov, Taras Murzenkov "Comparison of default probability models: Russian experience", Series: Financial Economics, WP BRP 06/FE/2012
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 Boris Brodsky, Henry Penikas, Irina Safaryan "Copula structural shift identification", Series: Financial Economics, WP BRP 05/FE/2012
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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
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Henry Penikas " An Optimal Incentive Contract Preventing Excessive Risk-Taking by a Bank Manager ", Series: Financial Economics, WP BRP 03/FE/2012

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Henry PenikasYulia Titova "Modeling Policy Response to Global Systemically Important Banks Regulation", Series: Financial Economics, WP BRP 02/FE/2012

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Richard Hainsworth, Alexander KarminskyVasily Solodkov "Arm's Length Method for Comparing Rating Scales", Series: Financial Economics, WP BRP 01/FE/2012
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Any opinions or claims contained in these Working Papers do not necessarily reflect the views of HSE 


 

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