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2017. vol. 21. No. 3
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361–384
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In the paper, the authors investigate factors of regional price differentiation in the Russian Federation. According to official statistics, the price of a fixed basket of goods and services in different regions may currently differ by more than two-fold. Based on econometric methods of panel data analysis, it was established that in the period 2000–2015, differences in regional prices were caused by the following factors: the Balassa – Samuelson effect (differences in wages, regional economic structure, income structure); the costs of regional trade (distance of the region from other RF regions); the level of monopolization of retail trade. The results obtained in the article can be used in developing and implementing economic policy aimed at poverty reduction, since differences in the purchasing power of the same income in different regions of Russia create prerequisites for unforeseen changes in inequality. It is equally important to take into account regional price differences in assessing the efficiency of transport and logistics projects, since such projects can lead to a reduction in regional price differences due to lower interregional trade costs. The results are important in the development and analysis of the consequences of monetary policy. Decisions in the sphere of monetary policy are the same for all regions, how ever, due to regional price differentiation, their influence on inflation in individual regions may be different. Thus, accounting for price differences between regions can improve the accuracy of forecasting the consequences of monetary policy measures. |
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385–411
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The paper attempts to quantify the effect of employment discrimination on the basis of disability status in Russia. We use data from the Russian Longitudinal Monitoring Survey – Higher School of Economics (RLMS-HSE) for 2005. This round of the RLMS-HSE included a question on the presence of limitations on usual activities. The question allows distinguishing the effect of unobservable differences in productivity from the effect of discrimination on the basis of disability status. Parametric and nonparametric methods of decomposition are used to solve a problem of non-comparability of disabled and able-bodied individuals and to control for unobserved differences in productivity. Our findings show that nonparametric methods are more applicable to disability discrimination studies due to “lack of common support” problem. The evidence suggests that individuals with poor health face substantial discrimination on the basis of disability status in Russia. The discrimination explains up to 25 percent points of the total gap in employment probabilities. This effect should be interpreted as an upper bound of the discrimination after control for differences in observed and unobserved productivity characteristics. The effect may still include the impact of cash and non-cash disability benefits, self-selection into disability, environmental barriers, and wage discrimination. Our findings imply that current policy measures are not efficient in facilitating employment of the disabled. |
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412–433
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During the last twenty years, literature has emerged exploring why individuals invest in high-fee index Mutual Funds (MF) while there are funds tracking the same index and charging remarkably lower commissions. This paper puts forward the individuals’ tendency to categorical thinking as one of the driving forces of this ‘index fund rationality paradox’. The main hypothesis is that individual investors do not recognize the difference between active and passive (index) funds and presume that relatively high fees, adequate for heterogeneous and costly active funds, are also acceptable for low-cost homogeneous index funds. I test this hypothesis using a survey-based experiment, conducted among the first-generation High Net Worth Individuals (HNWI) and economics and finance students from leading universities. The obtained results show that, indeed, the vast majority of respondents fail to distinguish clearly the active and the index funds: they confuse their objectives and activities, misperceive the skills and efforts required to manage different types of funds. On the other hand, the average answers reveal that some comprehension of the difference between various types of funds is present: on average, the participants attribute higher skills and efforts to the managers of active funds, and are ready to pay higher fees to them. Based on these findings, I formulate basic problems that should be addressed by new policies aiming to minimize the negative effect of categorical thinking on investment in mutual funds. |
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434–450
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In this paper we evaluate the parameters and study the applicability of the Takagi – Sugeno models to describe the dynamics of the main indices of the Moscow stock market: MI CEX, RTS indices and the oil and gas industry index. Review of TS-models for forecasting foreign stock indices and stock prices is given. TS-models represent a generalization of classical econometric approaches. It is achieved using systems of fuzzy rules. Any Takagi – Sugeno model can be considered as a modification of some linear econometric model. Results from the approximation theory show that a Takagi – Sugeno model can approximate any nonlinear econometric model. In this paper, we construct TS-models for Russian stock indices. The fuzzy clustering method is used to find the membership functions. The coefficients of the linear equation in each fuzzy rule are found using the Sugeno – Kang procedure based on the least squares method. Calculations show that the Takagi – Sugeno model in all cases gives a decrease in the forecast error in comparison with the unmodified linear model. In some examples, the forecast error decreases roughtly in 4 times. |
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451–481
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In recent years, the role of stock markets as the source of capital to fund increased significantly. Using investment portfolio enables companies to achieve maximum efficiency in the stock market, thereby reducing the risk of their operations and increase their profitability. The article deals with the effective management of the investment portfolio, including various types of assets. Through an integrated approach, combining the selection of assets with the help of fuzzy clustering, the Markowitz classical model and rebalancing, this problem was reduced to the problem of maximizing the Sharpe ratio at a given level of risk. The main result of research is mathematical model, which provides a significant increase of effectiveness of portfolio management compared to conventional approaches. This paper proposes a modified algorithm for rebalancing over time, which allows to combine all the advantages of active management with a reduction in transaction costs. The choice of control method was carried out taking into account the investment horizon. A comprehensive model for evaluating the effectiveness of management of the investment portfolio, having as target the function of profit maximization, and as constraints – the level of risk, and the constancy of the weighting factors increase the Sharpe ratio. The most promising is the creation on the basis of algorithms developed special software that can be used by both private investors and managers of investment funds. |
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482–514
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This paper presents the results of a study of insider trading prior to the significant corporate events of the Russian public companies in 2005–2015. We detected the difference in volumes of trading of Russian stocks and depositary receipts. The study is based on the analysis of cumulative abnormal returns (ACAR) and abnormal trading volumes (AAV) during the period prior to the announcements of such events as M&As, SPOs, special dividend payments and delistings of the stocks. The research detected the insider trading’ symptoms in common shares’ trading prior to the announcements of M&A deals, special dividend payments and delistings of the stocks. We have found positive ACAR and AAV prior to the announcements of these events. The numbers grew as long as the day of event came closer and reached their peaks in a day before the announcement. The symptoms of a large-scale insider trading prior to SPO’s an nouncements were not detected. Finally we did not find any symptoms of massive insider trading in depositary receipts trading of the Russian public companies. The share of ACAR gained before the day of event amounted 40% in case of common stocks and 60% in case of depositary re ceipts. The abnormal volumes of trade also were 1,5 times higher in case of common stocks. We suggest new criteria of detecting insider trading by shares of the Russian companies (to compare the share of CAR realized prior to the event in case of depositary receipts and common stocks). The results of the study suggests that this methodology can be applied to the Russian stock market. |
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