2024. vol. 28. No. 2

This paper is devoted to the analysis of changes in bank default indicators in Russian ban­king sector since the Bank of Russia introduced a policy aimed at improving the banking sector. The analysis helps to assess the stability of factors widely used in models of the probability of bank default, and to deepen the understanding of processes and trends in banking activities, which may change over time. The data on revocations of bank licenses and cases of temporary administrations (financial recovery measures) were gathered from the 3rd quarter of 2013 to the 4th quarter of 2021. Logistic regressions were used as econometric tools to estimate the pro­bability of default both in the case of general default definition and considering one of two main reasons of default – economic insolvency and violations of anti-money laundering laws. The mo­dels were estimated on 3 subperiods: from the 3rd quarter of 2013 to the 2nd quarter of 2015, from the 3rd quarter of 2015 to the 2nd quarter of 2017 and from the 3rd quarter of 2017 to the 4th quarter of 2021. The results obtained indicate the presence of changes in indicators of bank defaults over time, as well as differences in them depending on the cause of bankruptcy under consideration. Only a few indicators (the share of interbank loans in assets, the share of bonds in assets, and the ratio of foreign liabilities to total liabilities) turned out to be consistently statistically significant over all periods. The main results obtained are as follows. During the first period among considered (2013Q3–2015Q2), licenses were revoked from many banks that falsified reports regarding accepted deposits. Also, in this period bank runs were noticed. In the post-crisis period (2015Q3–2017Q2), banks were actively attracting deposits at high interest rates and placing assets at risk. High levels of liquidity creation turned out to be a statistically significant indicator of bankruptcy in this period. In a calmer period (2017Q3–2021Q4), the ope­rating efficiency indicator became statistically insignificant, but the ratio of cash on hand to assets was statistically significant.

The purpose of this work is to assess the impact of disclosure of information on the environmental agenda in the annual reports of domestic companies on their share price. The empirical base of the study included annual reports and financial indicators of the 100 largest public companies in Russia by revenue in the periods from 2019 to 2022. The research methods were NLP methods of text analysis: the BERTopic transformer model and Latent Dirichlet Allocation. Using this modeling, individual topics on the environmental agenda of business in Russia were identified, and using lemmatization, the frequency of disclosure of the resulting topics in each report was digitized. During the analysis, 6 main topics were identified, most often disclosed in the financial reports of public companies in Russia: the general topic of mentioning any environmental initiatives; actions aimed to preserve the environment; availability of own controlled production processes; assessment of the harmful impact of production and business on the environment; attitude towards environmental initiatives in the company; corporate approaches of the company, laws, rights, declarations and own principles in the development of environmental initiatives in business. Econometric modeling based on the construction of regression models was also used as a research method. The results obtained showed that the frequency of disclosure of environmental topics in the annual reports of Russian companies affects the dynamics of stock prices of these companies in the long term. Moreover, the estimated effect of disclosing the environmental agenda in the annual reports of public companies in Russia on the shares of these companies varies depending on the topic of individual environmental issues. The main topics that have an impact are the disclosure of the company's actions aimed at preserving the environment, and corporate approaches and patterns of behavior disclosed in the annual report.

This paper investigates the theory of information asymmetry in terms of the impact of uncertain, negative and weak-modal tone in the text of registration forms S-1 on the underpricing of initial public offerings of U.S. companies in the period from 2000 to 2020. We analyze the tone of both the full text of the prospectus and the texts of four separate chapters – “Prospectus Summary”, “Risk Factors”, “Use of Proceeds”, and “Management's Discussions and Analysis (MD&A)”. To account for fundamental differences between the two sectors of the economy, separate linear regression models are estimated for high-tech and non-tech firm samples. We find no support for the signaling theory of information asymmetry in terms of the effect of uncertainty in the text of prospectuses on IPO underpricing: we find a negative relationship between the share of uncertainty in the entire text of Forms S-1 and IPO underpricing and a positive relationship bet­ween underpricing of non-technology companies and the negative tone of the “Risk Factors” and “Use of Proceeds” chapters of Registration Forms S-1. No significant effect of low-modal tone on IPO underpricing was found. The results may suggest that uncertainty cautions market participants against investing in IPOs, while a negative tone may, on the contrary, attract investors if a low stock price is set to compensate for the risks. The study also uses machine learning models: random forest and boosting the results of which show an increase in the predictive power of the models when textual characteristics of S-1 forms are taken into account. When variables were ranked by their importance in the random forest model, the top ten most important variables included three textual variables of prospectus tone, which confirms the need to take into account the textual information contained in registration forms when analyzing underpricing. The results of the paper contribute to a better understanding of the factors of underpricing of public offerings, which can be useful for company managers in the preparation of IPO and its pre-documentation to reduce the probability of underpricing and attract the desired amount of capital, as well as for investors making decisions about investing in IPO shares.

A classical paper by [Grossman, Stiglitz, 1980] showed that asset prices in equi­librium necessarily contain some degree of inefficiency when information is costly. Moreover, the inefficiency should decrease with decreasing information costs. Ho­wever, a number of recent empirical studies cast some doubt on the postulate that real financial markets are becoming more efficient, despite the ostensible advances in technology and radical increases in the availability of information. The pricing of financial assets strongly depends on the relative wealth shares of heterogeneous groups of investors interacting in the market and the recent field of evolutionary finance has produced a number of studies showing how asset price dynamics develop under the influence of endogenously changing populations of heterogeneous traders. However, very few studies exist examining how the cost of information affects prices of assets in an evolutionary context. We therefore construct an evolutionary agent-based model of a financial market with boundedly rational traders who learn from experience. We conduct a number of computational experiments with varying information costs and show that even under zero information costs uninformed traders can survive and even dominate the market in finite time. Thus, for an initially low level of information costs, a marginal decrease in them does not necessarily lead to increased price efficiency. For higher initial levels of information costs our results however agree with those of [Grossman, Stiglitz, 1980] in that an increasing information cost generally leads to informed traders being driven out of the market and asset prices becoming less efficient. Implications of our findings for financial market regulation are discussed.

The article examines the potential of Russian small business and discusses the possibilities of its participation in the implementation of the import substitution strategy for the development of the Russian economy. An assessment of the potential of Russian small businesses was carried out and two possible scenarios for its dynamics were formulated (inertial and growing). The features of the current stage of functioning of the small business sector have been identified, including the uneven dynamics of the number of small businesses. There has been an increase in the number of self-employed people as the informal wing of this sector. Based on international studies assessing the level of importance of the small business sector in the national economy, the work concludes that the development potential of Russian small businesses is quite high, capable of solving large-scale problems of state economic policy, including the problem of import substitution. The features and structure of the import substitution strategy at the present stage, characterized by large-scale economic sanctions and a difficult international situation, are revealed. A structural and logical diagram has been developed that describes the relationships between the main components of the import substitution strategy at the present stage. The main areas of development of small Russian businesses are identified, ensuring effective import substitution in the context of sanctions and the departure of foreign companies from the Russian market, and the need for its comprehensive state support is substantiated as a condition for achieving the country's technological sovereignty. The results of an empirical analysis are presented, confirming, on the basis of statistical data for 2012–2022, the importance of the role of SMEs in the import substitution processes. Taking into account the incompleteness of the existing information base, an index for approximate assessment of the contribution of this sector to sectoral import substitution is proposed. Using the example of the engineering, agro-industrial and forestry complexes, this index was calculated and a comparative analysis of the role of these in dustries in the implementation of the import substitution strategy with the participation of small and medium-sized businesses was carried out.

The countries of Central Asia are facing energy shortages, and the energy infrastructure is unable to meet the needs of the region's ever-growing population. The structure of electricity generation differs – Turkmenistan and Uzbekistan rely on energy generation from gas thermal power plants, Kazakhstan – on coal thermal power plants, Tajikistan and Kyrgyzstan – on hydroelectric power plants. Although electricity production is increasing, it does not fully satisfy the needs of the population of the countries in the region, which has grown 1.5 times since independence. The deterioration of material infrastructure, tariff pricing policies and objective socio-economic factors are causing systemic energy crises, and energy shortages, which will only increase. Today, the level of energy production from solar power plants does not exceed 1%, although national governments recognize the importance of this source for ensuring the country’s energy security, and the region has good insolation indicators. In this regard, the issue of developing renewable energy sources, and in particular solar power plants, is becoming increasingly relevant. The purpose of this study is to analyze the key limitations and prospects for the development of solar energy in the countries of Central Asia. To determine the nature of the de­velopment of this area, the authors conduct a comparative analysis of the situation in the econo­my, energy sectors, and the regulatory framework of the countries of the region. Key exogenous factors influencing the speed of implementation of solar power plant construction projects were identified, in particular, including the policies of large countries and international financial organizations. Based on the results of the analysis of financial, technical and regulatory limitations, recommendations were drawn up that could contribute to the development of the field.