scholarly journals Comparative analysis of two portfolio construction methods

2021 ◽  
pp. 48-58
Author(s):  
Оксана Игоревна Сидорова ◽  
Любовь Григорьевна Перевалова ◽  
Мария Сергеевна Воеводина
Keyword(s):  
Comparative Analysis ◽  
Stability Analysis ◽  
Stock Market ◽  
Comparative Study ◽  
Statistical Modeling ◽  
Optimal Portfolio ◽  
Market Model ◽  
Portfolio Construction ◽  
Construction Methods ◽  
Russian Stock Market

В данной статье сравниваются два подхода к формированию рискового портфеля ценных бумаг: модель Марковица и рыночная модель. На примере ценных бумаг российского фондового рынка за период 03.01.2019-24.03.2021 гг. производится формирование оптимальных портфелей в зависимости от отношения инвестора к риску. Сравнительный анализ характеристик портфелей, включая доходность, риск и VaR и проверка результатов на устойчивость осуществляется с помощью методов статистического моделирования. In this article we compare two different approaches to the optimal portfolio construction: the Markowitz model and the market model. We analyse the Russian stock market for the period 03.01.2019-24.03.2021 and choosing among the securities depending on the investor’s risk preferences. Comparative study of the portfolios are based on their profitability, risk, and VaR. Stability analysis is carried out by statistical modeling.

Investigating beta anomaly: comparison of Shariah-compliant and conventional stocks

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Muhammad Ali Jibran Qamar ◽  
Asma Hassan ◽  
Mian Sajid Nazir ◽  
Abdul Haque
Keyword(s):  
Comparative Analysis ◽  
Stock Market ◽  
Stock Return ◽  
Abnormal Returns ◽  
Good News ◽  
Market Model ◽  
Cash Dividend ◽  
Content Type ◽  
Dividend Announcements ◽  
The Impact

Purpose The purpose of this paper is to examine the impact of dividend announcements on the stock return of Shariah-compliant and conventional stocks. Design/methodology/approach An event study methodology is applied to study the beta anomaly. Market-adjusted return model, mean-adjusted return model and market model have been applied to calculate excess returns. Estimation period used in this study is 130 days, and event period consists of 21 days in total, i.e. starting from the day –10 “before the cash dividend announcement” to day +10 “after the cash dividend announcements. Findings It has been concluded from the results that dividend plays an informational role in the Pakistan Stock Exchange. As the investors in Pakistan react favorably to the dividend increase announcements and unfavorably to the dividend decrease announcements, they consider dividend increase announcement as good news and dividend decrease announcement as bad news. Practical implications The findings of this study have several implications for different participants of the stock market, such as investors, academicians, researchers, fund managers and policymakers. They can use this information to make decisions while making efficient portfolios. Investors may get abnormal returns by focusing on the dividend announcement patterns. This can influence the attitude of investors toward efficient investments in the stock market and ultimately contribute to the betterment of society. This study is also beneficial for academicians and researchers, as it provides a comparative analysis of Shariah-compliant and conventional stocks and the anomalous effect of dividend announcements on stock return. Originality/value Limited research in the world’s context and null is available in Pakistani context on the subject matter. The comparative analysis of “Shariah-compliant” and “conventional” stocks provides insight into the asset pricing of Shariah-compliant stocks that have not been explored earlier. This study also uses three different methods (mean model, market model and market-adjusted return models) to compare Shariah-compliant and conventional stocks

The Influence of Audit Outcomes on the Value of Shares of Russian Companies

2020 ◽  
Vol 2020 (2) ◽  
pp. 78-105
Author(s):  
Varvara Nazarova ◽  
Anna Fedorova
Keyword(s):  
Stock Market ◽  
Market Model ◽  
Practical Significance ◽  
Domestic Literature ◽  
Public Corporations ◽  
Different Types ◽  
Russian Stock Market ◽  
Audit Reports ◽  
The Impact

The aim of this study is to assess the impact of audit reports issuance on the value of public corporations' shares on the Russian stock market. The practical significance and relevance are due to the increasing role of audit in the financial market and the lack of such studies in the domestic literature. The study is based on the market model and Event Study. The research evaluates the reaction of Russian stock market to publication of audit reports containing various types of audit opinions and takes into account the relation of auditor to the Big4 group. The findings show that the Russian stock market reacts to the release of audit reports very chaotically; the market reacts negatively to the opinions with reservation issued by a Big4 auditor, and also negatively responds to unmodified opinions issued by an auditor of a non- Big4 organization; the market reaction is the opposite for identical types of opinions issued by different types of auditors.

Mergers and acquisitions in developed countries in the modern economy: A country comparative analysis

2020 ◽  
Vol 19 (6) ◽  
pp. 1084-1100
Author(s):  
S.A. Varvus ◽  
A.P. Buevich
Keyword(s):  
Comparative Analysis ◽  
Stock Market ◽  
Mergers And Acquisitions ◽  
Social Reproduction ◽  
Developed Countries ◽  
Potential Benefits ◽  
Russian Stock Market ◽  
Development Methods

Subject. Of the two options, i.e. the development of own production or merger (acquisition), many companies choose the latter. However, it entails numerous risks. According to experts, two-thirds of all mergers and acquisitions would be eventually unprofitable. Therefore, it is necessary to estimate potential benefits prior to initiating the process. The article investigates the role of mergers and acquisitions in social reproduction. Objectives. We analyze the Russian M&A market and reasons for its development. Methods. The study employs methods of regression analysis and comparative analysis. Results. We calculated the correlation coefficient by the indicators of the stock market capitalization and the valuation of M&A transactions for the Russian and the U.S. economy. Conclusions. The Russian M&A market structure shows the predominance of acquisitions. The Russian stock market is characterized by low level of development as compared to Western markets; securities of the Russian market should not be considered as a liquid payment instrument over the long term.

How to Assure Stable Development in Unstable Financial Environment?

2007 ◽  
pp. 4-26 ◽  
Author(s):  
M. Ershov
Keyword(s):  
Stock Market ◽  
Developed Countries ◽  
Market Liquidity ◽  
Market Mechanisms ◽  
Russian Economy ◽  
The Developed Countries ◽  
Russian Stock Market ◽  
Stable Development ◽  
Financial Environment

Growing involvement of Russian economy in international economic sphere increases the role of external risks. Financial problems which the developed countries are encountered with today result in volatility of Russian stock market, liquidity problems for banks, unstable prices. These factors in total may put longer-term prospects of economic growth in jeopardy. Monetary, foreign exchange and stock market mechanisms become the centerpiece of economic policy approaches which should provide for stable development in the shaky environment.

Pricing models of shares of Russian companies and their practical application

2019 ◽  
pp. 48-76 ◽  
Author(s):  
Alexander E. Abramov ◽  
Alexander D. Radygin ◽  
Maria I. Chernova
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Factor Model ◽  
Investment Strategies ◽  
Pricing Models ◽  
Foreign Portfolio Investment ◽  
Market Portfolio ◽  
Stock Market Performance ◽  
Long Time ◽  
Russian Stock Market

The article analyzes the problems of applying stock pricing models in the Russian stock market. The novelty of the study lies in the peculiarities of the methodology used and the substantive conclusions on the specifics of the influence of fundamental factors on the pricing of shares of Russian companies. The study was conducted using its own 5-factor basic pricing model based on a sample of the most complete number of issues of shares of Russian issuers and a long time horizon, from 1997 to 2017. The market portfolio was the widest for a set of issuers. We consider the factor model as a kind of universal indicator of the efficiency of the stock market performance of its functions. The article confirms the significance of factors of a broad market portfolio, size, liquidity and, in part, momentum (inertia). However, starting from 2011, the significance of factors began to decrease as the qualitative characteristics of the stock market deteriorated due to the outflow of foreign portfolio investment, combined with the low level of development of domestic institutional investors. Also identified is the cyclical nature of the actions of company size and liquidity factors. Their ability to generate additional income on shares rises mainly at the stage of the fall of the stock market. The results of the study suggest that as domestic institutional investors develop on the Russian stock market, factor investment strategies can be used as a tool to increase the return on investor portfolios.

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