THE USE OF CALENDAR ANOMALIES OF THE RUSSIAN STOCK MARKET TO INCREASE THE PROFITABILITY OF THE INVESTMENT PORTFOLIO

The paper investigates possible investment portfolio optimization considering behavioral errors. The research rationale is due to the adaption of the investment recommendations for unqualified investors on the Russian stock market. In economic literature, the consequences of behavioral effects are not detailed enough when making a portfolio of Russian securities. The aim of the article is to make the most optimal portfolio based on the risk/reward ratio. The author made a hypothesis on applying various periods of profitability analysis to improve profitability indicators and increase the subjective probability of its achievement. To build a portfolio model, the behavioral portfolio theory and its optimization through linear programming were used. The study was based on modeling the investment portfolio of the most liquid stocks on the Russian stock market. Modified elements of the cumulative prospect theory with behavioral coefficients were used as indicators of profitability and probability. Based on the analysis results, the model of semi-annual portfolio analysis was proposed as a tool for portfolio optimization. The investor review of the portfolio semi-annual rate of profitability led to its best final index of effectiveness. In the medium-term assessment of portfolio profitability, the influence of behavioral factors decreases while maximizing returns with medium high risk. The research result is consistent with the basics of behavioral economics as the prospect theory regarding risk and loss aversion. Moreover, the factor of frequency of access to information and the degree of naive portfolio diversification with high profitability are promising areas for the development of research in behavioral finance. However, determining by the investor the objective probability to achieve the expected return level by using specific benchmarks is controversial.

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How to Assure Stable Development in Unstable Financial Environment?

Voprosy Ekonomiki ◽

10.32609/0042-8736-2007-12-4-26 ◽

2007 ◽

pp. 4-26 ◽

Cited By ~ 5

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.

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Pricing models of shares of Russian companies and their practical application

Voprosy Ekonomiki ◽

10.32609/0042-8736-2019-3-48-76 ◽

2019 ◽

pp. 48-76 ◽

Cited By ~ 1

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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