Adaptive Portfolio Analysis based on the Trend Decomposition of a Financial Time Series: Case Study of the Moscow Exchange

Endovitsky, D. А.; Коробейникова, Лариса Сергеевна; Коротких, В. В.

doi:10.13189/ujaf.2021.090525

Cited by 3 publications

(1 citation statement)

References 24 publications

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“…напр. : Endovitsky et al [16], Endovitsky, Korobeinikova, et al [17], Endovitsky,Korotkikh,et al [18]).…”

Section: Introductionmentioning

confidence: 99%

Term structure of risk factor premiums: evidence from international equity markets

Коротких¹

2022

Proceedings of Voronezh State University. Series: Economics and

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Subject. Factor models are among the most popular tools for the analysis of stock market risks. For a long time, factor models were developed mainly by the formation of additional risk factors. However, static linear specifications are usually not sufficiently sensitive to structural changes in the market and to changes in the operational regimes of markets and in this regard they have a limited number of functions. The idea of regime switching is natural for markets and is intuitively comprehensible, therefore, in order to take into account the non-linear dependencies in factor models of risk analysis, it is advisable to use the mechanism of Markov regime switching with them. Objectives. Statistical analysis of the dynamic properties of the factor structure of risk premiums for transactions with stock market financial instruments based on a modification of the Fama & MacBeth procedure that takes into account the current market regime. Methods: In our study, we used parametric methods of data analysis and machine learning methods, description, analysis, synthesis, induction, deduction, comparison, and grouping method. An EM algorithm was used for the parametric identification of models with Markov regime switching. Results: The paper provides convincing evidence that the relationship between the excess return of financial instruments and factor loads is influenced by the current regime in the market. The main feature of the low volatility regime is the presence of a positive statistically significant risk-adjusted premium. The change in the current regime in the market is accompanied by the transformation of the factor structure of the risk premium. This fact indicates that it is reasonable to divide risk factors into speculative and protective risk factors. Speculative factors include market risks, the risk related to the size of the issuing company, and the momentum effect risk. They have a positive and significant premium in the low volatility regime. The protective factors include risk factors related to value, capital investment, and return on equity. The protective factors are characterised by a positive and significant premium only during periods of high volatility.

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“…напр. : Endovitsky et al [16], Endovitsky, Korobeinikova, et al [17], Endovitsky,Korotkikh,et al [18]).…”

Section: Introductionmentioning

confidence: 99%

Term structure of risk factor premiums: evidence from international equity markets

Коротких¹

2022

Proceedings of Voronezh State University. Series: Economics and

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Regime shifts in equity risk premium: international evidence

Endovitsky¹,

Коротких²

2022

Proceedings of Voronezh State University. Series: Economics and

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Introduction. The academic discussion dedicated to the specific features of financial crises is focused on the analysis of historical volatility patterns. Most researchers point out that strong long-term fluctuations on stock markets are typical for financial crises. Similar reactions to economic crises can be found throughout financial history. Both academic communities and stock markets participants are interested in the search for driving forces that stimulate such kind of behaviour. Purpose. Studying the influence of the scale of national stock markets and various economic crises on the risk level of operations with financial instruments. Methods. Latent modes were identified using Markov switching models. The determination of latent market states was based on the ratio of the components of financial turbulence that characterise the isolated changes in correlated risks and volatility. The influence of the scale of stock markets on the profitability and risk of operations with financial instruments was assessed using the vector autoregression model. Results. The influence of economic crises on the quantitative characters of the excess returns of the world’s largest stock markets was assessed using two-mode Markov switching models and revealed significant differences in the behaviour of stock markets at different time intervals. It was established that the high volatility regime dominates the market during the periods accompanied by economic crises. Through the combination of typical and atypical values of the financial turbulence components we identified four latent market states that provide additional information on the further changes in the current market regimes or lack thereof. Unilateral causal connections are typical for markets with high capitalisation. Markets adapt to the USA market shocks almost twice as slower as compared to the shocks of developing markets. Conclusions. The identified dependences allow increasing the explanatory and prognostic potential of statistical risk analysis in national stock markets.

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Short-term predictive analysis of corporate environmental and financial performance

Коробейникова

Tkacheva

Коротких

2021

EATP

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Subject. The environmental concept has become one of the main objectives in the field of sustainable development of management system. Along with a corporation’s financial sustainability, environmental and social sustainability constitute the modern notion of an economic entity’s sustainable development. The successful development of a corporation is possible, if there is an equilibrium in all areas of economic entity’s operations. Objectives. This paper investigates the complex interactions of financial and environmental performance at the corporate level. The aim is to develop a methodological approach to predictive analysis of corporate environmental and financial performance, focused on short-term oriented management forecasts. Methods. The predictive analysis of environmental and financial processes suggests the use of a large number of performance indicators. A statistical model based on a matrix predictor combining econometric and multidimensional prediction methods became the basis of our methodological approach to predictive analysis. In the empiric section, we present a predictive analysis for the environmental and financial performance of AO Minudobreniya. Results. We developed a methodological approach to the predictive analysis of corporate environmental and financial performance to identify potential risk areas and further plan preventive measures to ensure the desired level of economic sustainability. Conclusions. The findings can be useful for solving a number of specific problems related to information, organizational and methodological support to both a sustainable performance predictive analysis and formation of relevant information for stakeholders about the level of effectiveness of environmental protection measures.

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Adaptive Portfolio Analysis based on the Trend Decomposition of a Financial Time Series: Case Study of the Moscow Exchange

Cited by 3 publications

References 24 publications

Term structure of risk factor premiums: evidence from international equity markets

Term structure of risk factor premiums: evidence from international equity markets

Regime shifts in equity risk premium: international evidence

Short-term predictive analysis of corporate environmental and financial performance

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