Factor Analysis of the Russian Stock Market

Abstract

A quarter of a century after the first Russian joint stock companies were set up, the Russian equity market has become the leading market in Eastern and Central Europe. Russia has a state of the art trading and settlement system, with the Moscow Exchange (MOEX) being its centerpiece. The Russian joint stock companies successfully introduce the best practices of corporate governance. The accounting system is becoming more and more adequate and transparent. However, in the last decade the Russian stock market has demonstrated one of the worst returns in the world among the 20 largest economies. Judged by the main indicators (P/E, P/B, Dividend Yield) the Russian market looks very much undervalued.The authors analyze the causes of this situation, define the factors which impact most the Russian stock market (the ownership structure, volatility, dividend policy, the role of foreign investors, correlation with oil prices) and make the conclusion that the most important factor has been the sanctions imposed upon the largest Russian companies after 2014.

Impact Of A Crisis On The Economic Performance Of Enterprises In Russia

“…In order to minimize risks, banks should: first, to carry out on a regular basis with deep financial analysis, consolidated reporting and reporting of each company within the group; second, to try to diversify its loan portfolio across several credit institutions with the aim of minimizing the risks of each lender; third, to establish financial covenants (restrictions) on the maximum credit limit the group of companies and each company included in the group, to avoid substitution of problematic receivables Bank loans (Rubtsov & Annenskaya, 2018).…”

Analyst says a lot, but should you listen? Evidence from Russia

“…In 2008, the Russian stock market was in the first five developing stock markets in the world, with capitalization of US$1.5tn or 100 percent of the Russian gross domestic product (GDP). However, ten years after, the capitalization on the Russian stock market was US$623bn (Rubtsov and Annenskaya, 2018). According to same authors, the traditional indicators of P/E, P/B, dividend yield show that the Russian stock market is extremely undervalued.…”

“…In addition to the mentioned characteristics, we can distinguish a high dependence of the state and development of the inflow-outflow market of foreign capital and a poorly developed assortment of market risk hedging tools. Due to the high dependence of the Government, the most volatility in the world (Kuznetsova et al, 2011), poorly developed assortment of instruments (according to Rubtsov and Annenskaya (2018), households in Russia has no tradition of saving and funds available for investment in stocks and other securities are extremely limited) and influence of sanctions (from 2014), the Russian stock market may present different behavior, in terms of reactions to analyst recommendations, from other already studied markets. Such institutional and economy specificities influence on the market analyst and stakeholders behavior, which is an interesting segment for study.…”

Features Of Carrying Out Ipo Of The Company In Russia

“…At the end of 2018, the company commissioned 218.6 thousand square meters of housing. The decrease in the indicator relative to the results of 2017 was caused by the composition of the Airplane Group's portfolio of projects: the developer is engaged in exclusively large-scale projects of a low price segment in the outskirts of Moscow and St. Petersburg, which allows for relatively rapid increase in the volume of current construction, but increases the fluctuation of the indicator (Rubtsov & Annenskaya, 2018). The company's revenue has shown stable positive dynamics over the past years.…”