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Финансовая экономика - это область теоретико-прикладных знаний о законах функционирования финансовых потоков и отношений между всеми субъектами экономической системы... (подробнее...)
Всего публикаций в данном разделе: 93

Последние поступления:

Опубликовано на портале: 20-11-2012
Е.Н. Алифанова, Ю.С. Евлахова TERRA ECONOMICUS. 2012.  Т. 10. № 3. С. 115-120. 
В статье рассмотрены подходы к определению финансовой грамотности, представленные в работах отечественных и зарубежных исследователей. На этой основе сформулировано авторское представление о компонентах финансовой грамотности и ее проявлении в финансовом поведении населения. Раскрыто влияние финансовой грамотности населения на финансовые институты и ключевые сегменты финансового рынка.
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Опубликовано на портале: 26-11-2011
А.Р. Махмутов Экономические науки. 2009.  № 9. С. 61-64. 
В статье раскрыто понятие производных финансовых инструментов (деривативов), определены их место и роль на финансовом рынке, связь между их общей стоимостью и величиной денежной массы. Рассмотрен вопрос о росте стоимости ценных бумаг как инфляции финансовых активов.
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Опубликовано на портале: 31-12-2010
Ирина Васильевна Ивашковская, Мария Сергеевна Солнцева Корпоративные финансы. 2007.  № 2 (2). С. 17-31. 
Вопросы формирования структуры капитала в российских компаниях остаются не исследованными с позиций современной финансовой теории. В статье показаны результаты эмпирических тестов двух наиболее распространенных концепций – компромиссной и порядка выбора источников финансирования - на примере панельных данных 62 крупных российских компаний, охватывающих 9 отраслей. Исследование выполнено в рамках Научно-учебной лаборатории корпоративных финансов факультета экономики ГУ-ВШЭ как проект направления «Создание и управление стоимостью компании в новой экономике». Построенные эконометрические модели опираются на методы эмпирического анализа структуры капитала компании на растущих рынках, а также тесты данных концепций на материалах развитых рынков капитала. Выявлены детерминанты структуры капитала. Проведенные тесты и проверки на устойчивость по всей панели не позволяют отклонить ни одну из концепций. Анализ на подвыборках показал, то применительно к компаниям с высоким уровнем долга, существенно увеличиваются коэффициенты при внутреннем дефиците финансовых средств, в части регрессий становится незначимым свободный член, что позволяет считать, что им более соответствует логика концепции «порядка финансирования». Результаты показывают, что данная концепция описывает выбор структуры капитала в подвыборке компаний с государственной собственностью. Более высокая объясняющая сила этой концепции очевидна и по результатам тестирования подвыборки публичных компаний.
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Опубликовано на портале: 31-12-2010
Е Е Григориади Корпоративные финансы. 2007.  № 2 (2). С. 91-111. 
Статья представляет собой обзор исследований, посвященных изучению внутренних рынков капитала диверсифицированных компаний. Рассматриваются проблемы активности внутренних рынков капитала и эффективности их функционирования. Уделяется внимание таким вопросам, как измерение эффективности через показатели, отражающие эффективность инвестирования фирмы, возможные причины и условия неэффективности, способы повышения эффективности инвестирования капитала и внутренних рынков капитала в целом.
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Опубликовано на портале: 25-11-2008
M. Chui, A. Maddaloni, Franklin Allen Oxford Review of Economic Policy. 2004.  Vol. 20. No. 4. P. 490-508. 
Financial structure is an important determinant of the efficiency and stability of financial systems and the channels through which monetary policy is transmitted. We document the substantial differences in the financial systems of the euro area, the UK, the USA, Japan, and non-Japan Asia. The traditional classification of bank-based and market-based systems is shown to be too simplistic. We focus on two particular aspects of financial structure: financial institutions and the housing and mortgage markets. It is shown that institutional investors differ in important ways across the regions considered. One recent change is that Central Banks, particularly those in Asia, have become significant institutional investors. Housing and mortgage markets differ even more. We are still a long way from understanding which kind of financial structure is best.
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Опубликовано на портале: 25-11-2008
Laura Bartiloro, Franklin Allen, Oskar Kowalewski SSRN Working Paper Series. 2005. 
We present an overview of the financial structure of the enlarged European Union with 25 countries. We start by describing the financial system development in all member states since 1995, and then compare the structure between the old and new countries. Using financial measures we document the prevailing substantial differences in the financial structure between new and old member states after the enlargement in 2004. Finally, we compare the financial structures of an enlarged EU with those of the United States and Japan
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Опубликовано на портале: 17-11-2008
Sigurt Vitols, Lutz Engelhardt WZB Discussion Paper. 2005.  No. 2005-03.
One of the more prominent recent failures in institutional innovation in Germany was the Neuer Markt (1997-2003), a special segment of the Frankfurt stock exchange designed for high-growth companies. Based in part on insights from the law and economics approach to agency theory, which emphasizes transparency in financial reporting and shareholder rights, the Neuer Markt was an attempt to promote high-tech sectors through increasing the supply of risk capital in Germany. Proponents of the agency approach have suggested that the Neuer Markt failed because reporting requirements and shareholder protection were still inadequate, and have argued for even stricter financial regulation. This paper offers an alternative explanation for the failure of the Neuer Markt based on the Varieties of Capitalism (VOC) approach. This explanation focuses on the complementarities between financial markets and labor markets. Successful entrepreneurial companies require both capital and experienced managers and scientists willing to take higher risks in search of higher returns. Although the supply of risk-friendly capital increased briefly in the late 1990s in Germany, labor markets did not fundamentally change. In particular, mobility in the market for mid-career scientists and managers remains quite low, making it difficult for startups to attract the experienced knowledge workers they need to succeed.
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Опубликовано на портале: 17-11-2008
Sigurt Vitols WZB Discussion Paper. 1995.  No. 95 – 311.
A widely held view is that, since the 1970s, the nation-state has suffered a significant reduction in its capacity to achieve national economic policy goals through the regulation of the financial system; as a result, national political economies are now characterized by a market-driven convergence towards financial systems dominated by privately-owned, internationally-active “financial supermarkets” with weak links to both industry and government. Through a comparison of Germany and Great Britain, this paper critically examines this thesis and poses the following two questions: (1) What implications do the lifting of capital and exchange controls and the reorientation of monetary policy to anti-inflationary policies have for the state’s capacity to regulate financial systems? and (2) What implications does this regulatory discretion (if any) have for industrial finance and the state's capacity to utilize the financial system to achieve microeconomic industrial policy goals? In response to these questions, it is demonstrated how the state has retained significant regulatory autonomy in ways which have significant consequences for industrial finance and industrial policy.
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Опубликовано на портале: 17-11-2008
Sigurt Vitols WZB Discussion Paper. 2001.  No. 01 - 302.
This paper examines the historical origins of the bank-based financial systems in Germany and Japan and the market-based financial system in the US. It critically examines the “timing of industrialization” (TOI) thesis, i.e. the assertion that variation in the current structure of financial systems can be explained by differences in the timing of the “take-off” phase of industrialization. The first major claim I make is that TOI overstates both the significance of bank-based finance for the rapid industrialization of Germany and Japan and the extent to which the financial systems really were different. Second, I argue that TOI understates the importance of different patterns of state regulation, particularly starting in the 1930s, for explaining postwar differences in the financial systems. The third claim I make is that differences in financial regimes are dependent not only upon the narrow issue of financial regulation but also on the nature of the regulation of labor, including welfare regimes.
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Опубликовано на портале: 17-11-2008
Sigurt Vitols WZB Discussion Paper. 2002.  No. 02 - 901.
One of the key features of both the German and Japanese postwar political economies is a bank-based financial system. In the 1980s bank-based systems were widely perceived to be superior to market-based systems like the US and UK in their ability to provide long-term "patient" capital to industry. Since the early 1990s, however, the bank-based financial systems in both Japan and Germany have faced serious challenges, to the extent that their fundamental viability vis-à-vis market-based systems is being questioned. This paper assesses the potential paths of development for these bank-based systems and argues that change in the two countries is poorly captured by the "convergence-divergence" dichotomy. The first point made is that an examination of changes in financial systems should start with an analysis of the "societal foundations" of bank-based systems. Bank-based systems rest not just on a set of financial regulatory practices but also on the institutions and behavior of the household, corporate and public sectors as savers and investors. The second point made in this paper is that, although public policy choices are often presented in terms of a stark dichotomy between "liberal" and "non-liberal" modes of regulation (the former associated with market-based systems, the latter with bank-based systems), in fact both Germany and Japan are struggling to find a successful combination or "hybrid" of the two types of financial regulation. A third and final point is that banks play important (if diminished) roles even in market-based systems. The ultimate form that the coexistence of banks and markets will take in Japan and Germany depends on the creativity and efforts of policymakers and the banks themselves. Those interested in institutional design should try to preserve a viable banking system for SMEs and the household sector while simultaneously promoting stable capital markets for larger companies and high-tech start-ups.
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Опубликовано на портале: 29-10-2008
Franklin Allen, Douglas Gale
Cambridge, Mass: MIT Press, 2000, 519 с.
Financial systems are crucial to the allocation of resources in a modern economy. They channel household savings to the corporate sector and allocate investment funds among firms; they allow intertemporal smoothing of consumption by households and expenditures by firms; and they enable households and firms to share risks. These functions are common to the financial systems of most developed economies. Yet the form of these financial systems varies widely. In the United States and the United Kingdom competitive markets dominate the financial landscape, whereas in France, Germany, and Japan banks have traditionally played the most important role. Why do different countries have such different financial systems? Is one system better than all the others? Do different systems merely represent alternative ways of satisfying similar needs? Is the current trend toward market-based systems desirable? Franklin Allen and Douglas Gale argue that the view that market-based systems are best is simplistic. A more nuanced approach is necessary. For example, financial markets may be bad for risk sharing; competition in banking may be inefficient; financial crises can be good as well as bad; and separation of ownership and control can be optimal. Financial institutions are not simply veils, disguising the allocation mechanism without affecting it, but are crucial to overcoming market imperfections. An optimal financial system relies on both financial markets and financial intermediaries.
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Noise [статья]
Опубликовано на портале: 03-12-2007
Fisher Black Journal of Finance. 1986.  Vol. 21. P. 529-543. 
The effects of noise on the world, and on our views of the world, are profound. Noise in the sense of a large number of small events is often a causal factor much more powerful than a small number of large events can be. Noise makes trading in financial markets possible, and thus allows us to observe prices for financial assets. Noise causes markets to be somewhat inefficient, but often prevents us from taking advantage of inefficiencies. Noise in the form of uncertainty about future tastes and technology by sector causes business cycles, and makes them highly resistant to improvement through government intervention. Noise in the form of expectations that need not follow rational rules causes inflation to be what it is, at least in the absence of a gold standard or fixed exchange rates. Noise in the form of uncertainty about what relative prices would be with other exchange rates makes us think incorrectly that changes in exchange rates or inflation rates cause changes in trade or investment flows or economic activity. Most generally, noise makes it very difficult to test either practical or academic theories about the way that financial or economic markets work. We are forced to act largely in the dark
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Опубликовано на портале: 19-11-2007
Andrew W. Lo Journal of Portfolio Management. 2004.  Vol. 30. P. 15-29. 
One of the most influential ideas in the past 30 years of the Journal of Portfolio Management is the Efficient Markets Hypothesis, the idea that market prices incorporate all information rationally and instantaneously. However, the emerging discipline of behavioral economics and finance has challenged this hypothesis, arguing that markets are not rational, but are driven by fear and greed instead. Recent research in the cognitive neurosciences suggests that these two perspectives are opposite sides of the same coin. In this article I propose a new framework that reconciles market efficiency with behavioral alternatives by applying the principles of evolution---competition, adaptation, and natural selection---to financial interactions. By extending Herbert Simon's notion of "satisficing" with evolutionary dynamics, I argue that much of what behavioralists cite as counterexamples to economic rationality---loss aversion, overconfidence, overreaction, mental accounting, and other behavioral biases---are, in fact, consistent with an evolutionary model of individuals adapting to a changing environment via simple heuristics. Despite the qualitative nature of this new paradigm, the Adaptive Markets Hypothesis offers a number of surprisingly concrete implications for the practice of portfolio management.
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Опубликовано на портале: 16-11-2007
Sanford J. Grossman, Joseph E. Stiglitz
В данной статье показывается модель, где приобретение информации на фондовом рынке сопряжено с определенными издержками. В результате на рынке выделяются категории информированных и неинформированных трейдеров, которые по-разному регируют на рыночную ситуацию. Авторы показывают, что введение такого вида издержек приводит к невозможности существования равновесия, и, как следствие, неэффективности рынка.
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Опубликовано на портале: 16-11-2007
Eugene F. Fama Journal of Financial Economics. 1998.  Vol. 49. P. 283-306. 
Market effciency survives the challenge from the literature on long-term return anomalies. Consistent with the market e¦ciency hypothesis that the anomalies are chance results, apparent overreaction to information is about as common as underreaction, and post-event continuation of pre-event abnormal returns is about as frequent as post-event reversal. Most important, consistent with the market effciency prediction that apparent anomalies can be due to methodology, most long-term return anomalies tend to disappear with reasonable changes in technique
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Опубликовано на портале: 16-11-2007
Eugene F. Fama Journal of Finance. 1991.  Vol. 46. No. 5. P. 1575-1617. 
SEQUELS ARE RARELY AS good as the originals, so I approach this review of the market efficiency literature with trepidation. The task is thornier than it was 20 years ago, when work on efficiency was rather new. The literature is now so large that a full review is impossible, and is not attempted here. Instead, I discuss the work that I find most interesting, and I offer my views on what we have learned from the research on market efficiency.
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Опубликовано на портале: 16-11-2007
Eugene F. Fama, Marshall E. Blume Journal of Business. 2007.  Vol. 39. No. 1. P. 226-241. 

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Опубликовано на портале: 16-11-2007
Sanford J. Grossman Journal of Finance. 1976.  Vol. 31. No. 2. P. 573-585. 

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Опубликовано на портале: 15-11-2007
Sigurt Vitols Corporate Governance: An International Review. 2005.  Vol. 13. No. 3. P. 386 - 396. 

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Опубликовано на портале: 03-11-2007
Dong-Hyun Ahn, Jacob Boudoukh, Matthew Richardson, Robert Whitelaw Review of Financial Studies. 2002.  Vol. 15. No. 2. P. 655-689. 
We investigate the relation between returns on stock indices and their corresponding futures contracts to evaluate potential explanations for the pervasive yet anomalous evidence of positive, short-horizon portfolio antocorrelations. Using a simple theoretical framework, we generate empirical implications for both microstructure and partial adjustment models. The major findings are (i) return autocorrelations of indices are generally positive even though futures contracts have autocorrelations close to zero, and (ii) these autocorrelation differences are maintained under conditions favorable for spot-futures arbitrage and are most prevalent during low-volume periods. These results point toward microstructure-based explanations and away from explanations based on behavioral models.
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