Search

The article analyzes the features of the dividend policy of Russian companies. The first part has contained an overview of academic literature and current trends. In the second part we discuss the results of empirical analysis that is based on a sample of 236 joint-stock companies. The motivation of Russian companies for maintaining the attractiveness of their shares during the period of significant increase of risks and volatility led to the growth of dividend yield. However, the increase of allocated profits observed in the largest state-owned enterprises (SOEs) to a large extent resulted from escalation of the tension in government finances. The threat of budget deficit growth led to partial substitution of tax income for dividend income from SOEs. At the same time some factors of uncertainty for SOEs’ operational strategies were increasing, especially those concerning long-term decisions in capital expenditure programs. The results of our analysis reveal that in private companies or SOEs, where the state has a limited influence on the dividend policy, the size of dividend payments to a greater extent depends on their financial performance, cash flows and the availability of promising investment projects. Moreover, the article shows that such companies are more likely to follow dividend smoothing strategies.

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.

This study examines the influence of state participation in the ownership structure of companies on their financial efficiency using a sample of 114 largest companies in Russia. As an indirect indicator of efficiency, we used a variety of financial indicators: revenue per employee (gross margin), return on equity, profit margin and debt burden. The effects of direct and indirect state ownership are considered separately. Using econometric analysis, we conclude that the dominance of the block of shares owned by the state has a negative effect on the performance characteristics, and its increase is associated with an increase in the debt burden of the companies. According to our criteria, state-owned enterprises (SOEs) perform worse on average than private companies. The mechanism of how changes in the “real sector” affect profitability is examined particularly closely. The study shows that a change in the profitability of private companies is characterized by a significant dependence on the movement of labor productivity characteristics. At the same time, for SOEs, a similar correlation was not revealed. These companies demonstrated no visible relationship between their profitability and performance characteristics. The study shows that increases in the size of direct government ownership lead to lower labor productivity and profitability; the impact of indirect ownership is, seemingly, more complicated.

This article analyzes the impact of the increase of an investment horizon on the comparative advantages of the basic asset classes and on the principles of constructing the investment strategy. It demonstrates that the traditional approach of portfolio management theory, which states that investments in stocks are preferable over bonds in terms of their long-run risk–return trade-offs, is by no means always consistent with empirical evidence. This article proves the opposite, i.e., that for long-term investors, investments in corporate bonds are more profitable in terms of the risk–return ratio than investments in stocks, arguing in favor of strategies pursued by pension funds and other institutional investors focused primarily on investments in fixed-income instruments, including infrastructural bonds. Emphasis is placed on the need for regular adjustments to long-term investors’ portfolios. As portfolios get older, those investors see a reduction in the returns’ dispersion, while differences in risk between various portfolios increase. This means that to maintain a fixed risk–return ratio for a portfolio as the horizon increases, an investor needs to increase the share of lower-risk financial assets during asset allocation process. This thesis becomes especially relevant in the context of retirement savings management.

The paper analyzes the impact of regulation and supervision on the effectiveness of investment of pension savings based on international practice. It examines the factors which can potentially affect the real return of pension portfolios in different countries. The authors study the impact of more liberal investment limits on the composition and structure of pension investment portfolio, as well as anti-inflationary policy, on raising the real return. They also examine the factors which predict the degree of severity of asset allocation requirements for pension portfolios in different countries, and estimate the likelihood of their relaxing for Russian pension funds and managing companies.