GET 2003: projects on portfolio management at Russian financial markets

 

Readings for selected topics

Modeling risk factors at the Russian stock market

 

·       Haugen, Modern Investment Theory, ch. 6. Basics of factor models.

·       Campbell, Lo, and MacKinlay, The Econometrics of Financial Markets, ch. 6. Methodology, main empirical results and references.

·       Fama and French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465. Testing for significant factors.

·       Fama and French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56. Link between factors at the stock and bond markets.

·       Carhart, 1997, On persistence in mutual fund performance, Journal of Finance 52, 57-82. Four-factor model of US stock returns.

·       Chen, Roll, and Ross, 1986, Economic forces and the stock market, Journal of Business 59, 383-403. A model with macroeconomic factors.

·       Chan, Karceski, and Lakonishok, 1998, The risk and return from factors, Journal of Financial and Quantitative Analysis 33, 159-188. Evaluating performance of various (statistical, macroeconomic, and fundamental) factors.

·       Rouwenhorst, 1999, Local return factors and turnover in emerging stock markets, Journal of Finance 54, 1439-1464. Modeling risk factors in the emerging markets.

 

Finding the optimal portfolio of Russian assets

 

·       Haugen, Modern Investment Theory, ch. 6-7. Basics of factor models and asset allocation.

 

Attractiveness of foreign stock markets for Russian investors

 

·       Elton and Gruber, Modern Portfolio Theory and Investment Analysis, chapter on international portfolio management.

·       DeRoon and Nijman, 2001, Testing for mean-variance spanning: A survey, Journal of Empirical Finance 8/2, 111-156.

·       DeRoon, Nijman, and Werker, 2001, Testing for mean-variance spanning with short-sales constraints and transaction costs: The case of emerging markets, Journal of Finance 56/2, 721-742.

 

Evaluating performance of Russian mutual and pension funds

 

·       Haugen, Modern Investment Theory, ch. 11-12. Basics of performance evaluation.

·       Grinblatt and Titman, Performance evaluation (Ch. 19 in the Handbook on Finance). Review of the return-based and characteristic-based approaches to performance evaluation.

·       Carhart, 1997, On persistence in mutual fund performance, Journal of Finance 52, 57-82. Classic analysis of mutual fund performance on the basis of a four-factor model.

·       Ferson and Schadt, 1996, Measuring fund strategy and performance in changing economic conditions, Journal of Finance 51, 425-461. Using a conditional performance measure.

·       Daniel, Grinblatt, Titman, and Wermers, 1997, Measuring mutual fund performance with characteristic-based benchmarks, Journal of Finance 52, 1035-1058. Classic analysis of mutual fund performance on the basis of characteristic-based approach.

·       Dahlquist and Soderlind, 1999, Evaluating portfolio performance with stochastic discount factors, Journal of Business 72/3.

·       Farnsworth, Ferson, Jackson, and Todd, 2002, Performance evaluation with stochastic discount factors, Journal of Business 75/3, 473-503.

·       Barinov, 2003, Measuring performance of Russian mutual funds, Master’s thesis. An initial analysis based on a market model.

·       Kiselev, Kapitan, and Kokorev, A note on Russian PIFs.

·       Russian federal law on PIFs.

 

On the predictability of mutual fund performance

·       Files