In the article, author analyzes Russian stock market, estimates fair value of shares domestic issuers and examines impact on financial assets measures taken by Central Bank Federation within framework monetary policy. The securities is calculated basis a constant dividend growth rate model, where required return equity determined using CAPM model. results author’s comparative analysis market pr...

one of the most common methods of financing to which banks repeatedly resort nowadays is, in addition to planning different kinds of bank deposits, to distribute securities supported by bank facilities. the application of such tools is highly experienced in the current banking. in fact, enjoying such instruments, banks have the intention to renew their resources in their attempt to enhance thei...

The paper examines time series properties and efficiency of a securities market where disparately informed traders hold rational expectations and extract signals from the endogenous market price. Two equilibria are calculated, using a method of Sargent to handle the problem of infinite regress. When rational speculation is the sole source of potential trade, the market price reflects all privat...

This paper develops a continuous time portfolio optimization model where the mean returns of individual securities or asset categories are explicitly affected by underlying economic factors such as dividend yields, a firm's ROE, interest rates, and unemployment rates. The factors are Gaussian processes, and the drift coefficients for the securities are aEne hnctions of these factors. We employ ...

We measure the repo funding extended by money market funds (MMF) and securities lenders to the shadow banking system, including quantities, haircuts, and repo rates by type of underlying collateral. We find that repo played only a small role in funding private sector assets prior to the crisis, as most repos are backed by Treasury and Agency collateral. Repo with private sector collateral contr...