Andrei Simonov - Academia.edu (original) (raw)
Papers by Andrei Simonov
Physica C-superconductivity and Its Applications, May 1, 1990
The Review of Asset Pricing Studies, Jan 27, 2018
ZhETF Pisma Redaktsiiu, Oct 1, 1989
Social Science Research Network, 2004
Long Range Planning, Apr 1, 2023
Social Science Research Network, 2012
Social Science Research Network, 2005
Review of Financial Studies, Jun 21, 2016
Social Science Research Network, 2007
Zenodo (CERN European Organization for Nuclear Research), Nov 28, 2022
Journal of Corporate Finance, Apr 1, 2016
American Economic Journal: Macroeconomics, 2013
Physica Status Solidi B-basic Solid State Physics, Sep 1, 1989
Mesure et calcul de la transition supraconductrice dans les composes Bi 4 Sr 3 Ca 3 Cu 4 O x
RePEc: Research Papers in Economics, Mar 1, 2003
Social Science Research Network, 2015
We study whether mutual funds systematically manage downside risk of their portfolios in ways tha... more We study whether mutual funds systematically manage downside risk of their portfolios in ways that improve their performance. We find that actively managed mutual funds on average possess positive downside risk timing ability. Funds investing in large-cap and value stocks have stronger downside risk timing skills. Managers adjust funds’ downside risk exposure in response to macroeconomic information. Funds more skilled in timing downside risk outperform those which are not by 13.8bp per month (or 1.67% annualized) unconditionally and by 48.7 bp per month (or 6.00% annualized) during recessions, and attract larger flows. For the fund with average AUM and fees, extra flows from high downside risk timing skills result in 160 thousand dollars of additional fee revenue per year.
Exploiting the Japanese banking crisis of the 1990s as a laboratory, we investigate the effects o... more Exploiting the Japanese banking crisis of the 1990s as a laboratory, we investigate the effects of bank bailouts on the supply of credit and the performance of banks' clients. Our findings indicate that the size of capital injections relative to the initial financial condition of banks is crucial for the success of bank bailouts. Capital injections that are large enough to reestablish bank capital requirements increase the supply of credit and spur investment. In contrast, not only do capital injections that are too small fail to increase the supply of credit, but they also encourage the evergreening of nonperforming loans. (JEL E44, G21, G28, G32, G34)
Physica C: Superconductivity, 1991
HSE Economic Journal, 2016
Recent global financial crisis had significant impact on mutual fund industry both globally and i... more Recent global financial crisis had significant impact on mutual fund industry both globally and in Russia. Total Net Assets and number of funds under management shrank dramatically. In this paper we analyze delisting of mutual funds in Russia. In contrast to existing studies we employ a matching procedure in order to compare liquidated and survived funds. For each liquidated fund we find all similar survived funds by investment style and Total Net Assets. Liquidated funds are smaller, younger, have poor performance records, and suffer from large asset redemption. Most of the mutual funds in Russia are liquidated along with fund management company. We show that Russian management companies are young, suffer from capital shortage and from lack of economies of scale, which sharply increase a probability for them to be liquidated. Our results stress the need for Russian fund management companies to have sufficient capital in order to be able to survive short-term negative shocks. This m...
HSE Economic Journal, 2016
Recent global financial crisis had significant impact on mutual fund industry both globally and i... more Recent global financial crisis had significant impact on mutual fund industry both globally and in Russia. Total Net Assets and number of funds under management shrank dramatically. In this paper we analyze delisting of mutual funds in Russia. In contrast to existing studies we employ a matching procedure in order to compare liquidated and survived funds. For each liquidated fund we find all similar survived funds by investment style and Total Net Assets. Liquidated funds are smaller, younger, have poor performance records, and suffer from large asset redemption. Most of the mutual funds in Russia are liquidated along with fund management company. We show that Russian management companies are young, suffer from capital shortage and from lack of economies of scale, which sharply increase a probability for them to be liquidated. Our results stress the need for Russian fund management companies to have sufficient capital in order to be able to survive short-term negative shocks. This m...
Physica C-superconductivity and Its Applications, May 1, 1990
The Review of Asset Pricing Studies, Jan 27, 2018
ZhETF Pisma Redaktsiiu, Oct 1, 1989
Social Science Research Network, 2004
Long Range Planning, Apr 1, 2023
Social Science Research Network, 2012
Social Science Research Network, 2005
Review of Financial Studies, Jun 21, 2016
Social Science Research Network, 2007
Zenodo (CERN European Organization for Nuclear Research), Nov 28, 2022
Journal of Corporate Finance, Apr 1, 2016
American Economic Journal: Macroeconomics, 2013
Physica Status Solidi B-basic Solid State Physics, Sep 1, 1989
Mesure et calcul de la transition supraconductrice dans les composes Bi 4 Sr 3 Ca 3 Cu 4 O x
RePEc: Research Papers in Economics, Mar 1, 2003
Social Science Research Network, 2015
We study whether mutual funds systematically manage downside risk of their portfolios in ways tha... more We study whether mutual funds systematically manage downside risk of their portfolios in ways that improve their performance. We find that actively managed mutual funds on average possess positive downside risk timing ability. Funds investing in large-cap and value stocks have stronger downside risk timing skills. Managers adjust funds’ downside risk exposure in response to macroeconomic information. Funds more skilled in timing downside risk outperform those which are not by 13.8bp per month (or 1.67% annualized) unconditionally and by 48.7 bp per month (or 6.00% annualized) during recessions, and attract larger flows. For the fund with average AUM and fees, extra flows from high downside risk timing skills result in 160 thousand dollars of additional fee revenue per year.
Exploiting the Japanese banking crisis of the 1990s as a laboratory, we investigate the effects o... more Exploiting the Japanese banking crisis of the 1990s as a laboratory, we investigate the effects of bank bailouts on the supply of credit and the performance of banks' clients. Our findings indicate that the size of capital injections relative to the initial financial condition of banks is crucial for the success of bank bailouts. Capital injections that are large enough to reestablish bank capital requirements increase the supply of credit and spur investment. In contrast, not only do capital injections that are too small fail to increase the supply of credit, but they also encourage the evergreening of nonperforming loans. (JEL E44, G21, G28, G32, G34)
Physica C: Superconductivity, 1991
HSE Economic Journal, 2016
Recent global financial crisis had significant impact on mutual fund industry both globally and i... more Recent global financial crisis had significant impact on mutual fund industry both globally and in Russia. Total Net Assets and number of funds under management shrank dramatically. In this paper we analyze delisting of mutual funds in Russia. In contrast to existing studies we employ a matching procedure in order to compare liquidated and survived funds. For each liquidated fund we find all similar survived funds by investment style and Total Net Assets. Liquidated funds are smaller, younger, have poor performance records, and suffer from large asset redemption. Most of the mutual funds in Russia are liquidated along with fund management company. We show that Russian management companies are young, suffer from capital shortage and from lack of economies of scale, which sharply increase a probability for them to be liquidated. Our results stress the need for Russian fund management companies to have sufficient capital in order to be able to survive short-term negative shocks. This m...
HSE Economic Journal, 2016
Recent global financial crisis had significant impact on mutual fund industry both globally and i... more Recent global financial crisis had significant impact on mutual fund industry both globally and in Russia. Total Net Assets and number of funds under management shrank dramatically. In this paper we analyze delisting of mutual funds in Russia. In contrast to existing studies we employ a matching procedure in order to compare liquidated and survived funds. For each liquidated fund we find all similar survived funds by investment style and Total Net Assets. Liquidated funds are smaller, younger, have poor performance records, and suffer from large asset redemption. Most of the mutual funds in Russia are liquidated along with fund management company. We show that Russian management companies are young, suffer from capital shortage and from lack of economies of scale, which sharply increase a probability for them to be liquidated. Our results stress the need for Russian fund management companies to have sufficient capital in order to be able to survive short-term negative shocks. This m...