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Изменение традиционной парадигмы инвестиций на рынке глобальных акций. // Change in the traditional investment paradigm in the global stock market

Author

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  • Саржаков Ж.Н. // Sarzhakov Zh.N.

    (National Bank of Kazakhstan)

  • Сарбасов Е.А. // Sarbassov E.A.

    (National Bank of Kazakhstan)

Abstract

В настоящее время факторное инвестирование стало широко обсуждаемой темой инвестиционного мира. В рамках инвестирования активов «фактор» можно рассматривать как любую характеристику, относящуюся к группе ценных бумаг и активов, которая важна для объяснения источников доходности и рисков. При этом большое количество академических исследований подчеркивает, что долгосрочные показатели портфеля акций могут быть объяснены влиянием факторов. На текущий момент выделяют основные факторы, которые характеризуются постоянностью и статистической описательной силой. В данной статье обсуждается появление понятия «фактор» и какое влияние это оказывает на видение институциональных инвесторов на стратегию управления активами и рисками. Также в рамках этой статьи проводится анализ влияния факторных индексов на портфели акций.

Suggested Citation

  • Саржаков Ж.Н. // Sarzhakov Zh.N. & Сарбасов Е.А. // Sarbassov E.A., 2018. "Изменение традиционной парадигмы инвестиций на рынке глобальных акций. // Change in the traditional investment paradigm in the global stock market," Economic Review(National Bank of Kazakhstan), National Bank of Kazakhstan, issue 2, pages 37-44.
    • Handle: RePEc:aob:journl:y:2018:i:2:p:37-44
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    References listed on IDEAS

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    1. Swantje Allmers & Wolfgang Maennig, 2009. "Economic impacts of the FIFA Soccer World Cups in France 1998, Germany 2006, and outlook for South Africa 2010," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 35(4), pages 500-519.
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    More about this item

    Keywords

    рынок акций; инвестирование в акции; факторное инвестирование; управление активами; stock market; investing in stocks; factor investing; asset management;
    All these keywords.

    JEL classification:

    • A12 - General Economics and Teaching - - General Economics - - - Relation of Economics to Other Disciplines
    • B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics
    • B50 - Schools of Economic Thought and Methodology - - Current Heterodox Approaches - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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