UBS
AG Assistant Professor of Finance,
Masters in Finance Program Director
New Economic School
Office 1721-11
Nakhimovsky pr, 47
Moscow 117418,
Russia
Tel: (+7-495) 129-1700 ext. 112
Fax: (+7-495) 129-3722
E-mail:
agoriaev(at)nes.ru
Home page: http://www.nes.ru/~agoriaev/
Curriculum vitae: doc | |
Teaching
at NES
see homepage
for all teaching activities
Foundations
of Finance, Investment Theory, Corporate Finance, Empirics of Financial Markets,
Risk Management
Profile
Since
September 2002, Alexei Goriaev is Assistant Professor of Finance at the New Economic
School. In 1997 he graduated in Mathematical Economics from Moscow State University
(diploma with honors) and was awarded Nemchinov's prize by Central Economic Mathematical
Institute (CEMI). Then he studied at Tilburg University, earning M.A. in finance
in 1998 (cum laude), diploma of the Dutch Graduate School in Economics (NAKE)
in 2001, and Ph.D. in finance in 2002.
Research
see homepage
for detailed list of publications and other activities
General
research interests of Dr. Goriaev are in financial econometrics. In his doctoral
dissertation "On the behavior of mutual fund investors and managers,"
he conducted empirical and theoretical analysis of the behavior of mutual fund
investors and managers. These two aspects are closely related to each other, since
investors try to select funds that follow an optimal investment policy from their
point of view, while fund managers are typically interested in maximizing net
fund inflows. In one of the papers (accepted for publication in the Journal of
Financial Markets conditionally on minor revision), he demonstrated that highly
marketed funds attract less sophisticated investors who react to past fund performance
with a lag. In another paper (forthcoming in a book on mutual funds), he found
that most investors pay more attention to fund performance rankings within broad
investment classes (say, across all equity funds) rather than within narrower
categories (e.g., growth funds). In two other papers (one of them published in
the Journal of Empirical Finance), he investigates whether risk-taking strategies
used by fund managers reflect an incentive to maximize fund inflows. Indeed, he
shows that funds with low interim relative performance increase systematic risk
to maximize the probability of finishing the year with top rankings in the category.
Dr.
Goriaev's recent research has focused on investment strategies in the emerging
stock markets. One of the papers (currently in the final round in the Emerging
Markets Review) discusses the evolution of the Russian stock market over its first
decade: development of the institutional infrastructure, major political and economic
events, and multi-factor models of Russian stock returns. Another paper examines
the political risk of Russian companies in 2003, judging by sensitivity of their
stock prices to Yukos events. The risk appeared especially high for non-transparent
private companies, oil companies, firms privatized via the ill-famous loans-for-shares
auctions, and, surprisingly, transparent state-owned companies. Yet another paper
demonstrates that benefits from international diversification for Russian investors
during the period from 1999 to 2003 were substantial, even though the domestic
stock market showed exceptional performance (an average return over 40% p.a.).
This result is robust to the presence of different types of transaction costs
and is mostly due to high concentration of the Russian stock market.
Dr.
Goriaev's current research agenda is even broader. A big project is devoted to
the analysis of the Russian mutual fund industry, with the ultimate objective
to design an efficient rating system of funds and their management companies.
The list of research topics includes the analysis of investment strategies, evaluation
of risk-adjusted performance, performance persistence, proper classification,
and comparison of the local and foreign funds. Another project examines financial
policy of Russian corporations after the 1998 crisis, including the choice of
capital structure, corporate governance, IPOs, (hostile) takeovers, venture funds,
etc. Yet another project, in cooperation with William Goetzmann from the Yale
School of Management, is based on historical data from St-Petersburg Stock Exchange
covering most of the 19-th century and the pre-revolutionary period. More than
a year of work has been spent on processing and cleaning these data. The ongoing
research includes the market's description, analysis of its efficiency and inter-relation
with other markets operating at the time.
