Browsing by Author "Bizhanova, Madina"

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    DO FUNDAMENTAL INDEXES PRODUCE HIGHER RISK-ADJUSTED RETURNS THAN MARKET CAP INDEXES? EVIDENCE FOR CHINESE STOCK MARKET
    (Nazarbayev University Graduate School of Business, 2023) Bizhanova, Madina; Gabayev, Asker
    The proponents of fundamental indexing (‘FI’) theorize that a traditional value weighted portfolio is characterized by a return drag due to overweighting overvalued stocks and underweighting undervalued stocks. A number of empirical studies found an extra return for an FI strategy compared to a value weighted benchmark. However, the critics argue that the primary driver of FI’s superior performances reflects not the drag avoided but a style shift towards value strategy. Hence the analytical comparison of an FI alternative should control for a style shift when testing for the drag effect. The 2018 study of an FI strategy for the U.S. stock market by De Moor, Liu & Sercu employs a vigintile portfolio analysis to control for style shift and do not find any economically or statistically significant benefit from drag avoidance. I employ the conventional factor analysis and the proposed double-sorted bucket analysis to test the FI strategy using Chinese stock market data. Like others before, I conclude that the FI’s extra return is primarily due to its value bias rather than avoidance of the drag effect.
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    EXPLAINING INTERNET REGULATION VARIATION IN NON-DEMOCRATIC COUNTRIES
    (Nazarbayev University School of Sciences and Humanities, 2017-05) Bizhanova, Madina
    This thesis analyzes the role and impact of labor-free resources such as foreign aid and natural resources revenues on the level of internet freedom in non-democracies. Specifically, with help of the Freedom on the net score, which captures a level of internet freedom among 65 countries worldwide, a new dataset was collected to investigate whether non-labor resources can better explain empirical observations among non-democratic countries. By extending the selectorate theory (Bueno de Mesquita, et al. 2005) and other concepts, the paper argues that a nondemocratic country has more restrictive internet freedom as resources rents or received foreign aid are high. To test the proposed hypotheses both quantitative and qualitative methods were utilized.