Лаврентьев Андреас Рамазович
Empirical Analysis of Russian Market Using Multi-Factor Model
In this paper, the main purpose is to create model specifically for Russian stock market, based on three-factor model of the Fama and French. In order to achieve it, investigation of the studies about three-factor model on the emerging markets and about factors, which do influence Russian exchange, was made. According to the founding Russian specific model was suggested. Comparison was made between three-factor model and the created model,based on 2011-2017. It is founded that Russian specific model outperforms the three-factor model; however, the difference in explanatory power is very marginal.