Филимонов Виктор Юрьевич
Empirical Testing of Multifactor Model on Russian Stock Market
This thesis examines several types of stock pricing models on the 55 non-financial companies on the Russian stock market. Using classical and industry grouping approaches, the work, firstly, examine the validity of the single-factor CAPM framework in Russia. Then, proceeds with three-factor Fama-French model. Finally, consider the five-factor Fama-French model. All methods are compared between each other and the significance of the coefficients is evaluated.