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Application of Intertemporal Asset Pricing Models to Estimation of Costs of Equity in the Russian Market

Student: Kuchin Il`ya

Supervisor: Yury Dranev

Faculty: Faculty of Economic Sciences

Educational Programme: Master

Final Grade: 10

Year of Graduation: 2014

<p style="color: rgb(0, 0, 0); font-family: 'Times New Roman'; font-size: medium;">Annotation to the master&rsquo;s dissertation</p><p style="color: rgb(0, 0, 0); font-family: 'Times New Roman'; font-size: medium;">Kuchin Ilya Igorevich</p><p style="color: rgb(0, 0, 0); font-family: 'Times New Roman'; font-size: medium;">&ldquo;Application of Intertemporal Asset Pricing Models to Estimation of Costs of Equity in the Russian Market&rdquo;</p><p style="color: rgb(0, 0, 0); font-family: 'Times New Roman'; font-size: medium;">Supervisor: PhD, Dranev U.Y.</p><p style="color: rgb(0, 0, 0); font-family: 'Times New Roman'; font-size: medium;">The purpose of that work is to verify the Russian market intertemporal capital assets pricing model as an equity cost estimator.</p><p style="color: rgb(0, 0, 0); font-family: 'Times New Roman'; font-size: medium;">In that work I selected the macrovariables, necessary for equity costs modeling, developed the intertemporal capital assets pricing model with three betas methodology and empirically tested the capital assets pricing model.</p><p style="color: rgb(0, 0, 0); font-family: 'Times New Roman'; font-size: medium;">The research objective is the Russian equity market that is currently might be considered as a developing market. During the research I used the 01.01.2005 &ndash; 31.12.2013 period and selected a sample of 87 Russian companies for the empirical testing.</p><p style="color: rgb(0, 0, 0); font-family: 'Times New Roman'; font-size: medium;">That work novelty may be considered as following: firstly, a vector autoregression with panel data that consists of assets return factors will be used to evaluate the beta model; secondly, a cross-sectional regression with an average expected company return as a dependent variable and betas&rsquo; estimation as independent variables, that may influence equity costs, will be made.</p><p style="color: rgb(0, 0, 0); font-family: 'Times New Roman'; font-size: medium;">The 1 variables (of 3 variables) significance was not proved: volatility news. Probably, the cause of that is that the companies should have been separated into portfolios and then empirically tested.</p>

Full text (added June 16, 2014) (359.68 Kb)

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