Year of Graduation
Application of Intertemporal Asset Pricing Models to Estimation of Costs of Equity in the Russian Market
Annotation to the master’s dissertationKuchin Ilya Igorevich“Application of Intertemporal Asset Pricing Models to Estimation of Costs of Equity in the Russian Market”Supervisor: PhD, Dranev U.Y.The purpose of that work is to verify the Russian market intertemporal capital assets pricing model as an equity cost estimator.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.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 – 31.12.2013 period and selected a sample of 87 Russian companies for the empirical testing.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’ estimation as independent variables, that may influence equity costs, will be made.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.