Small Firm Anomaly in the Russian Stock Market

Student: Pisareva Iuliia

Educational Programme: Economics (Bachelor)

Year of Graduation: 2016

The present paper involves investigation of the size effect and its interrelationship with the liquidity risk in the Russian stock market. The research adopts an approach similar to those of Fama and French (1992, 1993) and Clayton (2008). The Russian stock market data from the MICEX is analyzed during the period from November 2009 to April 2012. Unlike previous studies on the size effect, a special consideration is given to the complex concept of liquidity in the present study. Sample formation on the basis of index and non-index stocks and composition of three equally-weighted quantile portfolios ensure a deep and thorough insight in the Russian stock market. As a result, the present study reveals an inverse size effect, a direct relationship between liquidity and firm size, and their cumulative effect on stocks’ expected returns.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses