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Empirical Analysis of Russian Market Using Multi-Factor Model

ФИО студента: Lavrentyev Andreas

Руководитель: Luca Gelsomini

Кампус/факультет: International College of Economics and Finance

Программа: Double Degree Programme in Economics of the NRU HSE and the University of London (Bachelor)

Год защиты: 2017

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.

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