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Regular version of the site

Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Alexey Mamakov
The Financial and Institutional Key Drivers of the Price Dynamics of the Russian Stock Market
Strategic Corporate Finance
(Master’s programme)
8
2018
The price-earnings (P/E) multiplier is one of the widely used multiple in relative valuation model and in diagnosing overvalued/undervalued stock markets in different countries. The popularity of the multiplier is explained by the simplicity in calculation and the intuitive interpret. The motivation for doing this research is the existence of the huge discount on the Russian P/E multiplier against the other developed and developing countries, which cannot be explained by the existing models. The Russian market is taking one of the last positions among the others.

The goal of the research is to explain the position of Russia stock market and create a method of calculating the target P/E multiplier, which could substantiate the existence of the discount relative to the developed and developing markets. The data were collected on markets (and respective countries) for the period 2006-2016, which according to the classification of the MSCI index includes developed and developing markets, and for which information is available on the testing risk factors. Results of empirical research demonstrate that the low values of the P/E multiple of the Russian stock index can be explained by average firm’s size, stock’s illiquidity, the corruption perception and export concentration indexes.

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