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Empirical Testing of Multifactor Model on Russian Stock Market

ФИО студента: Filimonov Victor

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: 2019

This thesis examines several types of stock pricing models on the 55 non-financial companies on the Russian stock market. Using classical and industry grouping approaches, the work, firstly, examine the validity of the single-factor CAPM framework in Russia. Then, proceeds with three-factor Fama-French model. Finally, consider the five-factor Fama-French model. All methods are compared between each other and the significance of the coefficients is evaluated.

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