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Combination of Size,Value and Momentum Effects on Moscow Stock Exchange

Student: Timur Mullagaleev

Supervisor: Victoria V. Dobrynskaya

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Year of Graduation: 2019

This paper is aimed to investigate the profitability of momentum, value and size strategies and also their combinations for the Russian stock market. The broad amount of empirical studies, conducted on the stock markets of developed and developing countries, showed that these effects are not a simple risk-premium but are market anomalies. The momentum profits usually arise from the delayed overreactions, that are eventually reversed for the longer periods. The value profits are usually connected to the mistakes made by investors, who extrapolate too far past performance of growth stocks into the future. The size effect has no strict explanation due to the lack of statistical inference on the nature of an anomaly. The research paper considered 182 stocks from the Moscow Exchange for the January 2000 to May 2019 period. Due to the absence of constructed portfolios, I make intuitive predictions on the portfolios of different factors and offer some discussion for the potential profitability of portfolios, based on the previous relevant research papers in this field.

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