Testing the Applicability of CAPM Modifications on the Russian Stock Market

Student: Ipatov Daniil

Educational Programme: Economics (Bachelor)

Year of Graduation: 2019

The following paper presents an examination of popular CAPM multi-factor modifications: three- and five-factor models of Fama and French. These models was tested in comparison with CAPM on 80 Russian non-financial companies in the period from 2013 to 2017. The results showed that three- and five-factor models substantially outperform CAPM. However, there is the minor difference in explanatory power between three- and five-factor models. We found strong size, value, profitability and investment patterns on the Russian stock market, but effects of size and value patterns contradict with Fama-French' results.

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