Momentum Effect on Russian Stock Market

This work is devoted to analyzing the momentum effect in the Russian stock market. The presence of this kind of anomaly has been already proved in other national markets, however in Russia the interest in this problem is in rudimentary state. For analyzing momentum, 4 key elements were established: formation period, holding period, skipping period and strategy of investing itself. The main methods used in this work are comparable and statistical modelling. The main result of the work is that momentum effect presents in the market. Moreover, abnormal results that are generated are not statistically significant. Later, the most profitable strategy was used in order to identify whether 6 companies that were included in MOEX all the time over 2004-2018 were over- or underpriced. The results show that only one company was overpriced, while 5 others were either underpriced, or priced fairly.