Testing High-Dividend Strategies in the Russian Stock Market Using Factors of Asset Pricing Models

Student: Kuznetsov Nikita

Educational Programme: Financial Markets and Financial Institutions (Master)

Final Grade: 7

Year of Graduation: 2019

This work is devoted to testing a new approach to the formation of high-dividend portfolios on the Russian stock market through the use of factors of asset pricing models. The Dogs of the Dow strategy was used as the classical method of portfolio construction. The study introduced modifications that provide the most effective use this strategy compared to the original version. There was built regression model, which revealed the influence of factors of pricing models on portfolio profitability. The revealed patterns were used to construct modifications of the classical approach. The results were tested on theoretical and practical significance.

Full text (added May 29, 2019)

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