Impact of Issuer's Quality on Stock's Performance

Student: Sapega Andrei

Educational Programme: Economics (Bachelor)

Final Grade: 8

Year of Graduation: 2020

This paper is devoted to the analysis of an investment strategy based on quality effect, which is formed by examining different characteristics of a company for picking the most quality assets. The main goal of this work is to study the effectiveness of such strategy in the Russian stock market. In today’s academic literature there is no union definition of quality factor, so in this paper we define optimal proxies for quality on the basis of the review of relevant literature. To analyze the returns this research uses statistical analysis and asset pricing tests. The hypotheses are tested on a sample of shares from MOEX Broad Market index in the time period from 2010 to 2020. As a result, we found the factors that best define quality in the Russian market. We also found some sort of market inefficiency in the Russian stock market.

Full text (added May 14, 2020)

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