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The Fama-French Multi-Factor Model for Russia

ФИО студента: Dmitry Kirpishchikov

Руководитель: Lubov Michailovna Plyusnina

Кампус/факультет: Faculty of Economics, Management, and Business Informatics

Программа: Finance (Master)

Год защиты: 2020

The main purporse of this research is to test multifactor Fama-French model. We use data of the developing Russian market. For the analysis were used monthly returns of 140 shares for the period between 2006-2019 (including delisted companies). Based on the findings we could argue that value factor (HML) is significant for the Russian market while size factor (SMB) redundund. The Five-Factor model has the highest descriptive power however other characteristic do not allow us to conclude that the quality of the Three-Factor model is improved by using additional factors. This research is also demonstrating that the outcome of the GRS-test could be influeced by the length of analzed period which could lead to a false conclusion about models quality.

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