"Low-Volatility" Anomaly on the Russian Stock Market

Student: Rashchupkin Mikhail

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2020

The aim of this research is to verify the existence of premium for volatility in the Russian stock market. The sample includes observations from December 2004 to April 2020. Our findings reject the presence of low volatility anomaly and, on the contrary, confirm the presence of relatively high risk-premium for both systematic and idiosyncratic risks in line with CAPM predictions. The best results in terms of CAPM alpha coefficients are shown by volatility-based portfolios. Despite of that, there are still opportunities for creating trading strategies based on weighting assets by their risk measures. The results of this research are robust to changes in the sample, adding constraints to the level of listing and do not depend on industry allocation of issuers in portfolios. Keywords: CAPM, low vol, low volatility anomaly, low beta anomaly, betting against beta, russian stock market

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