Models for Assessing Systematic Risk: Applicability in Russia

This work is devoted to the study of the assessment of systematic risk in Russian practice. Based on the results of empirical studies by both foreign and Russian authors, two systematic risk assessment models, CAPM and DCAPM, were identified that showed the best statistical results. The question of the best choice of the interval (day / week / month) of returns for the above models was also studied. In this work, we studied the problem of the high volatility of these systematic risk indicators published by Asvat Damodaran in a time factor (observed significant changes in the indicator value for some sources year to year). When assessing the value of a business, it is traditionally not assumed that the systematic risk indicator will be highly volatile, and significant changes should be justified or indicate the need to revise the calculations. The work uses a sample of 54 Russian companies for the period 2015-2019, as well as data from foreign companies in a number of industries. As a result of our empirical study, it was found that: 1) The DCAPM model is the best for assessing systematic risk based on an analysis of Russian companies 2) A weekly interval of stock returns is the best choice for assessing systematic risk 3) Aggregated data from traditionally used sources, in particular, A. Damodaran, contain inaccuracies; cases of incorrect inclusion of companies in a number of industries can lead to a significant distortion of the results 4) This omission of A. Damodaran affects the variability of the beta indicator year to year.