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Research of Determinants Affecting the Returns of Unit investment Funds

Student: Diana Pogozheva

Supervisor: Nikolay I. Berzon

Faculty: Faculty of Economic Sciences

Educational Programme: Financial Engineering (Master)

Year of Graduation: 2020

This work is devoted to the study of determinants that affect the return of open-end mutual investment funds investing in shares of Russian issuers. The fundamental results of this study are: the proof of the hypothesis of weak explanatory power of CAPM model based on only on market risk, as well as the selection of model that best explain the profitability of open-end mutual investment funds through the factors. After estimating various factor models, the three-factor model of Fama and French was chosen as the model that most qualitatively explains the profitability of open-end mutual investment funds investing in shares of Russian issuers.

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