Unique Risk Factors for Russian Companies During Crisis Periods and Periods of Economic Growth

With the growing interest of investors in the stock markets of developing countries, the issue of market efficiency comes to the fore. The unique risk of a company is very closely related to the stock price informativeness and can be one of the factors of choice an investment strategy. This study analyzes indicators covering different aspects of the impact on the Russian stock market companies and the level of companies’ unique risk in the 2007-2020. The analysis made it possible to identify a number of key financial indicators that have a significant impact on the level of unique risk of companies. It was also found that a number of indicators characterizing the corporate governance, for example, the share of women on the Board of Directors, and macroeconomic factors such as government bond yields and inflation, significantly affect the level of companies’ unique risk. The results of the analysis also showed the relationship between the level of unique risk of companies and sentiment metrics, measured on the basis of various information sources.