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The Impact of Anomalies on Stock Returns in Emerging Markets

Student: Alimova Irina

Supervisor: Tatiana Sokolova

Faculty: Faculty of Economic Sciences

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2021

According to the hypothesis of market efficiency, it is impossible to get abnormal returns in a developed market, however, numerous studies prove the opposite. In order to see abnormal returns, we considered the three-factor and five-factor models of Fama and French in the US (developed market), Russia and China (emerging markets). As a result, portfolios were built in the period from 2011 to 2020, which can have a yield significantly higher than the market index of the country. Multi-factor models have proven their superiority in detecting anomalies over the Capital Asset Pricing Model. Regression analysis has proven the presence of various anomalies in these markets, such as the" size effect","quality effect", " value effect", and "investment effect". However, more anomalies were found in the developed market than in the developing market, which serves as an object for further research.

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