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Buying Winners and Selling Losers: Explanation of Returns in the Russian Stock Market

ФИО студента: Ekaterina Gordeeva

Руководитель: Yuri Ichkitidze

Кампус/факультет: St.Petersburg School of Economics and Management

Программа: Finance (Master)

Год защиты: 2021

The article examines justification of return efficiency from the momentum and contrarian phenomena on the Russian stock market. The study confirms the absence of a contrarian strategy and reveals unsystematic short-term positive returns up to one year with an impulse model. The examination of received results indicates that Russian market is inefficient in most periods of time, thus bringing a higher return than on the market portfolio is possible. We apply four explanatory techniques from behavioral and rational finance: a calendar effect to identify the best and worst months of formation and investment, a herding effect in order to see the power of choice of investors, a variance ratio test to check a hypothesis of random walk and four-factor Carhart model that can show the influence of size, momentum and value stocks on abnormal return. The novelty of the work is the fact that the article describes two approaches to understand the excess return: behavioral and rational. According to the obtained results, the size of the company and January effect exist on the Russian stock market. These results create an interest for further research of emerging markets with additional methods of analysis such as five-factor Fama-French and behavioral models.

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