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Multifactor Models on Russian Stock Market

ФИО студента: Nikitenko Ilya

Руководитель: Luca Gelsomini

Кампус/факультет: International College of Economics and Finance

Программа: Financial Economics (Master)

Год защиты: 2021

The study explores multifactor asset pricing models’ performance on Russian stock market with the timespan ranging from 2009 to 2020. The paper outlines that data indicates in favor of value, investment and momentum risk factor presence, while no strong evidence of size and profitability risks is observed. Among size/value, size/profitability and size/investment dimensions Fama-French five-factor model is stated dominant over the whole set of models, however, in size/momentum dimension new five-factor model (Fama-French five-factor model minus profitability plus momentum) outperforms the other models.

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