voprecotestВопросы экономикиVoprosy Ekonomiki0042-8736Voprosy Ekonomiki, NP10.32609/0042-8736-2019-3-48-76voprecotest-2151Research ArticleФИНАНСОВАЯ ЭКОНОМИКАFINANCIAL ECONOMICSМодели ценообразования акций российских компаний и их практическое применениеPricing models of shares of Russian companies and their practical applicationhttps://orcid.org/0000-0003-4285-9115АбрамовА. Е.AbramovAlexander E.

Абрамов Александр Евгеньевич, к. э. н., завлабораторией анализа институтов и финансовых рынков Института прикладных экономических исследований (ИПЭИ) РАНХиГС

Москва

Moscow

ae_abramov@mail.ruhttps://orcid.org/0000-0003-2242-9994РадыгинА. Д.RadyginAlexander D.

Радыгин Александр Дмитриевич, д. э. н., проф., директор Института экономики, математики и информационных технологий РАНХиГС, член совета директоров Института экономической политики имени Е. Т. Гайдара

Москва

Moscow

arad@ranepa.ruhttps://orcid.org/0000-0003-0144-1820ЧерноваМ. И.ChernovaMaria I.

Чернова Мария Игоревна, н. с. лаборатории анализа институтов и финансовых рынков ИПЭИ РАНХиГС

Москва

Moscow

marychernova@gmail.comРоссийская академия народного хозяйства и государственной службы при Президенте РФРоссияRussian Presidential Academy of National Economy and Public AdministrationRussian FederationРоссийская академия народного хозяйства и государственной службы при Президенте РФ; Институт экономической политики имени Е. Т. ГайдараРоссияRussian Presidential Academy of National Economy and Public Administration; Gaidar Institute for Economic PolicyRussian Federation201906032019034876Copyright © Voprosy Ekonomiki, NP, 20192019Voprosy Ekonomiki, NPVoprosy Ekonomiki, NPhttps://www.vopreco.ru/jour/about/submissions#copyrightNoticehttps://www.vopreco.ru/jour/article/view/2151

В статье анализируются проблемы применения моделей ценообразования акций на российском фондовом рынке. Новизна исследования заключается в особенностях использованной методологии и содержательных выводах о специфике влияния фундаментальных факторов на ценообразование акций российских компаний. Исследование проведено с применением собственной пятифакторной базовой модели ценообразования на основе выборки максимально полного числа выпусков акций российских эмитентов и продолжительного временного горизонта — с 1997 по 2017 г. В качестве рыночного использован портфель, максимально широкий по набору эмитентов. Мы рассматриваем факторную модель как своего рода универсальный индикатор эффективности выполнения фондовым рынком своих функций. В статье подтверждена значимость факторов широкого рыночного портфеля, размера, ликвидности и, отчасти, моментума (инерции). Однако начиная с 2011 г. значимость факторов стала убывать по мере ухудшения качественных характеристик фондового рынка, обусловленных оттоком иностранных портфельных инвестиций в сочетании с низким уровнем развития внутренних институциональных инвесторов. Выявлен циклический характер действия факторов размера компаний и ликвидности акций. Способность факторов приносить дополнительный доход по акциям повышается преимущественно на стадии падения фондового рынка . Результаты исследования позволяют предполагать, что по мере развития внутренних институциональных инвесторов на российском фондовом рынке стратегии факторного инвестирования могут найти применение как инструмент повышения доходности портфелей инвесторов.

The article analyzes the problems of applying stock pricing models in the Russian stock market. The novelty of the study lies in the peculiarities of the methodology used and the substantive conclusions on the specifics of the influence of fundamental factors on the pricing of shares of Russian companies. The study was conducted using its own 5-factor basic pricing model based on a sample of the most complete number of issues of shares of Russian issuers and a long time horizon, from 1997 to 2017. The market portfolio was the widest for a set of issuers. We consider the factor model as a kind of universal indicator of the efficiency of the stock market performance of its functions. The article confirms the significance of factors of a broad market portfolio, size, liquidity and, in part, momentum (inertia). However, starting from 2011, the significance of factors began to decrease as the qualitative characteristics of the stock market deteriorated due to the outflow of foreign portfolio investment, combined with the low level of development of domestic institutional investors. Also identified is the cyclical nature of the actions of company size and liquidity factors. Their ability to generate additional income on shares rises mainly at the stage of the fall of the stock market. The results of the study suggest that as domestic institutional investors develop on the Russian stock market, factor investment strategies can be used as a tool to increase the return on investor portfolios.

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The authors declare that there are no conflicts of interest present.