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Pricing models of shares of Russian companies and their practical application
https://doi.org/10.32609/0042-8736-2019-3-48-76
Abstract
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.
Keywords
CAPM,
growth stocks,
value stocks,
inertia effect,
stock liquidity ,
foreign portfolio investors,
factor investing,
financial market,
economic growth,
institutional investors
JEL: D53; E44; G11; G12; G17
About the Authors
Alexander E. Abramov
Russian Presidential Academy of National Economy and Public Administration
Russian Federation
Moscow
Russian Federation
Moscow
Alexander D. Radygin
Russian Presidential Academy of National Economy and Public Administration; Gaidar Institute for Economic Policy
Russian Federation
Moscow
Russian Federation
Moscow
Maria I. Chernova
Russian Presidential Academy of National Economy and Public Administration
Russian Federation
Moscow
Russian Federation
Moscow
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For citations:
Abramov A.E., Radygin A.D., Chernova M.I. Pricing models of shares of Russian companies and their practical application. Voprosy Ekonomiki. 2019;(3):48-76. (In Russ.) https://doi.org/10.32609/0042-8736-2019-3-48-76
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