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Application Of Fama-French Five Factor Model On The Russian Market

Author

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  • Nikolai A. Manushkin

    (National Research University Higher School of Economics)

Abstract

This paper tests the applicability of various asset pricing models: Capital Pricing Model (CAPM), 3-factor and 5-factor Fama-French models to the Russian stock market, which has not been not well studied. We capture specific factors of this market, create several market portfolios, and use bootstrapped GRS test (Gibbons, Ross, & Shanken, 1989) for models’ quality test. The empirical result shows that the 5-factor model fits the Russian market better than the other models, the value factor is redundant, and the size factor also loses its significance

Suggested Citation

  • Nikolai A. Manushkin, 2024. "Application Of Fama-French Five Factor Model On The Russian Market," HSE Working papers WP BRP 95/FE/2024, National Research University Higher School of Economics.
    • Handle: RePEc:hig:wpaper:95/fe/2024
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    File URL: https://wp.hse.ru/data/2024/05/23/2124896007/95FE2024.pdf
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    References listed on IDEAS

    as
    1. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    2. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
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    More about this item

    Keywords

    Asset Pricing Models; Fama-French Factor Model; GRS;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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